A new look at duality via Fenchel’s duality theorem

The dual problem of a convex optimization problem can be obtained in a rel- atively simple and structural way by using a well-known result in convex analysis, namely Fenchel’s duality theorem. This alternative way of forming a strong dual problem is the subject. We recall some standard results from convex analysis and then discuss how the dual problem can be written in terms of the conjugates of the objective function and the constraint functions. We demonstrate the method by deriving dual problems for several classical problems.