Convex Functions and the Legendre-Fenchel Transform
By Miles Wheeler
April 3, 2013
After introducing the Legendre-Fenchel transform for convex functions,
we'll prove Fenchel's duality theorem and apply it to several classic
convex optimization problems, including some from linear programming. No
background will be assumed beyond multivariable calculus, linear
algebra, and a tolerance of samosas.