A Crash Course in Convex Analysis

I’ve been attempting to read an interesting NIPS 2007 paper entitled Estimating divergence functionals and the likelihood ratio by convex risk minimzation and realised my knowledge of convex analysis was sketchy at best.

Fortunately, Wikipedia pointed me to an excellent summary of the Legendre-Fenchel transformation by Hugo Touchette. A bit more digging around Hugo’s site led me to a great cheat sheet for convex analysis, covering many of the concepts that were causing me trouble.

Great stuff!

Mark Reid December 19, 2007 Canberra, Australia
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