Visualization of the ε-Subdifferential of Piecewise Linear-Quadratic Functions

Abstract

Computing explicitly the ε-subdifferential of a proper function amounts to computing the level set of a convex function namely the conjugate minus a linear function. The resulting theoretical algorithm is applied to the the class of (convex univariate) piecewise linear-quadratic functions for which existing numerical libraries allow practical computations. We visualize the results in a primal, dual, and subdifferential views through several numerical examples. We also provide a visualization of the Brøndsted-Rockafellar Theorem.