Duality of Hoffman constants

Abstract

We show that a suitable Slater condition implies a duality inequality between the Hoffman constants of the following feasibility problems: $$ \begin{array}{r} Ax-b \in S\\ x \in R \end{array} \qquad\text{ and }\qquad \begin{array}{r} c-A^T y \in R^*\\ y \in S^*. \end{array} $$ where $A\in \mathbb{R}^{m\times n}$, and $R\subseteq \mathbb{R}^n$ and $S\subseteq \mathbb{R}^m$ are reference polyhedral cones, with respective dual cones $R^*\subseteq \mathbb{R}^n$ and $S^*\subseteq \mathbb{R}^m$. Our approach relies on an exact characterization of Hoffman constants and introduces a novel Hoffman duality inequality for polyhedral set-valued mappings. These two fundamental results also yield a striking identity between the Hoffman constants of box-constrained feasibility problems, which feature a similar primal-dual structure with a box and a linear subspace as reference sets. Additionally, we establish a surprising identity between the Hoffman constants of box-constrained feasibility problems and the chi condition measures for weighted least-squares problems