We provide a general framework to construct finite dimensional approximations of the space of convex functions, which also applies to the space of c-convex functions and to the space of support functions of convex bodies. We give estimates of the distance between the approximation space and the admissible set. This framework applies to the approximation of convex functions by piecewise linear functions on a mesh of the domain and by other finite-dimensional spaces such as tensor-product splines. We show how these discretizations are well suited for the numerical solution of problems of calculus of variations under convexity constraints. Our implementation relies on proximal algorithms, and can be easily parallelized, thus making it applicable to large scale problems in dimension two and three. We illustrate the versatility and the efficiency of our approach on the numerical solution of three problems in calculus of variation : 3D denoising, the principal agent problem, and optimization within the class of convex bodies.
We present an algorithm to approximate the solutions to variational problems where set of admissible functions consists of convex functions. The main motivation behind the numerical method is to compute solutions to Adverse Selection problems within a Principal-Agent framework. Problems such as product lines design, optimal taxation, structured derivatives design, etc. can be studied through the scope of these models. We develop a method to estimate their optimal pricing schedules. We address the discretization of optimization problems posed on the cone of convex functions, motivated in particular by the principal agent problem in economics, which models the impact of monopoly on product quality. Consider a two dimensional domain, sampled on a grid of N points. We show that the cone of restrictions to the grid of convex functions is in general characterized by N^2 linear inequalities; a direct computational use of this description therefore has a prohibitive complexity. We thus introduce a hierarchy of sub-cones of discrete convex functions, associated to stencils which can be adaptively, locally, and anisotropically refined. Numerical experiments optimize the accuracy complexity tradeoff through the use of a-posteriori stencil refinement strategies.