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IntroductoryLecturesOnConvexOptimization_Nesterov_2004.Chap03.Lemma_3_1_23

theorem primal_dual_decomposition_mem_Icc_of_gap_le {E : Type u} {U : Type v} {α : Type u_1} [AddCommGroup α] [Preorder α] [AddLeftMono α] [AddRightMono α] {f : Eα} {φ : Uα} {xN : E} {uHat : U} {fStar φStar rN : α} (h_primal : fStar f xN) (h_dual : φ uHat φStar) (h_weak_duality : φStar fStar) (h_gap : f xN - φ uHat rN) :
f xN - fStar + (φStar - φ uHat) Set.Icc 0 (f xN - φ uHat) f xN - φ uHat rN

Lemma 3.1.23: if x_N satisfies the residual estimate (3.1.85), written here as f(x_N) - φ(\hat u_N) ≤ r_N, then the decomposition (f(x_N) - f^*) + (φ^* - φ(\hat u_N)) lies between 0 and the primal-dual gap f(x_N) - φ(\hat u_N), and that gap is itself bounded above by r_N.