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IntroductoryLecturesOnConvexOptimization_Nesterov_2004.Chap06.Lemma_6_6

theorem excessive_gap_bounds_primal_dual_errors {X : Type u} {U : Type v} {Q₁ : Set X} {Q₂ : Set U} {f fμ₂ : X} {φ φμ₁ : U} {xBar : X} {uBar : U} {fStar D₁ D₂ μ₁ μ₂ : } (h_primal : IsLeast (f '' Q₁) fStar) (h_dual : IsGreatest (φ '' Q₂) fStar) (hfμ₂_lower : f xBar - μ₂ * D₂ fμ₂ xBar) (hφμ₁_upper : φμ₁ uBar φ uBar + μ₁ * D₁) (hxBar : xBar Q₁) (huBar : uBar Q₂) (hexcessive_gap : satisfiesExcessiveGapCondition Q₁ Q₂ fμ₂ φμ₁ xBar, hxBar uBar, huBar) :
max (f xBar - fStar) (fStar - φ uBar) Set.Icc 0 (f xBar - φ uBar) f xBar - φ uBar μ₁ * D₁ + μ₂ * D₂

Lemma 6.6: if the primal value fStar is the minimum of f on Q₁, the same value is the maximum of φ on Q₂, and the local smoothing bounds together with the excessive-gap certificate hold at xBar ∈ Q₁ and uBar ∈ Q₂, then the primal and dual errors are both controlled by the raw duality gap, which is at most μ₁ D₁ + μ₂ D₂.