Exercises

Exercises
Denition of convexity
2.1 Let C R
n
be a convex set, with x1, . . . , x
k
C, and let 1, . . . ,
k
R satisfy i 0,
1 + +
k
= 1. Show that 1x1 + +
k
x
k
C. (The denition of convexity is that
this holds for k = 2; you must show it for arbitrary k.) Hint. Use induction on k.
Solution. This is readily shown by induction from the denition of convex set. We illus-
trate the idea for k = 3, leaving the general case to the reader. Suppose that x1, x2, x3 C,
and 1 + 2 + 3 = 1 with 1, 2, 3 0. We will show that y = 1x1 + 2x2 + 3x3 C.
At least one of the i is not equal to one; without loss of generality we can assume that
1 ,= 1. Then we can write
y = 1x1 + (1 1)(2x2 +3x3)
where 2 = 2/(1 1) and 2 = 3/(1 1). Note that 2, 3 0 and
1 +2 =
2 +3
1 1
=
1 1
1 1
= 1.
Since C is convex and x2, x3 C, we conclude that 2x2 + 3x3 C. Since this point
and x1 are in C, y C.
2.2 Show that a set is convex if and only if its intersection with any line is convex. Show that
a set is ane if and only if its intersection with any line is ane.
Solution. We prove the rst part. The intersection of two convex sets is convex. There-
fore if S is a convex set, the intersection of S with a line is convex.
Conversely, suppose the intersection of S with any line is convex. Take any two distinct
points x1 and x2 S. The intersection of S with the line through x1 and x2 is convex.
Therefore convex combinations of x1 and x2 belong to the intersection, hence also to S.
2.3 Midpoint convexity. A set C is midpoint convex if whenever two points a, b are in C, the
average or midpoint (a +b)/2 is in C. Obviously a convex set is midpoint convex. It can
be proved that under mild conditions midpoint convexity implies convexity. As a simple
case, prove that if C is closed and midpoint convex, then C is convex.
Solution. We have to show that x + (1 )y C for all [0, 1] and x, y C. Let

(k)
be the binary number of length k, i.e., a number of the form

(k)
= c12
1
+c22
2
+ +c
k
2
k
with ci |0, 1, closest to . By midpoint convexity (applied k times, recursively),

(k)
x + (1
(k)
)y C. Because C is closed,
lim
k
(
(k)
x + (1
(k)
)y) = x + (1 )y C.
2.4 Show that the convex hull of a set S is the intersection of all convex sets that contain S.
(The same method can be used to show that the conic, or ane, or linear hull of a set S
is the intersection of all conic sets, or ane sets, or subspaces that contain S.)
Solution. Let H be the convex hull of S and let T be the intersection of all convex sets
that contain S, i.e.,
T =

|D [ D convex, D S.
We will show that H = T by showing that H T and T H.
First we show that H T. Suppose x H, i.e., x is a convex combination of some
points x1, . . . , xn S. Now let D be any convex set such that D S. Evidently, we have
x1, . . . , xn D. Since D is convex, and x is a convex combination of x1, . . . , xn, it follows
that x D. We have shown that for any convex set D that contains S, we have x D.
This means that x is in the intersection of all convex sets that contain S, i.e., x T.
Now let us show that T H. Since H is convex (by denition) and contains S, we must
have H = D for some D in the construction of T, proving the claim.
2 Convex sets
Examples
2.5 What is the distance between two parallel hyperplanes |x R
n
[ a
T
x = b1 and |x
R
n
[ a
T
x = b2?
Solution. The distance between the two hyperplanes is [b1 b2[/|a|2. To see this,
consider the construction in the gure below.
PSfrag replacements
a
x1 = (b1/|a|
2
)a
x2 = (b2/|a|
2
)a
a
T
x = b2
a
T
x = b1
The distance between the two hyperplanes is also the distance between the two points
x1 and x2 where the hyperplane intersects the line through the origin and parallel to the
normal vector a. These points are given by
x1 = (b1/|a|
2
2
)a, x2 = (b2/|a|
2
2
)a,
and the distance is
|x1 x2|2 = [b1 b2[/|a|2.
2.6 When does one halfspace contain another? Give conditions under which
|x [ a
T
x b |x [ a
T
x

b
(where a ,= 0, a ,= 0). Also nd the conditions under which the two halfspaces are equal.
Solution. Let 1 = |x [ a
T
x b and

1 = |x [ a
T
x

b. The conditions are:

1

1 if and only if there exists a > 0 such that a = a and

b b.
1 =

1 if and only if there exists a > 0 such that a = a and

b = b.
Let us prove the rst condition. The condition is clearly sucient: if a = a and

b b
for some > 0, then
a
T
x b = a
T
x b = a
T
x

b,
i.e., 1

1.
To prove necessity, we distinguish three cases. First suppose a and a are not parallel. This
means we can nd a v with a
T
v = 0 and a
T
v ,= 0. Let x be any point in the intersection
of 1 and

1, i.e., a
T
x b and a
T
x

b. We have a
T
( x + tv) = a
T
x b for all t R.
However a
T
( x + tv) = a
T
x + t a
T
v, and since a
T
v ,= 0, we will have a
T
( x + tv) >

b for
suciently large t > 0 or suciently small t < 0. In other words, if a and a are not
parallel, we can nd a point x +tv 1 that is not in

1, i.e., 1 ,

1.
Next suppose a and a are parallel, but point in opposite directions, i.e., a = a for some
< 0. Let x be any point in 1. Then xta 1 for all t 0. However for t large enough
we will have a
T
( x ta) = a
T
x +t|a|
2
2
>

b, so x ta ,

1. Again, this shows 1 ,

1.
2 Convex sets
(b) Conversely, suppose V = |x [ Ax b with A R
Kn
and b R
K
. We can pick
any x0 |x [ Ax b, and then construct K points xi by taking the mirror image
of x0 with respect to the hyperplanes |x [ a
T
i
x = bi. In other words, we choose xi
of the form xi = x0 +ai, where is chosen in such a way that the distance of xi to
the hyperplane dened by a
T
i
x = bi is equal to the distance of x0 to the hyperplane:
bi a
T
i
x0 = a
T
i
xi bi.
Solving for , we obtain = 2(bi a
T
i
x0)/|ai|
2
2
, and
xi = x0 +
2(bi a
T
i
x0)
|ai|
2
ai.
(c) A polyhedral decomposition of R
n
can not always be described as Voronoi regions
generated by a set of points |x1, . . . , xm. The gure shows a counterexample in
R
2
.
PSfrag replacements
P1
P2
P3 P4

P1

P2
H1 H2
R
2
is decomposed into 4 polyhedra P1, . . . , P4 by 2 hyperplanes H1, H2. Suppose
we arbitrarily pick x1 P1 and x2 P2. x3 P3 must be the mirror image of x1
and x2 with respect to H2 and H1, respectively. However, the mirror image of x1
with respect to H2 lies in

P1, and the mirror image of x2 with respect to H1 lies in

P2, so it is impossible to nd such an x3.

2.10 Solution set of a quadratic inequality. Let C R
n
be the solution set of a quadratic
inequality,
C = |x R
n
[ x
T
Ax +b
T
x +c 0,
with A S
n
, b R
n
, and c R.
(a) Show that C is convex if A 0.
(b) Show that the intersection of C and the hyperplane dened by g
T
x +h = 0 (where
g ,= 0) is convex if A+gg
T
0 for some R.
Are the converses of these statements true?
Solution. A set is convex if and only if its intersection with an arbitrary line | x+tv [ t
R is convex.
(a) We have
( x +tv)
T
A( x +tv) +b
T
( x +tv) +c = t
2
+t +
where
= v
T
Av, = b
T
v + 2 x
T
Av, = c +b
T
x + x
T
A x.
Exercises
The intersection of C with the line dened by x and v is the set
| x +tv [ t
2
+t + 0,
which is convex if 0. This is true for any v, if v
T
Av 0 for all v, i.e., A 0.
The converse does not hold; for example, take A = 1, b = 0, c = 1. Then A , 0,
but C = R is convex.
(b) Let H = |x [ g
T
x + h = 0. We dene , , and as in the solution of part (a),
and, in addition,
= g
T
v, = g
T
x +h.
Without loss of generality we can assume that x H, i.e., = 0. The intersection
of C H with the line dened by x and v is
| x +tv [ t
2
+t + 0, t = 0.
If = g
T
v ,= 0, the intersection is the singleton | x, if 0, or it is empty. In
either case it is a convex set. If = g
T
v = 0, the set reduces to
| x +tv [ t
2
+t + 0,
which is convex if 0. Therefore C H is convex if
g
T
v = 0 =v
T
Av 0. (2.10.A)
This is true if there exists such that A + gg
T
0; then (2.10.A) holds, because
then
v
T
Av = v
T
(A+gg
T
)v 0
for all v satisfying g
T
v = 0.
Again, the converse is not true.
2.11 Hyperbolic sets. Show that the hyperbolic set |x R
2
+
[ x1x2 1 is convex. As a
generalization, show that |x R
n
+
[

n
i=1
xi 1 is convex. Hint. If a, b 0 and
0 1, then a

b
1
a + (1 )b; see 3.1.9.
Solution.
(a) We prove the rst part without using the hint. Consider a convex combination z of
two points (x1, x2) and (y1, y2) in the set. If x y, then z = x + (1 )y y and
obviously z1z2 y1y2 1. Similar proof if y x.
Suppose y , 0 and x , y, i.e., (y1 x1)(y2 x2) < 0. Then
(x1 + (1 )y1)(x2 + (1 )y2)
=
2
x1x2 + (1 )
2
y1y2 +(1 )x1y2 +(1 )x2y1
= x1x2 + (1 )y1y2 (1 )(y1 x1)(y2 x2)
1.
(b) Assume that

i
xi 1 and

i
yi 1. Using the inequality in the hint, we have

i
(xi + (1 )yi)

i
y
1
i
= (

i
xi)

i
yi)
1
1.
2.12 Which of the following sets are convex?
(a) A slab, i.e., a set of the form |x R
n
[ a
T
x .
(b) A rectangle, i.e., a set of the form |x R
n
[ i xi i, i = 1, . . . , n. A rectangle
is sometimes called a hyperrectangle when n > 2.
2 Convex sets
(c) A wedge, i.e., |x R
n
[ a
T
1
x b1, a
T
2
x b2.
(d) The set of points closer to a given point than a given set, i.e.,
|x [ |x x0|2 |x y|2 for all y S
where S R
n
.
(e) The set of points closer to one set than another, i.e.,
|x [ dist(x, S) dist(x, T),
where S, T R
n
, and
dist(x, S) = inf||x z|2 [ z S.
(f) [HUL93, volume 1, page 93] The set |x [ x +S2 S1, where S1, S2 R
n
with S1
convex.
(g) The set of points whose distance to a does not exceed a xed fraction of the
distance to b, i.e., the set |x [ |x a|2 |x b|2. You can assume a ,= b and
0 1.
Solution.
(a) A slab is an intersection of two halfspaces, hence it is a convex set (and a polyhedron).
(b) As in part (a), a rectangle is a convex set and a polyhedron because it is a nite
intersection of halfspaces.
(c) A wedge is an intersection of two halfspaces, so it is convex set. It is also a polyhe-
dron. It is a cone if b1 = 0 and b2 = 0.
(d) This set is convex because it can be expressed as

yS
|x [ |x x0|2 |x y|2,
i.e., an intersection of halfspaces. (For xed y, the set
|x [ |x x0|2 |x y|2
is a halfspace; see exercise 2.9).
(e) In general this set is not convex, as the following example in R shows. With S =
|1, 1 and T = |0, we have
|x [ dist(x, S) dist(x, T) = |x R [ x 1/2 or x 1/2
which clearly is not convex.
(f) This set is convex. x +S2 S1 if x +y S1 for all y S2. Therefore
|x [ x +S2 S1 =

yS
2
|x [ x +y S1 =

yS
2
(S1 y),
the intersection of convex sets S1 y.
(g) The set is convex, in fact a ball.
|x [ |x a|2 |x b|2
= |x [ |x a|
2
2

2
|x b|
2
2

= |x [ (1
2
)x
T
x 2(a
2
b)
T
x + (a
T
a
2
b
T
b) 0
Exercises
If = 1, this is a halfspace. If < 1, it is a ball
|x [ (x x0)
T
(x x0) R
2
,
with center x0 and radius R given by
x0 =
a
2
b
1
2
, R =

2
|b|
2
2
|a|
2
2
1
2
|x0|
2
2

1/2
.
2.13 Conic hull of outer products. Consider the set of rank-k outer products, dened as
|XX
T
[ X R
nk
, rankX = k. Describe its conic hull in simple terms.
Solution. We have XX
T
0 and rank(XX
T
) = k. A positive combination of such
matrices can have rank up to n, but never less than k. Indeed, Let A and B be positive
semidenite matrices of rank k, with rank(A + B) = r < k. Let V R
n(nr)
be a
matrix with 1(V ) = A(A+B), i.e.,
V
T
(A+B)V = V
T
AV +V
T
BV = 0.
Since A, B 0, this means
V
T
AV = V
T
BV = 0,
which implies that rankA r and rankB r. We conclude that rank(A+B) k for
any A, B such that rank(A, B) = k and A, B 0.
It follows that the conic hull of the set of rank-k outer products is the set of positive
semidenite matrices of rank greater than or equal to k, along with the zero matrix.
2.14 Expanded and restricted sets. Let S R
n
, and let | | be a norm on R
n
.
(a) For a 0 we dene Sa as |x [ dist(x, S) a, where dist(x, S) = inf yS |x y|.
We refer to Sa as S expanded or extended by a. Show that if S is convex, then Sa
is convex.
(b) For a 0 we dene Sa = |x [ B(x, a) S, where B(x, a) is the ball (in the norm
| |), centered at x, with radius a. We refer to Sa as S shrunk or restricted by a,
since Sa consists of all points that are at least a distance a from R
n
\S. Show that
if S is convex, then Sa is convex.
Solution.
(a) Consider two points x1, x2 Sa. For 0 1,
dist(x1 + (1 )x2, X) = inf
yS
|x1 + (1 )x2 y|
= inf
y
1
,y
2
S
|x1 + (1 )x2 y1 (1 )y2|
= inf
y
1
,y
2
S
|(x1 y1) + (1 )(x2 y2)|
inf
y
1
,y
2
S
(|x1 y1| + (1 )|x2 y2|)
= inf
y
1
S
|x1 y1| + (1 ) inf
y
2
s
|x2 y2|)
a,
so x1 + (1 )x2 Sa, proving convexity.
(b) Consider two points x1, x2 Sa, so for all u with |u| a,
x1 +u S, x2 +u S.
For 0 1 and |u| a,
x1 + (1 )x2 +u = (x1 +u) + (1 )(x2 +u) S,
because S is convex. We conclude that x1 + (1 )x2 Sa.
2 Convex sets
Operations that preserve convexity
2.16 Show that if S1 and S2 are convex sets in R
mn
, then so is their partial sum
S = |(x, y1 +y2) [ x R
m
, y1, y2 R
n
, (x, y1) S1, (x, y2) S2.
Solution. We consider two points ( x, y1 + y2), ( x, y1 + y2) S, i.e., with
( x, y1) S1, ( x, y2) S2, ( x, y1) S1, ( x, y2) S2.
For 0 1,
( x, y1 + y2) + (1 )( x, y1 + y2) = ( x + (1 ) x, ( y1 + (1 ) y1) + ( y2 + (1 ) y2))
is in S because, by convexity of S1 and S2,
( x + (1 ) x, y1 + (1 ) y1) S1, ( x + (1 ) x, y2 + (1 ) y2) S2.
2.17 Image of polyhedral sets under perspective function. In this problem we study the image
of hyperplanes, halfspaces, and polyhedra under the perspective function P(x, t) = x/t,
with domP = R
n
R++. For each of the following sets C, give a simple description of
P(C) = |v/t [ (v, t) C, t > 0.
(a) The polyhedron C = conv|(v1, t1), . . . , (vK, tK) where vi R
n
and ti > 0.
Solution. The polyhedron
P(C) = conv|v1/t1, . . . , vK/tK.
We rst show that P(C) conv|v1/t1, . . . , vK/tK. Let x = (v, t) C, with
v =
K

i=1
ivi, t =
K

i=1
iti,
and 0, 1
T
= 1. The image P(x) can be expressed as
P(x) = v/t =

K
i=1
ivi

K
i=1
iti
=
K

i=1
ivi/ti
where
i =
iti

K
k=1

k
t
k
, i = 1, . . . , K.
It is clear that 0, 1
T
= 1, so we can conclude that P(x) conv|v1/t1, . . . , vK/tK
for all x C.
Next, we show that P(C) conv|v1/t1, . . . , vK/tK. Consider a point
z =
K

i=1
ivi/ti
with 0, 1
T
= 1. Dene
i =
i
ti

K
j=1
j/tj
, i = 1, . . . , K.
It is clear that 0 and 1
T
= 1. Moreover, z = P(v, t) where
t =

i
iti =

i
i

j
j/tj
=
1

j
j/tj
, v =

i
ivi,
i.e., (v, t) C.