Convex Functions Definition and Examples

Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Elementary Properties
Extended Domain
Convexity
Detection
Operations Preserving
Convexity of Functions
Differential Criteria of
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Lecture 2: Convex Functions (I)
Presented by: Jiayu Zhou
Computer Science and Engineering
The Biodesign Institute
Arizona State University
Convex Functions J.Zhou Center for Evolutionary Medicine and Informatics 1 / 45
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Outline
1 Convex Functions
Denition and Examples
Extended Domain
2 How to Detect Convexity
Operations Preserving Convexity of Functions
Differential Criteria of Convexity
3 Gradient Inequality
4 Boundedness and Lipschitz Conti.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Convex Function: Denition
A function f : Q R denes on a nonempty subset Q of R
n
and
taking real values is called convex, if
the domain Q of the function is convex
for every x, y Q and every [0, 1] one has
f (x + (1 )y) f (x) + (1 )f (y) (1)
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Concave Function: Denition
f is convex f is concave.
the domain Q of a concave function should be convex.
satisfy the inequality opposite to (1):
f (x + (1 )y) f (x) + (1 )f (y) (2)
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Examples of Convex Function
afne function f (x) = a
T
x + b both convex and concave.
some non-linear examples
convex on the whole axis: x
2p
, p positive integer; exp{x}
convex on the nonnegative ray: x
p
, 1 p
convex on the positive ray: 1/x
p
, p > 0; ln x; x ln x
It is not obvious why such functions are convex, to prove
these we need analytical criterions as we introduce later.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Epigraph
Given a real-valued function f dened on a nonempty subset Q of
R
n
, epigraph is dened as
Epi(f ) = {(t, x) R
n+1
: x Q, t f (x)}
Proposition 2.1.1
A function f dened on a subset of R
n
is convex if and only if its
epigraph is nonempty convex set in R
n+1
.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
More Examples: Norms
Euclidean Norm: x
2
=
x
T
x
1
Norm: x
1
=
i
x
i
Norm: x
= max
i
x
i
Family of Norms: x
p
= (
n
i=1
x
i
p
)
1/p
, 1 q
To prove that every norm is convex we need Proposition 2.1.2
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Proposition 2.1.2
Let (x) be a real-valued function on R
n
which is positively
homogeneous of degree 1
(tx) = t(x) x R
n
, t > 0.
is convex if and only if it is subadditive:
(x + y) (x) + (y) x, y R
n
.
In particular, a norm (which by denition is positively
homogeneous of degree 1 and is subadditive) is convex.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Proof structure of Proposition 2.1.2: we can show that given is
positive homogeneous of degree 1: (tx) = t(x), the following 4
conditions are equivalent:
is convex;
Epi() is convex and a conic set:
(t, x) Epi() (t, x) Epi();
(t
1
, x) Epi(), (t
2
, y) Epi() (t
1
+t
2
, x +y) Epi();
(x + y) (x) + (y).
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Jensens inequality
Proposition 2.1.3 Jensens inequality
Let f be convex and Q be the domain of f . Then for every convex
combination
N
i=1
i
x
i
of points from Q one has
f (
N
i=1
i
x
i
)
N
i=1
i
f (x
i
)
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Proof of Jensens inequality
Proof: It is evident that (f (x
i
), x
i
) Epi(f ), i. Given f is convex,
and because of Proposition 2.1.1, we have that Epi(f ) is a convex
set. Therefore the convex combination:
N
i=1
i
(f (x
i
), x
i
) = (
N
i=1
i
f (x
i
),
N
i=1
i
x
i
)
also belongs to Epi(f ). By denition of Epigraph, we have
N
i=1
i
f (x
i
) f (
N
i=1
i
x
i
),
which completes the proof.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Convexity of Level Sets of a Convex Function
Proposition 2.1.4 Convexity of Level Sets
Let f be a convex function with the domain Q. Then, for every real
, the set
lev
(f ) = {x Q : f (x) }
-the level set of f - is convex.
Proof: Given x, y lev
(f ) and [0, 1]. According to

convexity of f , we have
f (x + (1 )y) f (x) + (1 )f (y) + (1 ) = .
Therefore we have x + (1 )y lev
(f ), which completes the

proof.
Remark: Convexity of level sets does NOT characterize convex
functions. The proper characterization of them is given by convex
epigraph.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
What is the Value of a Convex Function Outside Its Domain
It is extremely convenient to think that the function outside its
domain also has a value, namely takes the value +. With this
convention, we can say
Convex Function on Extended Domain
A convex function f on R
n
is a function taking values in the
extended real axis R {+} such that the domain Dom f of the
function - the set of those xs where f (x) is nite - is nonempty,
and for all x, y R
n
and all [0, 1] one has
f (x + (1 )y) f (x) + (1 )f (y). (3)
Although we omit the explicit requirement of convex domain, it is
implicit required. Only within the convex domain Q, is our
function f nite.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
What is so good about convex functions?
In the optimization problem
min
x
{f (x) : g
j
(x) 0, j = 1, . . . , m}
if we we have convex objective f and convex constraints g
i
, then
Have nice theoretical properties (e.g. local necessary
optimality condition are sufcient for global optimality).
Can be efciently solved numerically (Not the case for
general nonconvex problems).
This is why it is so important to detect convexity of a given
function.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Stability under taking weighted sums
Stability under afne substitutions of the argument
Stability under taking pointwise sup
Convex Monotone superposition
Stability under partial minimization
Stability under conic transformation
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Stability under Taking Weighted Sums
If f , g are convex functions on R
n
, then their linear combination
f + g with nonnegative coefcients again is convex, provided
that it is nite at least at one point.
This is given by straightforward verication of the denition.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Stability under Afne Substitutions of the Argument
The superposition f (Ax + b) of a convex function f on R
n
and
afne mapping x Ax + b from R
m
into R
n
is convex, provided
that it is nite at least at one point.
This can be proved by verication of the denition.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Stability under Taking Pointwise Sup
Upper bound sup
(.) of every family of convex functions on R

n
is convex, provided that this bound is nite at least at one point.
The epigraph of each convex function Epi(f
) is a convex set, then

Epi(sup
(.)) is equivalent to
Epi(f
)
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Let f (x) = (f
1
(x), . . . , f
k
(x)) be vector-function on R
n
with
convex components f
i
, and assume that F is a convex function on
R
k
which is monotone, i.e. such that z z
always implies that

F(z) F(z
). Then the superposition

(x) = F(f (x)) = F(f
1
(x), . . . , f
k
(x))
is convex on R
n
, provided that it is nite at least at one point.
Remark: The expression F(f
1
(x), . . . , f
k
(x)) makes no evident
sense at a point x where some of f
i
s are +. By denition, we
assign the superposition at such a point the value +.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Proof: Given that (0, 1) and x, x
DomF, and because

convex components of f , we have
f (x + (1 )x
) z + (1 )z
In particular, the LHS is a vector from R

k
and has no entries.
We may further use the monotonicity of F:
(x + (1 )x
) = F(f (x + (1 )x
)) F(z + (1 )z
)
Because F is convex, we have
F(z +(1)z
) F(z) +(1)F(z
) = (x) +(1)(x
)
Thus we have the required relation
(x + (1 )x
) (x) + (1 )(x
)
.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Stability under Partial Minimization
If f (x, y) : R
n
x
R
m
y
is convex (as a function of z = (x, y); this is
called joint convexity) and the function
g(x) = inf
y
f (x, y)
is proper (> ) everywhere and is nite at least at one point, then
g is convex.
To prove this we need to show that if x, x
Domg and
x
= x + (1 )x
with [1, 0], then we have

x
Domf , g(x
) g(x) + (1 )g(x
)
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Stability under Partial Minimization
Given > 0, y and y
such that (x, y), (x
, y
) Domf and
g(x) + f (x, y), g(x
) + f (x
, y
). Taking weighted sum we

get
g(x) + (1 )g(x
) +
f (x, y) + (1 )f (x
, y
)
f (x + (1 )x
, y + (1 )y
) [joint convexity of f ]
= f (x
, y + (1 )y
)
g(x
)
Since the convexity property of the domain, x
Domf . Because
above inequality is valid for all > 0, then we have
g(x) + (1 )g(x
) g(x
),
which completes the proof.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Stability under Conic Transformation (Perspective Function)
The conic transformation of a convex function f on R
n
- the
perspective function g(y, x) = yf (x/y) - is convex in the
half-space y > 0 in R
n+1
.
Proof: For all (x
1
, y
1
), (x
2
, y
2
) R
n
R
+
(equivalent to
half-space y > 0 in R
n+1
), and all [0, 1], we have
((1 )y
1
+ y
2
)f
(
(1 )x
1
+ x
2
(1 )y
1
+ y
2
)
=((1 )y
1
+ y
2
)f
(
(1 )y
1
(1 )y
1
+ y
2
x
1
y
1
+
y
2
(1 )y
1
+ y
2
x
2
y
2
)
(1 )y
1
f
(
x
1
y
1
)
+ y
2
f
(
x
2
y
2
)
This completes the proof.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
One Dimensional Property
One Dimensional Property
A proper (i.e., nite at least at one point) function f on R
n
taking
values in R +is convex if and only if its restriction on every
line, i.e., every function of the type g(t) = f (x + th) on the axis, is
either convex, or is identically +.
It follows that to detect convexity of a function, it sufces, in
principle, to know how to detect convexity of functions of one
variable.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Convexity Criterion for Smooth Functions on the Axis
Proposition 2.2.1 Necessary and Sufcient Convexity Condition
for Smooth Functions on the Axis
Let (a, b) be an interval in the axis (we do not exclude the case of
a = and/or b = +). Then
A differentiable everywhere on (a, b) function f is convex on
(a, b) if and only if its derivative f
is monotonically
nondecreasing on (a, b);
A twice differentiable everywhere on (a, b) function f is
convex on (a, b) if and only if its second derivative f
is
nonnegative everywhere on (a, b).
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Convexity Criterion for Smooth Functions on the Axis
Proof: Necessity. We need to prove that: f is differentiable and
convex on (a, b) f
is monotonically nondecreasing. Given

x < y (a, b), z is the convex combination of x and y in the form:
z =
yz
yx
x +
zx
yx
y. Because of the convexity of f , we have
f (z)
y z
y x
f (x) +
z x
y x
f (y)
f (z) f (x)
z x

f (y) f (z)
y z
Let z = x + and enforce limit 0, we get f
(x)
f (y)f (x)
yx
Let z = y and enforce limit 0, we get f
(y)
f (y)f (x)
yx
Combine the results we get f
(y) f
(x), which completes the

proof of necessity.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Necessary and Sufcient Convexity Condition for Smooth Functions
on the Axis
Sufciency. We need to prove that: f is differentiable on (a, b)
and f
is monotonically nondecreasing on (a, b) f is convex on

(a, b). Let x < y (a, b) and z = x + (1 )y with 0 < < 1,
then we have
f (z) f (x) + (1 )f (y)
f (z) f (x)

f (y) f (z)
1
.
Notice that z x = (y x) and y z = (1 )(y x), the
inequality we want to prove is equivalent to
f (z) f (x)
z x

f (y) f (z)
y z
.
According to Lagrange Mean Value Theorem,
f (z)f (x)
zx
= f
()
with [x, z] and
f (y)f (z)
yz
= f
() with [z, y]. Because f
is
nondecreasing and z and therefore the inequality holds.
This completes the proof of sufciency.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Convexity of Functions on Boundary
Take advantage of Proposition 2.2.1 we can easily verify many
functions to be convex. When it comes to convex functions
dened in the half-interval [0, +], the using only above
Proposition may have some difculties, because it only speaks
about convexity of functions on intervals. To over come this, we
have
Proposition 2.2.2 Convexity on Boundary
Let M be a convex set and f be a function with Domf = M .
Assume that f is convex on riM and is continuous on M, i.e.,
f (x
i
) f (x), i ,
whenever x
i
, x M and x
i
x as i . Then f is convex on M.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Convexity of Functions on Boundary
Proof: Let x, y M and z = x + (1 )y, [0, 1], and our
goal is to prove
f (z) f (x) + (1 )f (y).
Recall Theorem 1.1.1 (iii) [Page 18], which says that every point
of clM (including the boundary of M) is the limit of a sequence of
points from riM. According to it, there exists sequence
x
i
, y
i
riM converging to x and y, respectively. We then have
z
i
= x
i
+ (1 )y
i
converges to z as i and since f is
convex on riM, we have
f (z
i
) f (x
i
) + (1 )f (y
i
).
Enforce limit i , where LHS turns to f (z) and RHS
f (x) + (1 )f (y), we obtain the required inequality.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Convexity Criterion for Smooth Function on R
n
Combining Proposition 2.2.1(ii) and 2.2.2 we then have the
following necessary and sufcient condition for convexity of a
smooth function.
n
Let f : R
n
R +be a function.Assume that the domain Q of
f is a convex set with a nonempty interior and that f is
continuous on Q
twice differentiable on the interior of Q
The f is convex if and only if its Hessian is positive semidenite
on the interior of Q:
h
T
f
(x)h 0, x intQ, h R
n
.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
n
Proof: sufciency. Given f is convex and x Q
= intQ, then the

function of one variable
g(t) = f (x + th)
(h is a x direction on R
n
) is convex in some neighborhood of the
point t = 0 on the axis (afne substitution preserve convexity).
Because that f is twice differentiable in a neighborhood of x, g is
twice differentiable in neighborhood of t = 0.
Because of Proposition 2.2.1 we have g
(0) = h
T
f
(x)h 0 .
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
n
Necessity Given h
T
f
(x)h 0, x intQ, h R
n
, we want to
prove that f is convex.
We still denote Q
= intQ. Because of Theorem 1.1.1(i), Q
is a
convex set. Because of the one-dimension property, all we need to
prove is that x, y Q
,
g(t) = f (x + t(y x)), 0 t 1
is convex on the segment 0 t 1. Because that f is continuous
on Q and twice continuous on Q
, g is continuously differentiable
on (0, 1) with second derivative
g
(x) = (y x)
T
f
(x + t(y x))(y x) 0.
According to Proposition 2.2.1(ii) g is convex on (0, 1) and from
Proposition 2.2.2 we further have that g is convex on [0, 1].
Therefore f is convex on Q
.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Gradient Inequality
Proposition 2.3.1 Gradient Inequality
Let
f : a function taking nite values and the value ,
x: an interior point of the domain of f ,
Q: a convex set containing x.
Assume f is:
convex on Q,
differentiable at x.
Then we have that:
(y Q) : f (y) f (x) + (y x)
T
f (x).
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Gradient Inequality: Lemma 2.3.1
We rstly prove following Lemma before proving Prop. 2.3.1
Lemma 2.3.1
Let
x, x
, x
: three distinct points with x
[x, x
],
f : convex and nite on [x, x
].
Then we have
f (x
) f (x)
x
x
2
f (x
) f (x)
x
x
2
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Gradient Inequality: Proof of Lemma 2.3.1
Proof: Denote =
x
x
2
x
x
2
(0, 1), we can write
x
= x + (x
x) = (1 )x + x
.
Because of convexity of f , we have
f (x
) (1 )f (x) + f (x
)
f (x
) f (x) (f (x
) f (x)).
Plugin representation, we get the desired:
f (x
) f (x)
x
x
2
f (x
) f (x)
x
x
2
.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Gradient Inequality: Main Proof
Proof: Let y Q. Let y Domf and y = x (y / Domf and/or
x = y there is nothing to prove). Set
y
= x + (y x), 0 < 1.
Plugin x, x
= y
, x
= y and we get
f (x + (y x)) f (x)
y x
2
f (y) f (x)
y x
2
(4)
f (x + (y x)) f (x)
f (y) f (x) (5)

As +0, by denition of directional gradient, we get
(y x)
T
f (x) f (y) f (x).
This completes the proof.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Boundedness and Lipschitz Continuity
Nice local properties of convex functions!
Theorem 2.4.1 Local Boundedness and Lipschitz Continuity of
Convex Function
Let
f : convex function
K: a closed and bounded set contained in the relative interior
of the domain of f .
Then f is Lipschitz continuous on K
const L, |f (x) f (y)| Lx y
2
, x, y K.
In particular, f is bounded on K.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Boundedness and Lipschitz Continuity: Example
Three essential assumptions:
1 closedness,
2 boundedness,
3 K ri Dom f .
Counter Examples:
f (x) = 1/x, Dom f = (0, +), K = (0, 1]. We have (2, 3)
but not (1). f : not bounded, not L-cont.
f (x) = x
2
, Dom f = R, K = R. We have (1, 3) but not (2). f :
not bounded, nor L-conti.
f (x) =
x, Dom f = [0, +), K = [0, 1]. We have (1, 2)

but not (3). f bounded, not L-cont. Note that in many cases
lack of (3) would cause unboundedness.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
A local version of Theorem 2.4.1
Proposition 2.4.1
Let
Q: convex set
x: point from the relative interior of Dom f
Then
f is bounded at x. r > 0, C such that:
|f (x)| C x U
r
(x) = {x Aff(Dom f ) : x x
2
r};
f is L-cont. at x. > 0, L such that:
|f (x) f (x
)| Lx x
2
x, x
(x).
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Implication From Proposition 2.4.1 to Theorem 2.4.1
Since boundedness of f on K is a consequence of L-Cont. on K
and boundedness of K. Given Prop. 2.4.1, all we have to do is to
prove that:
K is a bounded, closed subset of ri Dom f f is L-Cont. on K.
By contradiction, if f is not L-Cont. on K then i Z, x
i
, y
i
K
such that
f (x
i
) f (y
i
) ix
i
y
i
2
.
Because K is compact, we can ensure the sequence x
i
x K
and y
i
y K. We are going to argue that in either the case
x = y and x = y, the above is impossible.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Implication From Proposition 2.4.1 to Theorem 2.4.1 (Cont.)
f (x
i
) f (y
i
) ix
i
y
i
2
.
case: x = y
Let x = y neighborhoodB, by Prop. 2.4.1 f is L-Cont. in B,
which means this neighborhood should contain all x
i
and y
i
with
large enough i. Since f is L-Cont., the ratio
(f (x
i
) f (y
i
))\x
i
y
i
2
form a bounded sequence. Not really the case here.
case: x = y
By Prop. f is L-Cont. on x and y (also implies usual cont).
Therefore f (x
i
) f (x) and f (y
i
) f (y) given i . As
i , LHS is still bounded (|f (x)| is bounded given by Prop.),
while RHS . This is the desired contradiction.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Proof of Proposition 2.4.1
Proof structure: Given f a convex function and x a point in
ri Dom f , we have
1 f is upper bounded in this neighborhood.
2 f is lower bounded in this neighborhood.
3 f is Lipschitz continuous at x.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Proof of Proposition 2.4.1 I
1. f is upper bounded in this neighborhood.
x ri Dom f r, U
r
(x). In U
r
(x), we can nd a m-simplex ,
m = dimAff(Dom f ), with vertices v
0
. . . v
m
in the way that x is a
convex combination of them. This means x is the point from ri
and that contains U
r
(x) with certain r > 0.
= {
m
i=0
i
v
i
:
i
0,
i
= 1}
According to Jensens inequality:
f () = f (
m
i=0
i
v
i
)
m
i=0
i
f (v
i
) max
0im
f (v
i
).
Therefore in U
r
(x) f is bounded from above by the same quantity,
we denote this constant by C.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Proof of Proposition 2.4.1 II
2. f is lower bounded in this neighborhood.
Let x U
r
, so that x Aff(Dom f ), x x
2
r. Set
x
= x [x x] = 2x x, and we have
x
x
2
= x x
2
r(x
U
r
) and x = 0.5x + 0.5x
. From
convexity we have
2f (x) f (x) + f (x
) (6)
f (x) 2f (x) f (x
) 2f (x) C, x U
r
(x). (7)
The latter means that f is indeed bounded in U
r
.
Convex
Functions
J.Zhou
Convex
Functions
Denition and
Examples
Extended Domain
Convexity
Detection
Convexity
Gradient
Inequality
Boundedness
and Lipschitz
Conti.
. . . . . .
Proof of Proposition 2.4.1 III
3. f is Lipschitz continuous at x.
We already proved that |f | C in U
r
, and we are about to prove f
is L-cont. in U
r/2
(x). Let x, x
U
r/2
, x = x
. Set x
so that
x
(x, x
), x
x
2
= r. From Lemma 2.3.1, we have:
f (x
) f (x) x
x
2
f (x
) f (x)
x
x
2
Since f (x
) f (x) 2C and x
x
2
r/2, we have:
f (x
) f (x) (4C/r)x
x
2
, x, x
U
r/2
swapping x and x
we get similar:
f (x) f (x
) (4C/r)x
x
2
, x, x
U
r/2
Therefore we proved that:
|f (x) f (x
)| (4C/r)x
x
2
, x, x
U
r/2
which completes the proof

Convex Functions Definition and Examples

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Convex

(f ) and [0, 1]. According to

(f ), which completes the

(.) of every family of convex functions on R

) is a convex set, then

always implies that

). Then the superposition

DomF, and because

In particular, the LHS is a vector from R

with [1, 0], then we have

such that (x, y), (x

). Taking weighted sum we

is monotonically nondecreasing. Given

(x), which completes the

is monotonically nondecreasing on (a, b) f is convex on

() with [z, y]. Because f

= intQ, then the

= intQ. Because of Theorem 1.1.1(i), Q

: three distinct points with x

f (y) f (x) (5)

x, Dom f = [0, +), K = [0, 1]. We have (1, 2)

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