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Convex function

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Inmathematics, areal-valued function is calledconvex if theline segment between any two distinct points on thegraph of the function lies above or on the graph between the two points. Equivalently, a function is convex if itsepigraph (the set of points on or above the graph of the function) is aconvex set. In simple terms, a convex function graph is shaped like a cup{\displaystyle \cup } (or a straight line like a linear function), while aconcave function's graph is shaped like a cap{\displaystyle \cap }.

Convex function on aninterval.
A function (in black) is convex if and only if the region above itsgraph (in green) is aconvex set.
A graph of thebivariate convex functionx2 +xy +y2.
Convex vs. Not convex

A twice-differentiable function of a single variable is convexif and only if itssecond derivative is nonnegative on its entiredomain.[1] Well-known examples of convex functions of a single variable include alinear functionf(x)=cx{\displaystyle f(x)=cx} (wherec{\displaystyle c} is areal number), aquadratic functioncx2{\displaystyle cx^{2}} (c{\displaystyle c} as a nonnegative real number) and anexponential functioncex{\displaystyle ce^{x}} (c{\displaystyle c} as a nonnegative real number).

Convex functions play an important role in many areas of mathematics. They are especially important in the study ofoptimization problems where they are distinguished by a number of convenient properties. For instance, a strictly convex function on anopen set has no more than oneminimum. Even in infinite-dimensional spaces, under suitable additional hypotheses, convex functions continue to satisfy such properties and as a result, they are the most well-understood functionals in thecalculus of variations. Inprobability theory, a convex function applied to theexpected value of arandom variable is always bounded above by the expected value of the convex function of the random variable. This result, known asJensen's inequality, can be used to deduceinequalities such as thearithmetic–geometric mean inequality andHölder's inequality.

Definition

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Visualizing a convex function and Jensen's Inequality

LetX{\displaystyle X}  be aconvex subset of a realvector space and letf:XR{\displaystyle f:X\to \mathbb {R} }  be a function.

Thenf{\displaystyle f}  is calledconvex if and only if any of the following equivalent conditions hold:

  1. For all0t1{\displaystyle 0\leq t\leq 1}  and allx1,x2X{\displaystyle x_{1},x_{2}\in X} :f(tx1+(1t)x2)tf(x1)+(1t)f(x2){\displaystyle f\left(tx_{1}+(1-t)x_{2}\right)\leq tf\left(x_{1}\right)+(1-t)f\left(x_{2}\right)} The right hand side represents the straight line between(x1,f(x1)){\displaystyle \left(x_{1},f\left(x_{1}\right)\right)}  and(x2,f(x2)){\displaystyle \left(x_{2},f\left(x_{2}\right)\right)}  in the graph off{\displaystyle f}  as a function oft;{\displaystyle t;}  increasingt{\displaystyle t}  from0{\displaystyle 0}  to1{\displaystyle 1}  or decreasingt{\displaystyle t}  from1{\displaystyle 1}  to0{\displaystyle 0}  sweeps this line. Similarly, the argument of the functionf{\displaystyle f}  in the left hand side represents the straight line betweenx1{\displaystyle x_{1}}  andx2{\displaystyle x_{2}}  inX{\displaystyle X}  or thex{\displaystyle x} -axis of the graph off.{\displaystyle f.}  So, this condition requires that the straight line between any pair of points on the curve off{\displaystyle f}  be above or just meeting the graph.[2]
  2. For all0<t<1{\displaystyle 0<t<1}  and allx1,x2X{\displaystyle x_{1},x_{2}\in X}  such thatx1x2{\displaystyle x_{1}\neq x_{2}} :f(tx1+(1t)x2)tf(x1)+(1t)f(x2){\displaystyle f\left(tx_{1}+(1-t)x_{2}\right)\leq tf\left(x_{1}\right)+(1-t)f\left(x_{2}\right)} The difference of this second condition with respect to the first condition above is that this condition does not include the intersection points (for example,(x1,f(x1)){\displaystyle \left(x_{1},f\left(x_{1}\right)\right)}  and(x2,f(x2)){\displaystyle \left(x_{2},f\left(x_{2}\right)\right)} ) between the straight line passing through a pair of points on the curve off{\displaystyle f}  (the straight line is represented by the right hand side of this condition) and the curve off;{\displaystyle f;}  the first condition includes the intersection points as it becomesf(x1)f(x1){\displaystyle f\left(x_{1}\right)\leq f\left(x_{1}\right)}  orf(x2)f(x2){\displaystyle f\left(x_{2}\right)\leq f\left(x_{2}\right)}  att=0{\displaystyle t=0}  or1,{\displaystyle 1,}  orx1=x2.{\displaystyle x_{1}=x_{2}.}  In fact, the intersection points do not need to be considered in a condition of convex usingf(tx1+(1t)x2)tf(x1)+(1t)f(x2){\displaystyle f\left(tx_{1}+(1-t)x_{2}\right)\leq tf\left(x_{1}\right)+(1-t)f\left(x_{2}\right)}  becausef(x1)f(x1){\displaystyle f\left(x_{1}\right)\leq f\left(x_{1}\right)}  andf(x2)f(x2){\displaystyle f\left(x_{2}\right)\leq f\left(x_{2}\right)}  are always true (so not useful to be a part of a condition).

The second statement characterizing convex functions that are valued in the real lineR{\displaystyle \mathbb {R} }  is also the statement used to defineconvex functions that are valued in theextended real number line[,]=R{±},{\displaystyle [-\infty ,\infty ]=\mathbb {R} \cup \{\pm \infty \},}  where such a functionf{\displaystyle f}  is allowed to take±{\displaystyle \pm \infty }  as a value. The first statement is not used because it permitst{\displaystyle t}  to take0{\displaystyle 0}  or1{\displaystyle 1}  as a value, in which case, iff(x1)=±{\displaystyle f\left(x_{1}\right)=\pm \infty }  orf(x2)=±,{\displaystyle f\left(x_{2}\right)=\pm \infty ,}  respectively, thentf(x1)+(1t)f(x2){\displaystyle tf\left(x_{1}\right)+(1-t)f\left(x_{2}\right)}  would be undefined (because the multiplications0{\displaystyle 0\cdot \infty }  and0(){\displaystyle 0\cdot (-\infty )}  are undefined). The sum+{\displaystyle -\infty +\infty }  is also undefined so a convex extended real-valued function is typically only allowed to take exactly one of{\displaystyle -\infty }  and+{\displaystyle +\infty }  as a value.

The second statement can also be modified to get the definition ofstrict convexity, where the latter is obtained by replacing{\displaystyle \,\leq \,}  with the strict inequality<.{\displaystyle \,<.}  Explicitly, the mapf{\displaystyle f}  is calledstrictly convex if and only if for all real0<t<1{\displaystyle 0<t<1}  and allx1,x2X{\displaystyle x_{1},x_{2}\in X}  such thatx1x2{\displaystyle x_{1}\neq x_{2}} :f(tx1+(1t)x2)<tf(x1)+(1t)f(x2){\displaystyle f\left(tx_{1}+(1-t)x_{2}\right)<tf\left(x_{1}\right)+(1-t)f\left(x_{2}\right)} 

A strictly convex functionf{\displaystyle f}  is a function that the straight line between any pair of points on the curvef{\displaystyle f}  is above the curvef{\displaystyle f}  except for the intersection points between the straight line and the curve. An example of a function which is convex but not strictly convex isf(x,y)=x2+y{\displaystyle f(x,y)=x^{2}+y} . This function is not strictly convex because any two points sharing an x coordinate will have a straight line between them, while any two points NOT sharing an x coordinate will have a greater value of the function than the points between them.

The functionf{\displaystyle f}  is said to beconcave (resp.strictly concave) iff{\displaystyle -f}  (f{\displaystyle f}  multiplied by −1) is convex (resp. strictly convex).

Alternative naming

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The termconvex is often referred to asconvex down orconcave upward, and the termconcave is often referred asconcave down orconvex upward.[3][4][5] If the term "convex" is used without an "up" or "down" keyword, then it refers strictly to a cup shaped graph{\displaystyle \cup } . As an example,Jensen's inequality refers to an inequality involving a convex or convex-(down), function.[6]

Properties

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Many properties of convex functions have the same simple formulation for functions of many variables as for functions of one variable. See below the properties for the case of many variables, as some of them are not listed for functions of one variable.

Functions of one variable

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Proof

Sincef{\displaystyle f}  is convex, by using one of the convex function definitions above and lettingx2=0,{\displaystyle x_{2}=0,}  it follows that for all real0t1,{\displaystyle 0\leq t\leq 1,} f(tx1)=f(tx1+(1t)0)tf(x1)+(1t)f(0)tf(x1).{\displaystyle {\begin{aligned}f(tx_{1})&=f(tx_{1}+(1-t)\cdot 0)\\&\leq tf(x_{1})+(1-t)f(0)\\&\leq tf(x_{1}).\\\end{aligned}}}  Fromf(tx1)tf(x1){\displaystyle f(tx_{1})\leq tf(x_{1})} , it follows thatf(a)+f(b)=f((a+b)aa+b)+f((a+b)ba+b)aa+bf(a+b)+ba+bf(a+b)=f(a+b).{\displaystyle {\begin{aligned}f(a)+f(b)&=f\left((a+b){\frac {a}{a+b}}\right)+f\left((a+b){\frac {b}{a+b}}\right)\\&\leq {\frac {a}{a+b}}f(a+b)+{\frac {b}{a+b}}f(a+b)\\&=f(a+b).\\\end{aligned}}}  Namely,f(a)+f(b)f(a+b){\displaystyle f(a)+f(b)\leq f(a+b)} .

Functions of several variables

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Operations that preserve convexity

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Strongly convex functions

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The concept of strong convexity extends and parametrizes the notion of strict convexity. Intuitively, a strongly-convex function is a function that grows as fast as a quadratic function.[11] A strongly convex function is also strictly convex, but not vice versa. If a one-dimensional functionf{\displaystyle f}  is twice continuously differentiable and the domain is the real line, then we can characterize it as follows:

For example, letf{\displaystyle f}  be strictly convex, and suppose there is a sequence of points(xn){\displaystyle (x_{n})}  such thatf(xn)=1n{\displaystyle f''(x_{n})={\tfrac {1}{n}}} . Even thoughf(xn)>0{\displaystyle f''(x_{n})>0} , the function is not strongly convex becausef(x){\displaystyle f''(x)}  will become arbitrarily small.

More generally, a differentiable functionf{\displaystyle f}  is called strongly convex with parameterm>0{\displaystyle m>0}  if the following inequality holds for all pointsx,y{\displaystyle x,y}  in its domain:[12](f(x)f(y))T(xy)mxy22{\displaystyle (\nabla f(x)-\nabla f(y))^{T}(x-y)\geq m\|x-y\|_{2}^{2}} or, more generally,f(x)f(y),xymxy2{\displaystyle \langle \nabla f(x)-\nabla f(y),x-y\rangle \geq m\|x-y\|^{2}} where,{\displaystyle \langle \cdot ,\cdot \rangle }  is anyinner product, and{\displaystyle \|\cdot \|}  is the correspondingnorm. Some authors, such as[13] refer to functions satisfying this inequality aselliptic functions.

An equivalent condition is the following:[14]f(y)f(x)+f(x)T(yx)+m2yx22{\displaystyle f(y)\geq f(x)+\nabla f(x)^{T}(y-x)+{\frac {m}{2}}\|y-x\|_{2}^{2}} 

It is not necessary for a function to be differentiable in order to be strongly convex. A third definition[14] for a strongly convex function, with parameterm,{\displaystyle m,}  is that, for allx,y{\displaystyle x,y}  in the domain andt[0,1],{\displaystyle t\in [0,1],} f(tx+(1t)y)tf(x)+(1t)f(y)12mt(1t)xy22{\displaystyle f(tx+(1-t)y)\leq tf(x)+(1-t)f(y)-{\frac {1}{2}}mt(1-t)\|x-y\|_{2}^{2}} 

Notice that this definition approaches the definition for strict convexity asm0,{\displaystyle m\to 0,}  and is identical to the definition of a convex function whenm=0.{\displaystyle m=0.}  Despite this, functions exist that are strictly convex but are not strongly convex for anym>0{\displaystyle m>0}  (see example below).

If the functionf{\displaystyle f}  is twice continuously differentiable, then it is strongly convex with parameterm{\displaystyle m}  if and only if2f(x)mI{\displaystyle \nabla ^{2}f(x)\succeq mI}  for allx{\displaystyle x}  in the domain, whereI{\displaystyle I}  is the identity and2f{\displaystyle \nabla ^{2}f}  is theHessian matrix, and the inequality{\displaystyle \succeq }  means that2f(x)mI{\displaystyle \nabla ^{2}f(x)-mI}  ispositive semi-definite. This is equivalent to requiring that the minimumeigenvalue of2f(x){\displaystyle \nabla ^{2}f(x)}  be at leastm{\displaystyle m}  for allx.{\displaystyle x.}  If the domain is just the real line, then2f(x){\displaystyle \nabla ^{2}f(x)}  is just the second derivativef(x),{\displaystyle f''(x),}  so the condition becomesf(x)m{\displaystyle f''(x)\geq m} . Ifm=0{\displaystyle m=0}  then this means the Hessian is positive semidefinite (or if the domain is the real line, it means thatf(x)0{\displaystyle f''(x)\geq 0} ), which implies the function is convex, and perhaps strictly convex, but not strongly convex.

Assuming still that the function is twice continuously differentiable, one can show that the lower bound of2f(x){\displaystyle \nabla ^{2}f(x)}  implies that it is strongly convex. UsingTaylor's Theorem there existsz{tx+(1t)y:t[0,1]}{\displaystyle z\in \{tx+(1-t)y:t\in [0,1]\}} such thatf(y)=f(x)+f(x)T(yx)+12(yx)T2f(z)(yx){\displaystyle f(y)=f(x)+\nabla f(x)^{T}(y-x)+{\frac {1}{2}}(y-x)^{T}\nabla ^{2}f(z)(y-x)} Then(yx)T2f(z)(yx)m(yx)T(yx){\displaystyle (y-x)^{T}\nabla ^{2}f(z)(y-x)\geq m(y-x)^{T}(y-x)} by the assumption about the eigenvalues, and hence we recover the second strong convexity equation above.

A functionf{\displaystyle f}  is strongly convex with parameterm if and only if the functionxf(x)m2x2{\displaystyle x\mapsto f(x)-{\frac {m}{2}}\|x\|^{2}} is convex.

A twice continuously differentiable functionf{\displaystyle f}  on a compact domainX{\displaystyle X}  that satisfiesf(x)>0{\displaystyle f''(x)>0}  for allxX{\displaystyle x\in X}  is strongly convex. The proof of this statement follows from theextreme value theorem, which states that a continuous function on a compact set has a maximum and minimum.

Strongly convex functions are in general easier to work with than convex or strictly convex functions, since they are a smaller class. Like strictly convex functions, strongly convex functions have unique minima on compact sets.

Properties of strongly-convex functions

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Iff is a strongly-convex function with parameterm, then:[15]: Prop.6.1.4 

Uniformly convex functions

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A uniformly convex function,[16][17] with modulusϕ{\displaystyle \phi } , is a functionf{\displaystyle f}  that, for allx,y{\displaystyle x,y}  in the domain andt[0,1],{\displaystyle t\in [0,1],}  satisfiesf(tx+(1t)y)tf(x)+(1t)f(y)t(1t)ϕ(xy){\displaystyle f(tx+(1-t)y)\leq tf(x)+(1-t)f(y)-t(1-t)\phi (\|x-y\|)} whereϕ{\displaystyle \phi }  is a function that is non-negative and vanishes only at 0. This is a generalization of the concept of strongly convex function; by takingϕ(α)=m2α2{\displaystyle \phi (\alpha )={\tfrac {m}{2}}\alpha ^{2}}  we recover the definition of strong convexity.

It is worth noting that some authors require the modulusϕ{\displaystyle \phi }  to be an increasing function,[17] but this condition is not required by all authors.[16]

Examples

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Functions of one variable

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Functions ofn variables

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See also

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Notes

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  1. ^"Lecture Notes 2"(PDF).www.stat.cmu.edu. Retrieved3 March 2017.
  2. ^"Concave Upward and Downward".Archived from the original on 2013-12-18.
  3. ^Stewart, James (2015).Calculus (8th ed.). Cengage Learning. pp. 223–224.ISBN 978-1305266643.
  4. ^W. Hamming, Richard (2012).Methods of Mathematics Applied to Calculus, Probability, and Statistics (illustrated ed.). Courier Corporation. p. 227.ISBN 978-0-486-13887-9.Extract of page 227
  5. ^Uvarov, Vasiliĭ Borisovich (1988).Mathematical Analysis. Mir Publishers. p. 126-127.ISBN 978-5-03-000500-3.
  6. ^Prügel-Bennett, Adam (2020).The Probability Companion for Engineering and Computer Science (illustrated ed.). Cambridge University Press. p. 160.ISBN 978-1-108-48053-6.Extract of page 160
  7. ^abBoyd, Stephen P.; Vandenberghe, Lieven (2004).Convex Optimization(pdf). Cambridge University Press.ISBN 978-0-521-83378-3. RetrievedOctober 15, 2011.
  8. ^Donoghue, William F. (1969).Distributions and Fourier Transforms. Academic Press. p. 12.ISBN 9780122206504. RetrievedAugust 29, 2012.
  9. ^"If f is strictly convex in a convex set, show it has no more than 1 minimum". Math StackExchange. 21 Mar 2013. Retrieved14 May 2016.
  10. ^Altenberg, L., 2012. Resolvent positive linear operators exhibit the reduction phenomenon. Proceedings of the National Academy of Sciences, 109(10), pp.3705-3710.
  11. ^"Strong convexity · Xingyu Zhou's blog".xingyuzhou.org. Retrieved2023-09-27.
  12. ^Dimitri Bertsekas (2003).Convex Analysis and Optimization. Contributors: Angelia Nedic and Asuman E. Ozdaglar. Athena Scientific. p. 72.ISBN 9781886529458.
  13. ^Philippe G. Ciarlet (1989).Introduction to numerical linear algebra and optimisation. Cambridge University Press.ISBN 9780521339841.
  14. ^abYurii Nesterov (2004).Introductory Lectures on Convex Optimization: A Basic Course. Kluwer Academic Publishers. pp. 63–64.ISBN 9781402075537.
  15. ^Nemirovsky and Ben-Tal (2023)."Optimization III: Convex Optimization"(PDF).
  16. ^abC. Zalinescu (2002).Convex Analysis in General Vector Spaces. World Scientific.ISBN 9812380671.
  17. ^abH. Bauschke and P. L. Combettes (2011).Convex Analysis and Monotone Operator Theory in Hilbert Spaces. Springer. p. 144.ISBN 978-1-4419-9467-7.
  18. ^Kingman, J. F. C. (1961). "A Convexity Property of Positive Matrices".The Quarterly Journal of Mathematics.12:283–284.Bibcode:1961QJMat..12..283K.doi:10.1093/qmath/12.1.283.
  19. ^Cohen, J.E., 1981.Convexity of the dominant eigenvalue of an essentially nonnegative matrix. Proceedings of the American Mathematical Society, 81(4), pp.657-658.

References

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  • Bertsekas, Dimitri (2003).Convex Analysis and Optimization. Athena Scientific.
  • Borwein, Jonathan, and Lewis, Adrian. (2000). Convex Analysis and Nonlinear Optimization. Springer.
  • Donoghue, William F. (1969).Distributions and Fourier Transforms. Academic Press.
  • Hiriart-Urruty, Jean-Baptiste, andLemaréchal, Claude. (2004). Fundamentals of Convex analysis. Berlin: Springer.
  • Krasnosel'skii M.A., Rutickii Ya.B. (1961).Convex Functions and Orlicz Spaces. Groningen: P.Noordhoff Ltd.
  • Lauritzen, Niels (2013).Undergraduate Convexity. World Scientific Publishing.
  • Luenberger, David (1984).Linear and Nonlinear Programming. Addison-Wesley.
  • Luenberger, David (1969).Optimization by Vector Space Methods. Wiley & Sons.
  • Rockafellar, R. T. (1970).Convex analysis. Princeton: Princeton University Press.
  • Thomson, Brian (1994).Symmetric Properties of Real Functions. CRC Press.
  • Zălinescu, C. (2002).Convex analysis in general vector spaces. River Edge, NJ: World Scientific Publishing  Co., Inc. pp. xx+367.ISBN 981-238-067-1.MR 1921556.

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