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 (or a straight line like a linear function), while aconcave function's graph is shaped like a cap.




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 function (where is areal number), aquadratic function ( as a nonnegative real number) and anexponential function ( 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
editLet be aconvex subset of a realvector space and let be a function.
Then is calledconvex if and only if any of the following equivalent conditions hold:
- For all and all : The right hand side represents the straight line between and in the graph of as a function of increasing from to or decreasing from to sweeps this line. Similarly, the argument of the function in the left hand side represents the straight line between and in or the -axis of the graph of So, this condition requires that the straight line between any pair of points on the curve of be above or just meeting the graph.[2]
- For all and all such that : 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, and ) between the straight line passing through a pair of points on the curve of (the straight line is represented by the right hand side of this condition) and the curve of the first condition includes the intersection points as it becomes or at or or In fact, the intersection points do not need to be considered in a condition of convex using because and 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 line is also the statement used to defineconvex functions that are valued in theextended real number line where such a function is allowed to take as a value. The first statement is not used because it permits to take or as a value, in which case, if or respectively, then would be undefined (because the multiplications and are undefined). The sum is also undefined so a convex extended real-valued function is typically only allowed to take exactly one of and as a value.
The second statement can also be modified to get the definition ofstrict convexity, where the latter is obtained by replacing with the strict inequality Explicitly, the map is calledstrictly convex if and only if for all real and all such that :
A strictly convex function is a function that the straight line between any pair of points on the curve is above the curve except for the intersection points between the straight line and the curve. An example of a function which is convex but not strictly convex is . 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 function is said to beconcave (resp.strictly concave) if ( multiplied by −1) is convex (resp. strictly convex).
Alternative naming
editThe 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 . As an example,Jensen's inequality refers to an inequality involving a convex or convex-(down), function.[6]
Properties
editMany 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
edit- Suppose is a function of onereal variable defined on an interval, and let (note that is the slope of the purple line in the first drawing; the function issymmetric in means that does not change by exchanging and ). is convex if and only if ismonotonically non-decreasing in for every fixed (or vice versa). This characterization of convexity is quite useful to prove the following results.
- A convex function of one real variable defined on someopen interval iscontinuous on admitsleft and right derivatives, and these aremonotonically non-decreasing. In addition, the left derivative is left-continuous and the right-derivative is right-continuous. As a consequence, isdifferentiable at all but at mostcountably many points, the set on which is not differentiable can however still be dense. If is closed, then may fail to be continuous at the endpoints of (an example is shown in theexamples section).
- Adifferentiable function of one variable is convex on an interval if and only if itsderivative ismonotonically non-decreasing on that interval. If a function is differentiable and convex then it is alsocontinuously differentiable.
- A differentiable function of one variable is convex on an interval if and only if its graph lies above all of itstangents:[7]: 69 for all and in the interval.
- A twice differentiable function of one variable is convex on an interval if and only if itssecond derivative is non-negative there; this gives a practical test for convexity. Visually, a twice differentiable convex function "curves up", without any bends the other way (inflection points). If its second derivative is positive at all points then the function is strictly convex, but theconverse does not hold. For example, the second derivative of is , which is zero for but is strictly convex.
- This property and the above property in terms of "...its derivative is monotonically non-decreasing..." are not equal since if is non-negative on an interval then is monotonically non-decreasing on while its converse is not true, for example, is monotonically non-decreasing on while its derivative is not defined at some points on .
- If is a convex function of one real variable, and , then issuperadditive on thepositive reals, that is for positive real numbers and .
Since is convex, by using one of the convex function definitions above and letting it follows that for all real From , it follows that Namely, .
- A function is midpoint convex on an interval if for all This condition is only slightly weaker than convexity. For example, a real-valuedLebesgue measurable function that is midpoint-convex is convex: this is a theorem ofSierpiński.[8] In particular, a continuous function that is midpoint convex will be convex.
Functions of several variables
edit- A function that is marginally convex in each individual variable is not necessarily (jointly) convex. For example, the function ismarginally linear, and thus marginally convex, in each variable, but not (jointly) convex.
- A function valued in theextended real numbers is convex if and only if itsepigraph is a convex set.
- A differentiable function defined on a convex domain is convex if and only if holds for all in the domain.
- A twice differentiable function of several variables is convex on a convex set if and only if itsHessian matrix of secondpartial derivatives ispositive semidefinite on the interior of the convex set.
- For a convex function thesublevel sets and with are convex sets. A function that satisfies this property is called aquasiconvex function and may fail to be a convex function.
- Consequently, the set ofglobal minimisers of a convex function is a convex set: - convex.
- Anylocal minimum of a convex function is also aglobal minimum. Astrictly convex function will have at most one global minimum.[9]
- Jensen's inequality applies to every convex function . If is a random variable taking values in the domain of then where denotes themathematical expectation. Indeed, convex functions are exactly those that satisfies the hypothesis ofJensen's inequality.
- A first-orderhomogeneous function of two positive variables and (that is, a function satisfying for all positive real ) that is convex in one variable must be convex in the other variable.[10]
Operations that preserve convexity
edit- is concave if and only if is convex.
- If is any real number then is convex if and only if is convex.
- Nonnegative weighted sums:
- if and are all convex, then so is In particular, the sum of two convex functions is convex.
- this property extends to infinite sums, integrals and expected values as well (provided that they exist).
- Elementwise maximum: let be a collection of convex functions. Then is convex. The domain of is the collection of points where the expression is finite. Important special cases:
- If are convex functions then so is
- Danskin's theorem: If is convex in then is convex in even if is not a convex set.
- Composition:
- If and are convex functions and is non-decreasing over a univariate domain, then is convex. For example, if is convex, then so is because is convex and monotonically increasing.
- If is concave and is convex and non-increasing over a univariate domain, then is convex.
- Convexity is invariant under affine maps: that is, if is convex with domain , then so is , where with domain
- Minimization: If is convex in then is convex in provided that is a convex set and that
- If is convex, then its perspective with domain is convex.
- Let be a vector space. is convex and satisfies if and only if for any and any non-negative real numbers that satisfy
Strongly convex functions
editThe 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 function is twice continuously differentiable and the domain is the real line, then we can characterize it as follows:
- convex if and only if for all
- strictly convex if for all (note: this is sufficient, but not necessary).
- strongly convex if and only if for all
For example, let be strictly convex, and suppose there is a sequence of points such that . Even though , the function is not strongly convex because will become arbitrarily small.
More generally, a differentiable function is called strongly convex with parameter if the following inequality holds for all points in its domain:[12] or, more generally, where is anyinner product, and is the correspondingnorm. Some authors, such as[13] refer to functions satisfying this inequality aselliptic functions.
An equivalent condition is the following:[14]
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 parameter is that, for all in the domain and
Notice that this definition approaches the definition for strict convexity as and is identical to the definition of a convex function when Despite this, functions exist that are strictly convex but are not strongly convex for any (see example below).
If the function is twice continuously differentiable, then it is strongly convex with parameter if and only if for all in the domain, where is the identity and is theHessian matrix, and the inequality means that ispositive semi-definite. This is equivalent to requiring that the minimumeigenvalue of be at least for all If the domain is just the real line, then is just the second derivative so the condition becomes . If then this means the Hessian is positive semidefinite (or if the domain is the real line, it means that ), 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 of implies that it is strongly convex. UsingTaylor's Theorem there exists such that Then by the assumption about the eigenvalues, and hence we recover the second strong convexity equation above.
A function is strongly convex with parameterm if and only if the function is convex.
A twice continuously differentiable function on a compact domain that satisfies for all 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
editIff is a strongly-convex function with parameterm, then:[15]: Prop.6.1.4
- For every real numberr, thelevel set {x |f(x) ≤r} iscompact.
- The functionf has a uniqueglobal minimum onRn.
Uniformly convex functions
editA uniformly convex function,[16][17] with modulus , is a function that, for all in the domain and satisfies where is a function that is non-negative and vanishes only at 0. This is a generalization of the concept of strongly convex function; by taking we recover the definition of strong convexity.
It is worth noting that some authors require the modulus to be an increasing function,[17] but this condition is not required by all authors.[16]
Examples
editFunctions of one variable
edit- The function has , sof is a convex function. It is also strongly convex (and hence strictly convex too), with strong convexity constant 2.
- The function has , sof is a convex function. It is strictly convex, even though the second derivative is not strictly positive at all points. It is not strongly convex.
- Theabsolute value function is convex (as reflected in thetriangle inequality), even though it does not have a derivative at the point It is not strictly convex.
- The function for is convex.
- Theexponential function is convex. It is also strictly convex, since , but it is not strongly convex since the second derivative can be arbitrarily close to zero. More generally, the function islogarithmically convex if is a convex function. The term "superconvex" is sometimes used instead.[18]
- The function with domain [0,1] defined by for is convex; it is continuous on the open interval but not continuous at 0 and 1.
- The function has second derivative ; thus it is convex on the set where andconcave on the set where
- Examples of functions that aremonotonically increasing but not convex include and .
- Examples of functions that are convex but notmonotonically increasing include and .
- The function has which is greater than 0 if so is convex on the interval . It is concave on the interval .
- The function with , is convex on the interval and convex on the interval , but not convex on the interval , because of the singularity at
Functions ofn variables
edit- LogSumExp function, also called softmax function, is a convex function.
- The function on the domain ofpositive-definite matrices is convex.[7]: 74
- Every real-valuedlinear transformation is convex but not strictly convex, since if is linear, then . This statement also holds if we replace "convex" by "concave".
- Every real-valuedaffine function, that is, each function of the form is simultaneously convex and concave.
- Everynorm is a convex function, by thetriangle inequality andpositive homogeneity.
- Thespectral radius of anonnegative matrix is a convex function of its diagonal elements.[19]
See also
edit- Concave function
- Convex analysis
- Convex conjugate
- Convex curve
- Convex optimization
- Geodesic convexity
- Hahn–Banach theorem
- Hermite–Hadamard inequality
- Invex function
- Jensen's inequality
- K-convex function
- Kachurovskii's theorem, which relates convexity tomonotonicity of the derivative
- Karamata's inequality
- Logarithmically convex function
- Pseudoconvex function
- Quasiconvex function
- Subderivative of a convex function
Notes
edit- ^"Lecture Notes 2"(PDF).www.stat.cmu.edu. Retrieved3 March 2017.
- ^"Concave Upward and Downward".Archived from the original on 2013-12-18.
- ^Stewart, James (2015).Calculus (8th ed.). Cengage Learning. pp. 223–224.ISBN 978-1305266643.
- ^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
- ^Uvarov, Vasiliĭ Borisovich (1988).Mathematical Analysis. Mir Publishers. p. 126-127.ISBN 978-5-03-000500-3.
- ^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
- ^abBoyd, Stephen P.; Vandenberghe, Lieven (2004).Convex Optimization(pdf). Cambridge University Press.ISBN 978-0-521-83378-3. RetrievedOctober 15, 2011.
- ^Donoghue, William F. (1969).Distributions and Fourier Transforms. Academic Press. p. 12.ISBN 9780122206504. RetrievedAugust 29, 2012.
- ^"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.
- ^Altenberg, L., 2012. Resolvent positive linear operators exhibit the reduction phenomenon. Proceedings of the National Academy of Sciences, 109(10), pp.3705-3710.
- ^"Strong convexity · Xingyu Zhou's blog".xingyuzhou.org. Retrieved2023-09-27.
- ^Dimitri Bertsekas (2003).Convex Analysis and Optimization. Contributors: Angelia Nedic and Asuman E. Ozdaglar. Athena Scientific. p. 72.ISBN 9781886529458.
- ^Philippe G. Ciarlet (1989).Introduction to numerical linear algebra and optimisation. Cambridge University Press.ISBN 9780521339841.
- ^abYurii Nesterov (2004).Introductory Lectures on Convex Optimization: A Basic Course. Kluwer Academic Publishers. pp. 63–64.ISBN 9781402075537.
- ^Nemirovsky and Ben-Tal (2023)."Optimization III: Convex Optimization"(PDF).
- ^abC. Zalinescu (2002).Convex Analysis in General Vector Spaces. World Scientific.ISBN 9812380671.
- ^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.
- ^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.
- ^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
edit- 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.