Convex analysis is the study of properties of convex sets and convex functions. For questions about optimization of convex functions over convex sets, please use the (convex-optimization) tag.

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An inequality involving expectation and a concave function

I have a real-valued random variable $X$ and a function defined on the real line $x \mapsto U(x)$ which is concave and strictly increasing. What I am wondering is whether the following is true. For ...
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When is a mapping the proximity operator of some convex function?

Sorry for cross-posting from MO. It's been a few days and the question hasn't received any attention there. So, is there a characterization of mappings $p : \mathbb R^n \rightarrow \mathbb R^n$ which ...
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23 views

Concave up theorem for $f:A \to\mathbb R, A \subseteq \mathbb R $ - True or false?

I am a 1st year-2nd semester student of the department of Applied Mathematics @ NTUA. Some days ago, I had a really interesting conversation with one of my old school mathematics teacher about a ...
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26 views

Minima of two convex functions that are “close” to each other

Consider two convex functions $f_1 : \mathbb{R}^n \to \mathbb{R}$ and $f_2 : \mathbb{R}^n \to \mathbb{R}$ such that $\hspace{2cm} |f_1(x) - f_2(x)| \leq \epsilon \hspace{2cm} \forall x \in \mathbb{R}^...
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Is $h(x,y) = g(x)f(y)$ convex, if $g(x)$ and $f(y)$ are convex in $x$ and $y$, respectively?

I want to check if $h(x,y) = g(x).f(y)$ is convex, given that g(x) is convex and decreasing in $x$ on its and $f(y)$ is increasing and convex in $y$. Is there any way to check/prove the convexity of $...
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39 views

Good text book recomendation

I would like to do some reading about a technique called sequential convex programming. There is a lot of material about sequential quadratic programming out there, including books (Nocedal & ...
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25 views

Alaoglu & Krein-Milman to show bounded convex weak-$*$ closed subset has extreme point

Let $X$ be a normed linear space and $K$ a bounded convex weak-$*$ closed subset of $X^{*}$. I need to show that $K$ possesses an extreme point; however, I am not entirely sure how to do this. I ...
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26 views

Are odd functions that are concave and increasing everywhere necessarily linear?

The title gives away pretty much the entire question except for the fact that the class of functions I am interested in is a subset of twice continuously differentiable functions. I think that if an ...
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22 views

What value of 'a' will be the function is convex, concave or not either?

$$f(x,y) = -6x^2 + (2a+4)xy - y^2 + 4ay$$ The solution has to be : $$-2-\text{gyök}(6) \leq a \leq -2 + \text{gyök}(6)$$ I tried to define the derivation of the function accordance with $x$ , and ...
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19 views

Caratheodory's theorem for a point in boundary

I am wondering whether the following holds: if $x$ in $\mathbb{R}^d$ lies in the boundary of the convex hull of a set $P$, then $x$ can be expressed as a convex combination of $d$ points in $P$. We ...
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How to prove this inequality about the arc-lenght of convex functions?

Let be $f,F:[0,1] \to \mathbb{R}$ with $f,F \in C^2([0,1])$ two convex functions such that $f \le F$ in all points and $f(0)=F(0)$, $f(1)=F(1)$. Considering the plane-curves $\gamma(t)=(t,f(t))$ and $...
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39 views

maximum of a concave function in a minkowski sum

Let: $f(x,y)$ - a strictly-concave function, monotonically increasing in $x$ and $y$; $A,B$ - two compact and convex sets in the positive quadrant; $C$ - their Minkowski sum, $A+B$; $(x_A,y_A)$ - ...
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15 views

convex function on open interval

I have a quick question. If a continuous function $f$ is convex on $(a,b)$, then the following is true? Could you explain why or why not it is true? $for \,\,x\in(a,b)$, $t=\frac{x}{b}<1$ Thus, $...
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How to get inequality representation of cone give by generators

To be as specific as possible, I have a subspace $I \subset R^{14}$ of dimension $3$ and an $11\times14$ matrix $A$ with linearly independent rows spanning the orthogonal complement of $I$. I have an ...
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1answer
23 views

Property of Conical Hull

Let $H$ be a real Hilbert space and $C$ be a nonempty convex subset of $H$. The conical hull of $C$ is defined by $$ \operatorname{cone}{C} := \bigcup_{\lambda >0}{\lambda C}. $$ (it is a cone in ...
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Dual of a point which is in the convex cone of a set, contains the dual cone of that set

Let $\Lambda\subseteq R^n$ contains $m$ elements, where $\lambda_i$ is the $ith$ element, and $co(\Lambda)$ is the smallest convex cone contains $\Lambda$. Also, consider any point $u\in R^n$. Now, I ...
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Correctness of use induction in the proof

"Let $S$ be a subset of vector space $V$. Let $P_1, ... , P_n$ be elements of vector space $V$. Let $S$ be the set of all linear combinations $t_1 P_1 + ... t_n P_n$, with $0 \le t_i$ and $t_1 + ... ...
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39 views

Proving function is convex argmin

How can I show that the following function is convex in which Z is a random variable? $$\rho(Z)=\frac{2}{3}argmin_{t}\{t+10\mathbf{E}[Z-t]_{+}\}+\frac{1}{3}argmin_{t}\{t+5\mathbf{E}[Z-t]_{+}\}$$ I ...
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Closed-form solution for a simple system of concave equations

I am trying to solve what looks like a simple system of equations: $$x_j = A_j\left(\sum_{i=1}^n B_{ij} x_i\right)^\alpha $$ for all $j\in\{1,\dots,n\}$, where $n$ is a positive integer, $0<\...
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26 views

Under which conditions is $f(x)=\frac{1}{2}x^TPx+q^Tx+r$ convex?

I am given the function $$f(x)=\frac{1}{2}x^TPx+q^Tx+r$$ and am asked to establish under which conditions $f(x)$ is a convex function. I have to use the definition of a convex function where we look ...
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38 views

How can show the following function is log-concave?

Suppose that $g(x)$ is an increasing function and $0\leq g(x)\leq1$. I was working on a problem and it reduced to show that if $1-g(x)$ is log-concave then $$f(x)=(1-g^a(x))^b, a\geq 1, b,x>0$$ is ...
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integrality of generators for the dual cone semigroup

$\newcommand{\R}{\mathbb{R}}$ $\newcommand{\Z}{\mathbb{Z}}$ Let $N$ be a lattice in $\Z^d$, $N \otimes_\Z \R:=N_\R$, the dual lattice be $M=hom(N,\Z)$, and $M_\R:=N_\R^*=N^* \otimes_\Z \R^*$. Let $\...
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73 views

Is function $f(x) = \left( ( {\bf w} -x {\bf v})^T ( {\bf w} -x {\bf v}) \right)^k$ convex for $k \ge 1/2$

Let ${\bf v}$ and ${\bf w}$ be column vector of dimension $n$. Is function $f(x) = \left( ( {\bf w} -x {\bf v})^T ( {\bf w} -x {\bf v}) \right)^k$ convex for $k \ge 1/2$ ? I want to show this via ...
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102 views

Find a positive convex function $f$ defined on $[a,b]$, s.t. $f(a)\times f(b)=1$ and $\int_a^b{f'^2dt}=12$

Find a function $f:[a,b]\to \mathbb{R}$ which is convex on $[a,b]$ such that $\int_a^b{f(t)dt}=0$, $\int_a^b{f'^2(t)dt}=\frac{12}{b-a}$, and $f(a)f(b)=1$? Another similar question which states: Find ...
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39 views

How to get explicit solution of the fractional minimization problem?

I need to minimize $f(x) = \frac{x^tQx}{a^tx-b}$, $Q$ is positive definite, $a,b$ are constant vector. But when I take gradient and set it equal to $0$, it's hard to get an explicit expression for $x$....
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20 views

How to show affine function is translation of linear function?

$f:R^n\rightarrow R$ , if $\forall x,y \in R^n \text{ and } \lambda \in[0,1]$ $$ f(\lambda x+(1-\lambda) y )= \lambda f(x)+(1-\lambda )f(y) $$ How to show $g(x)=f(x)-f(0)$ is linear ? I try to prove ...
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10 views

bound $\delta_{s+1}$ from $\delta_s - \frac{1}{2\beta \| x_1 - x^\star \|^2} \delta_{s+1}^2$

The origin of the problem is on page 271, Convex optimization: Algorithm and complexity Given a function $f$ convex and $\beta$-smooth. Define $\delta_s = f(x_s) - f(x^\star)$, where $x_s$ is the ...
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27 views

Closed convex hull = closure of convex hull?

If the "closed convex hull" of A is the intersection of all closed convex sets containing A, is this the same as the closure of the convex hull of A? Many have asked whether the closure of the convex ...
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1answer
51 views

Prove $(1+x)^p+(1-x)^p \ge 2(1+x^p)$ for $0\le x\le1$ and real number $p\ge2$.

I don't know how to prove the following questions: If $p\ge2$ is real, then $$ (1+x)^p+(1-x)^p \ge 2(1+x^p) \quad \text{for } 0\le x\le1; $$ if $1\le p<2$, then opposite direction of the inequality ...
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36 views

Two decreasing, convex functions agreeing on a closed set

Fix a closed subset $B$ of $[0,\infty)$ and assume that $0\in B$. I am striving to construct two functions $f,g:[0,\infty)\to\mathbb R$ such that $f(0)=g(0)=1$; $f(x)\geq 0$ and $g(x)\geq0$ for each ...
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1answer
16 views

Convex subsets of a topological vector space

I'm trying to prove: Let $X$ be a topological vector space and $A \subseteq X$. $A$ is convex if and only if $$\forall s,t \in \mathbb{R}_{+}, (s+t)A = sA + tA $$ Let $sx + ty \in sA + tA$. How ...
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Compute the edges of P

Let $P=\{v \in \mathbb R^2 | Av \leq b\}$, where $$ A= \begin{pmatrix} -1 & -1 \\ 2 & -1 \\ -1 & 2 \\ 1 & 2 \end{pmatrix}, b= \begin{pmatrix} 0 \\ 1 \\ 1 \...
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1answer
27 views

Dual of the Minkowski Sum

Suppose $X$ and $Y$ are convex sets in $\mathbb{R}^d$ such that the origin is in each of their interiors. Then the dual of $X$, $X'$ is defined as the set of linear functionals $\alpha$ such that $\...
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15 views

Convert this problem with 2-norm cost to an SOCP?

I am solving a non-convex problem via sequential convex optimization. Here is a minimal example of my problem at iteration $i$: $$ \begin{align*} \min_{\Delta t,F_i}&\left( \Delta t+m\|\eta_{\...
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35 views

Positivity of the last component of non negative least squares based on active set method

I have followed the instructions given in Lawson and Hanson book for non-negative least squares using active set method. I am having a trouble in justifying one of the statements they have made about ...
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1answer
24 views

Proving that the tangent to a convex function is always below the function

Consider a real-valued convex function f defined on an open interval $(a,b) \subset \mathbb{R}$. $x,y \in (a,b)$. I want to prove that \begin{equation} f((1-\lambda)x + \lambda y) \leq (1-\lambda)f(x)...
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86 views

Why is the Barycenter operation in Hadamard spaces Lipschitz continuous?

I am looking into exercise 9.2.22 of "A course in metric geometry" by Burago-Burago-Ivanov. For a Hadamard space $H$ (a complete simply connected metric space of nonpositive curvature in the ...
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Can a figure inside a circle be seen at right angle from any point on the circle?

A convex, closed figure lies inside a given circle. The figure is seen from every point of the circumference at a right angle (that is, the two rays drawn from the point and supporting the convex ...
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1answer
17 views

Proving convexity from 2-dimensional convexity

I have a function $f(x_1,x_2,\ldots,x_m):\mathbb{R}^m\rightarrow \mathbb{R}$ ($m\geq 2$) that is jointly convex in $x_i$ and $x_j$ for all $i$ and $j$. Can I prove that this function is convex in $\...
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35 views

How to deal with an $xy\le 1$ constraint?

I have to solve the following optimization problem: $$ \begin{align*} \min_{x,y} &\{-x-y\} \\ \text{such that} \\ y &\ge 3 \\ y &\le 30 \\ x &\ge 0 \\ xy &\le 1 \\ \end{align*} $$ ...
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1answer
26 views

A bound (dominated function) for $\cosh^2\left(t\sqrt{1-\gamma^2}\right)$

I would like to bound $$\cosh^2\left(t\sqrt{1-\gamma^2}\right)$$ for all $t\in\mathbb{R}$, where $\gamma^2\leq1$. How can I do such thing? This inequality maybe useful cosh x inequality
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Showing that $f$ is convex given that $(\nabla f(x) - \nabla f(y)) \cdot (x-y) \geq c(x-y)\cdot(x-y), \;\;\forall x,y \in \mathbb{R}^n$

Assume that $f$ is continuously differentiable and that for some constant $c > 0,$ the gradient $\nabla f$ satisfies, \begin{equation} (\nabla f(x) - \nabla f(y)) \cdot (x-y) \geq c(x-y)\cdot(x-y), ...
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29 views

How to prove that Bezier(t) polynomial lies in convex hull of points (i/n,ai) for i from 1 to n

I think i should prove firstly that: Bn,$x(t)$ for t between $0$ and $1$ lies inside the convex hull of the points $(k/n, xk)$. I know only that$ k/n$ = max between $0$ and $1$ and i found that Bezier ...
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29 views

How to say $\text {log}\ \ a^{-1} \geq 1-a$ from the concavity of $\text{log}(\cdot)$

I am reading a paper and confront the following small trick: $\text {log}\ \ a^{-1} \geq 1-a$, where $0\leq a \leq1$. By the concavity of $\text{log}(\cdot)$. From the formula: $f(\...
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1answer
20 views

Convexify $x\le a+by^2$

I have the following non-convex constraint: $$ x\le a+by^2\quad\text{where}\quad a,b>0,\,y\in[0,y_{max}]\text{ and }a\approx by_{max}^2 $$ On a drawing, it looks something like this: The above ...
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1answer
18 views

How to prove that the right derivative of a convex function is right continuous?

let $f$ be a convex function and $D^+f$ be the right-derivative of $f$, I want to show that $D^+f$ is right continuous. first I want to use the $\epsilon-\delta$: by the definition of $D^+f$, $\...
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5 views

(M,N) J-convex functions

During my analysis course, our teacher told us about (M,N) J-convex functions and quasi-arithmetic means. Do you know any article I could find out more information? Thank you!
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1answer
58 views

How to show $\partial A = \varnothing \Rightarrow A=R^n$ [closed]

Let $A\subset R^n$ and dim$A=n$, $\partial A$ is the relative boundary of $A$. If $\partial A=\varnothing$ how to show $A$ is $R^n$ ? Picture below is from XX page of Schneider R.-Convex Bodies_ ...
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1answer
26 views

Integral as a member of the closure of the convex hull of the integrand

Suppose that $X$ is compact and metric and let $g:X\to\mathbb R$ be a Borel map. Let $\mu$ be a Borel probability measure on $X$. Then it seems that $\int_Xgd\mu$ is a member of the closure of the ...
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11 views

reference for convex function results

Here is a simple property of a concave function from $\mathbb{R}$ to $\mathbb{R}$, Given $x,x'\in \mathbb{R}$ with $x'>x$, if $\exists \kappa'\in (0,1)$ such that $$c(\kappa'x+(1-\kappa')x')=\...