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I came into a practice problem on Lipschitz continuous gradient.

Given convex and twice continuously differentiable $f$, prove the following statements are equivalent.

  1. $\nabla f$ is Lipschitz continuous with constant $L$.

  2. $(\nabla f(x) − \nabla f(y))^T (x − y) \leq L \| x − y \|_2^2$ for all $x$, $y$.

$1\to2$ it can be tackled by the Cauchy-Schwartz inequality. However, I can not figure $2\to1$ out.

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  • $\begingroup$ Are you sure that the LHS of the second inequality is not $(\triangledown f(x) − \triangledown f(y))^T (\triangledown f(x) −\triangledown f(y))$? $\endgroup$ – user88923 May 8 '19 at 5:32
  • $\begingroup$ Hi, I checked the original statement. The statement indeed is as correct here. $\endgroup$ – JC Wang May 8 '19 at 18:41
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It easy to check that 2. is equivalent to the monotonicity of the gradient of the function $g:x\mapsto \frac L2 \|x\|_2^2-f(x)$, which is equivalent to the convexity of $g$.
The Hessian of $g$ at $x$ is $H(g)(x)=LI-H(f)(x)$ where $I$ denotes the identity matrix. Let $\operatorname{spec}(A)$ denote the eigenvalues of any matrix $A$. Note that $\operatorname{spec}(LI-H(f)(x)) = L-\operatorname{spec}(H(f)(x))$, and since $g$ is convex, $\operatorname{spec}(LI-H(f)(x)) \subset [0,\infty)$, hence $\operatorname{spec}(H(f)(x))\subset (-\infty,L]$. Convexity of $f$ implies the refinement $\operatorname{spec}(H(f)(x))\subset [0,L]$.

Let $h:[0,1]\to \mathbb R^n, t\mapsto \nabla(f)(x+t(y-x))$. $h$ is differentiable and $$\begin{aligned}\|h'(t)\|_2=\|H(f)(x+t(y-x))(y-x)\|_2 &\leq \max \left[\operatorname{spec}(H(f)(x+t(y-x)))\right] \|y-x\|_2\\ &\leq L \|y-x\|_2 \end{aligned} $$
The mean value inequality for vector-valued functions yields $\|h(1)-h(0)\|\leq L \|y-x\|_2$, hence the claim.

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