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I'm getting confused on how to prove this. I was thinking 2 points $x$ and $y$ that satisfy the definition of convex function $f((1-\lambda)x+\lambda y \le (1-\lambda)f(x)+\lambda f(y)$ where $\lambda \subset [0,1]$ and $x$ and $y$ are real numbers, but can't really plug them in cause the values you get back are outputs from a function the function output depends on which function outputs a larger value.

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The definition of convexity of $f$ is that $$f((1-t)x+ty)\le (1-t)f(x)+tf(y)\tag{1}$$ for all vectors $x$, $y$ in $\Bbb R^n$ and all $t\in[0,1]$.

In our case, take $f=\max(f_1,f_2)$ where $f_1$, $f_2$ are convex. Two prove an inequality $$\max(a,b)\le c$$ it suffices to prove both $$a\le c\quad \text{and}\quad b\le c.$$ So to prove $(1)$ we only need to prove both $$f_1((1-t)x+ty)\le (1-t)f(x)+tf(y)\tag{2}$$ and $$f_2((1-t)x+ty)\le (1-t)f(x)+tf(y).\tag{3}$$

The proofs of $(2)$ and $(3)$ are clearly going to be similar, so I'll only consider $(2)$. By the convexity of $f_1$ I know that $$f_1((1-t)x+ty)\le (1-t)f_1(x)+tf_1(y)\tag{4}.$$ But as $1-t\ge0$ and $t\ge0$, and $f_1(x)\le f(x)$ and $f_1(y)\le f(y)$, we have $(1-t)f_1(x)\le (1-t)f(x)$ and $tf_1(y)\le tf(y)$. Thus $$(1-t)f_1(x)+tf_1(y)\le (1-t)f(x)+tf(y).\tag{5}$$ Putting $(4)$ and $(5)$ together gives $(2)$.

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  • $\begingroup$ Brilliant thanks so much! except for the $\le c$ everything else makes perfect sense $\endgroup$ – Dylan Y Sep 26 '19 at 5:26
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Note that $\operatorname{epi} \max(f_1,f_2) = \operatorname{epi} f_1 \cap \operatorname{epi} f_2$. The intersection of convex sets is convex.

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  • $\begingroup$ what is epi? I actually like this proof except that I don't get how $epi max(f_1,f_2)$ is equal to their intersect $\endgroup$ – Dylan Y Sep 26 '19 at 6:25
  • $\begingroup$ $\operatorname{epi} f = \{ (x,\alpha) | \alpha \ge f(x) \}$. A function is convex iff its epigraph is convex. It is the points 'above' the graph of $f$. $\endgroup$ – copper.hat Sep 26 '19 at 6:28
  • $\begingroup$ That makes sense, but how does the epigraph of the max of 2 functions gives a intersection of the 2 functions? I'd imagine it'd just be the epigraph of whichever is larger no? $\endgroup$ – Dylan Y Sep 26 '19 at 6:48
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    $\begingroup$ O wait I just imagined it in my head and now I see it $\endgroup$ – Dylan Y Sep 26 '19 at 6:49

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