Scribd
Upload
11 views4 pages

Math-Chapter 5

Uploaded by

Elias Macher
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
11 views4 pages

Math-Chapter 5

Uploaded by

Elias Macher
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 4

Chapter #5: Convexity

Math Econ (MEF)


Raúl Bajo ([email protected])

Affine subspaces
1 p n
Pp
• An affine
Ppcombination of the vectors x , · · · , x ∈ R is a sum k=1 λp ·xp
where k=1 λk = 1, λk ∈ R for all k.
• An affine subspace of Rn is a subset X that is stable by affine combinations:
 1 Pp Pp
x , · · · , xp ∈ X, k=1 λk = 1 ⇒ k=1 λk xk ∈ X
• The vectors x1 , · · · , xp are called affinely indepedent if and only if for all
λk ∈ R for all k:
Pp k
Pp
k=1 λk x = 0 and k=1 λk = 0 ⇒ {λ1 = 0, · · · , λp = 0}

• Some properties

. {x1 , · · · , xp affinely independent} ⇒ {x2 −x1 , x3 −x1 , · · · , xp −x1 linearly independent}


. In R we can have at most n + 1 affinely independent vectors.
. X is an affine subspace ⇔ ∀a ∈ X we have X − {a} is a linear
subspace.

• The affine dimension of X is defined as the (linear) dimension of X. This,


in an affine subspace of dimension l one can find at most l + 1 affinely
indepedent vectors.
Examples:

. A point X = {a} is an affine subspace of dimension 0.


. A line borne by b and going through a, X = {x | ∃λ ∈ R x = a + λb}
is an affine subspace of dimension 2.
. In general, the affine hyperplane X = {x | x · a = λ} where a ∈ Rn
and λ ∈ R is of affine dimension n − 1.

Convex sets
1 p n
Pp
• A convex
Ppcombination of the vectors x , · · · , x ∈ R is a sum k=1 λk xk
where k=1 λk = 1 and λk ≥ 0 for k = 1, · · · , p.
• A subset C ⊆ Rn is convex if it is stable be convex combinations:
 1 Pp Pp
x , · · · , xp ∈ C, λ1 , · · · , λp ∈ R+ k=1 λk = 1 ⇒ k
k=1 λk x ∈ C

. Equivalent definition: {x, y ∈ C, 0 ≤ λ ≤ 1} ⇒ {λx + (1 − λ)y ∈ C}

1
. E.g. the convex sets of R are the intervals of R; a closed ball or an
open ball for any norm in Rn .

• Stability properties of convex sets:

. A (finite or infinite) intersection of convex sets is convex.


. Corollary: a set defined by an arbitrary number of linear inequalities
is convex. That is
x ∈ C ⇔ A · x ≤ b where A is m × n and b ∈ Rm
. Convexity is preserved by any affine transformation (e.g. scalar mul-
tiplication, translation, etc.)
. Convexity is preserved by addition: C, D convex in Rn ⇒ C + D
convex.
. Convexity is preserved by cartesian product: {Ci convex in Rni , i =
1, 2} ⇒ C × D convex in Rn1 +n2

• The convex hull of a subset X ⊆ Rn is denoted CO(X) and defined in


two equivalent ways:
CO(X) is the intersection of all the convex sets containing X, or
Pn k 1 p n
CO(X) = k=1 λk x | x , · · · , x ∈ R is the set of all convex combi-
nations of points in X.
• The dimension of a convex set is the affine dimension of the affine subset
generated by X, namely the set of affine combinations of vectors in X.
 1
. If x , · · · , xp are p affinely independent vectors in Rn , their convex
hull CO[x1 , · · · , xp ] is called a simplex of dimension p − 1.

• Topological properties of convex sets:

. If C ⊆ Rn is a convex set, x ∈ int C (interior point of C) and y ∈ C


(a limit point of C), then λx+(1−λ)y ∈ int C for all λ s.t. 0 < λ ≤ 1.
. If C is convex, its interior int C and closure Cl C are both convex.
. The convex hull of a compact set is compact.
. The convex hull of a closed set may not be closed.

• The closed convex hull of a subset X is the set, denoted CO(X), inter-
section of all closed convex sets containing X. It is also the closure of
CO(X): CO(X) = CO(X) ⊇ CO(X).

Convex, concave functions


• If C ⊆ Rn is convex, and f is a function from C into R, we say that
f is convex (or concave up) if it satisfies the two following equivalent
properties:
Pp Pp 
∀x1 , · · · , xp ∈ C, ∀λ1 , · · · , λp ∈ R+ s.t. k=1 λk = 1 ⇒ f k=1 λk x
k
≤
P p k
k=1 λ k f (x ), or
∀x, y ∈ C ∀λ ∈ [0, 1] we have that f (λx + (1 − λ)y) ≤ λf (x) + (1 − λ)f (y)

2
• The function f from C into Rn is strictly convex iff
∀x, y ∈ C ∀λ ∈ [0, 1] we have that f (λx + (1 − λ)y) < λf (x) + (1 − λ)f (y)

• The function f from C into Rn is concave (or concave down) if −f is


convex.

. E.g. f (x) = xα is strictly convex if α > 1 and strictly concave for


0 < α < 1.

• A function f is both concave and convex on C ⊆ Rn iff it is affine on C:


f (x) = a · x + b for some a ∈ Rn , b ∈ R.
• Operations on convex functions:
. If f : C → R is convex, and h : R → R is convex and non-decreasing,
then g ◦ f is convex on C.
. Convexity is respected by positive linear combinations:
Pp
f1 , · · · , fp convex and λ1 , · · · , λp ∈ R+ ⇒ k=1 λk fk is convex.
. The supremum of any set of convex functions is convex: fi convex
⇒ g(x) = supi∈I fi (x) is convex (similarly, the infimum of concave
functions is concave).
• Continuity of convex functions:

. A convex function f0 from C ⊆ Rn into R is continuous on int C.


. A convex function f from the bounded convex set C ⊆ Rn into R is
bounded from below: inf x∈C f (x) > −∞
• Quasi-convexity: the function f from C into R is quasi-convex iff it satisfies
one of the two following equivalent properties:
∀λ ∈ R {x ∈ C | f (x) ≤ λ} is convex, or
∀x, y ∈ C ∀λ ∈ [0, 1] we have f (λx + (1 − λ)y) ≤ sup{f (x), f (y)}
• The function f is called quasi-concave iff −f is quasi-convex.

. E.g. if C ⊆ R, then f is quasi-concave iff f is monotone on C, or


f is “single-peaked” that is, there exists c ∈ C such that f is non
decreasing to the left of c and non-increasing to its right.

• Operations on quasi-convex/quasi-concave functions:


. If f : C → R is quasi-convex and h : R → R is non-decreasing, then
g = h ◦ f is quasi-convex.
. The supremum of any set of quasi-convex functios is quasi-convex.
. The infimum of any set of quasi-concave functios is quasi-concave.

3
Separation theorems
• Strict separation theorem:
If C1 , C2 are both convex, if C1 is closed and C2 is compact (closed and
bounded), and if C1 ∩ C2 = ∅, there exists a ∈ Rn such that:
supx∈C1 a · x < inf y∈C2 a · y
This means that there exists an affine hyperplane H such that C1 and C2
are in the two opposite open halfspaces defined by H.

• Proper separation theorem: if C1 and C2 are both convex in Rn , and if


C1 ∩ C2 = ∅ the can be properly separated. That is, the linear form
x → a · x separates properly the two sets X, Y iff:

sup a · x ≤ inf a · y and inf a · x < sup a · y


X Y X Y

• There are many useful applications of the separation theorems. E.g. we


can define a closed convex set as the intersection of all halfspaces contain-
ing it. The well-known Farkas lemma (not required) is also a consequence
of the separation theorems.

You might also like