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0
votes
0answers
76 views

Characterization convex function [closed]

Let be $f:[0,1]\rightarrow\mathbb{R}$ a continuous function such that far all $a,b\in [0,1]$ with $a<b$ $$f\left(\frac{a+b}{2}\right)\leq\frac{1}{b-a}\int_a^b f(x)\,dx.$$ How to prove that $f$ is ...
4
votes
0answers
75 views

Strong convexity of the trace of the square root of a matrix function

Any clues about how to prove that the following function is strongly-concave in $x$? (We conjecture it is $2$-strongly concave but cannot prove it. We have already proved strict concavity through ...
3
votes
1answer
94 views

$\mathcal{H}$-polyhedron under a linear map

Let $P = \{ x \in \mathbb{R}^n \mid Ax \leq b \}$ be a (bounded) polyhedron for $A \in \mathbb{R}^{m \times n}$ and $b \in \mathbb{R}^m$, $n,m > 0$. Moreover, let $M \colon \mathbb{R}^n \to ...
4
votes
2answers
117 views

When does a cone contain its dual cone?

Let $V$ be a finite-dimensional vector space with an inner-product $(,)$ and let $C\subset V$ be a cone in $V$. Let $C^\vee$ denote the dual of $C$ with respect to $(,)$, i.e., the set of vector $v\in ...
1
vote
0answers
67 views

Convex Optimization related problem

Suppose two non-negative convex functions $f$ and $g$ be given. We want to solve the following optimization $$\max_{g\leq\epsilon}f.$$ Now suppose that both $f$ and $g$ can be upper-bounded by a ...
1
vote
0answers
249 views

On increasing the penalty term in convex optimization with regularization

Given the two strictly convex (unique solution) optimization problems as: $$Problem\:1:\min_{X} f(X)+\|X\|_{F}^2 \hspace{2cm}Problem \:2:\min_{X}f(X)+n\|X\|_2^2$$ where $X\in\mathbf{S}_{++}^{n}$ ...
3
votes
0answers
96 views

Decreasing sequence of closed convex sets in a Banach space

Let $(C_n)$ be a decreasing sequence of closed convex subsets in a Banach space $(E,\Vert \cdot \Vert)$. The question I have is about the content of $C=\bigcap_{n=0}^\infty C_n$. If the $C_n$ are ...
3
votes
2answers
68 views

Is the prox-residual monotone?

$\newcommand{\scp}[2]{\langle #1,#2\rangle}\newcommand{\id}{\mathrm{Id}}$ Let $f$ and $g$ be two proper, convex and lower semi-continuous functions (on a Hilbert space $X$ or $X=\mathbb{R}^n$) and let ...
2
votes
0answers
76 views

Lower convex envelope of a function involving entropy

Suppose two discrete random variables $X$ and $Y$ defined on finite sets $\mathcal{X}$ and $\mathcal{Y}$ are given and also suppose the conditional distribution $P_{Y|X}$ (i.e, channel) is fixed. We ...
3
votes
0answers
44 views

Minimax-like theorems involving union and intersection of regions in $\mathbb R^d$

From Minimax theorems, we roughly know that if $f(x,y)$ is convex on $X$ and concave $Y$ for both compact $X,Y$, then: $$ \max_{x\in X}\min_{y\in Y} f(x,y)=\min_{y\in Y}\max_{x\in X} f(x,y). $$ We can ...
0
votes
1answer
66 views

Lower semicontinuity of a Bochner integral of a convex function

I'm looking for the following result: Let $\Omega \subset \mathbb{R}^n$ be a bounded domain. The map $$u \mapsto \int_0^T \int_{\Omega} f(u(t))$$ is lower semicontinuous for $u \in ...
2
votes
0answers
141 views

Showing $\langle \frac{\partial b(v)}{\partial t}, v \rangle_{H^{-1}(\Omega), H^1(\Omega)} = \frac{d}{dt}\int_{\Omega}\Psi^*(b(v))$

Let $b$ be continuous and increasing with $b(0) = 0$. Define $\Psi(t) = \int_0^t b(s)\;ds$ and $\Psi^*(s) = \sup_{r \in \mathbb{R}} (sr-\Psi(r))$. (Note $\Psi^*(b(s)) + \Psi(s) = sb(s)$). Let $v ...
1
vote
1answer
115 views

Ergodic decomposition and integral representation of functions that depends on a measure

Let $X$ be a compact metric space, $T:X \to X$ continuous, $M_T(X)$ the set of borel measure that are $T$-invariant and $E_T(X)\subseteq M_T(X)$ the set of ergodic measures. The ergodic decomposition ...
1
vote
0answers
74 views

convergence of supergradient

Let $\{g_n\}$ be a sequence of concave functions defined on $\mathbb{R}$ and set $$\lambda_n(x)=\lim_{\Delta x\to 0+}\frac{g_n(x+\Delta x)-g_n(x)}{\Delta x}$$ Assume there exists a concave function ...
0
votes
0answers
40 views

convergence of concave envelope

Let $\{f_n\}$ be a sequence of uniformly upper bounded functions defined on $\mathbb{R}$ s.t. for every $x\in\mathbb{R}$ $$f_n(x)\to f(x),~ n\to\infty$$ Define $g_n$ and $g$ as the concave envelope ...
2
votes
0answers
101 views

Convex functions with non-singular hessian measure are continuously differentiable?

It is known that every convex function $f: \Omega\to \mathbb{R}$, $\Omega$ convex subset of $\mathbb{R}^n$, has a weak derivative of bounded variation $Df\in BV_{loc}(\mathbb{R}^n)$ (e.g. Evans and ...
0
votes
1answer
64 views

Extending affine maps defined on weakly closed sets to the whole topological space

Given $C$ a weakly closed convex subset of a (real) Banach space $B$, with $0\in C$ and $\varphi:C\longrightarrow \mathbb{R}$ weakly continuous, with $\varphi(0)=0$, can we extend $\varphi$ to a ...
-2
votes
1answer
90 views

Is dual cone unique? [closed]

Suppose we have the following relationship, note that $A,B,C$ are closed convex matrix cones, $A^\ast=C,$ $B^\ast=C,$ can we state that $A=B$? Is the dual cone of a cone is unique? the definition ...
0
votes
0answers
76 views

additive support functions of a convex set

Let $K \subset \mathbb{R}^d$ be a compact, convex set. It could be uniquely determined by its support function (for $u$ on the unit-sphere $S^{d-1}$), given by $$h_K(u) = \sup \{ \sum_{i=1}^d x_i ...
3
votes
2answers
140 views

Perimeter of a 'trapped' convex set

Consider the following setup: three bounded, 'nice' convex sets $A \subseteq B \subsetneq C \subset \mathbb{R}^2$, and three points $x,y,z\in \partial A\cap \partial B\cap \partial C$ (see edit ...
2
votes
5answers
218 views

Distance between two sets

Let $A, B$ be two convex and closed subsets of $\mathbb{R}^n$. We would like to the minimum distance between these two sets. i.e., we want to find a solution for the following problem. $$ \min ...
2
votes
1answer
83 views

Known Results on Convexity of Numerical Range

Let $A_1,A_2,\dots,A_M$ be given $N\times N$ hermitian matrices. The numerical range is defined as the set \begin{align} \mathbb{S}=\{(u^HA_1u,\dots,u^HA_Mu)\in \mathbb{R}^M\mid u^Hu=1\} \end{align} ...
3
votes
1answer
157 views

Characterization of a set in $\mathbb{R}^d$

Let $X= (X_1,\dots, X_d)$ be a fixed vector of random variables on the space $(\Omega, \mathcal{F}, \mathbb{P})$. Consider the following set. \begin{equation}\label{main12} C= \{x\in \mathbb{R}^d ~|~ ...
0
votes
1answer
99 views

On the upper bound of Hermitian matrices

Suppose we are given a Hermitian matrix $A$, how to describe the following set of Hermitian $S=\{X:X\geq \pm A\}$, where $Y\geq B$ is $Y-B$ is semidefinite matrix. This is of course a convex set, and ...
-1
votes
1answer
85 views

Exponential Convexity Results [closed]

$\textbf{Definition:}$ 1. A function $h : (a,b)\rightarrow\mathbb{R}$ is exponentially convex if it is continuous and $$\sum _{i, j=1}^n\xi_i\xi_jh(x_i+x_j)\geq 0,$$ for all $n\in\mathbb{N}$ and all ...
3
votes
3answers
204 views

infinite dimensional polyhedra

I have a reference request which I hope some reader here can help me with. I have encountered a set that has all the properties that one would expect from a polyhedral set (in the sense of finite ...
0
votes
1answer
132 views

Exponential Convexity

$\textbf{Definition:}$ 1. A function $h : (a,b)\rightarrow\mathbb{R}$ is exponentially convex if it is continuous and $$\sum _{i, j=1}^n\xi_i\xi_jh(x_i+x_j)\geq 0,$$ for all $n\in\mathbb{N}$ and all ...
0
votes
1answer
226 views

Generating independent random variable from two correlated random variables

Suppose two random variables $X$ and $V$ are given. I am wondering what kind of condition we need to impose on joint distribution of $V$ and $X$ to make sure that there exists a random variable $Z$ ...
11
votes
0answers
169 views

How large are the smallest-area projections of a high-dimensional convex body?

Let $B$ be a convex body in $\mathbb{R}^d$, equipped with its standard Euclidean form, and assume that $$\intop_B x \, dx = 0$$ $$\frac{1}{|B|_d} \intop_B x_i x_j \, dx = \delta_{ij},$$ a ...
3
votes
2answers
157 views

The epigraph of a semi-convex function has positive reach

I've been trying to prove the following theorem for several hours with no result so far. Claim. Let $f:\mathbb{R} \to \mathbb{R}$ be a semi-convex function, i.e. there exists a constant $C > 0$ ...
1
vote
1answer
198 views

positive semigroups and convex operator

Let $\{Z(t)\}_{t\geq 0}$ be a strongly continuous positive semigroup on a Banach lattice V. (endowed with ordering $\leq$). $\phi:V\rightarrow V$ is a convex operator. I want to prove that ...
1
vote
0answers
63 views

Directional derivates and unique subgradients

I have a question about the fine structure of convex functions. Convex functions behave very regular in the interior of their domain of definition (e.g. they are locally Lipschitz continuous there) ...
2
votes
2answers
97 views

Projection onto rotated box

Does anyone know if there is an efficient way to find the projection of an arbitrary point $z$ onto a rotated box, i.e. onto the set $\Omega=\{x \mid a \leq Ux \leq b\}$ where $U$ is a unitary matrix? ...
1
vote
0answers
72 views

monotone parabolic systems, convex variational structure and Legendre transform

The context: for my research I am currently looking at parabolic systems of the type $$ \left\{ \begin{array}{ll} \partial_t b(u)-\Delta u=0 \qquad & (t,x)\in \mathbb{R}^+\times\Omega\\ u=0 & ...
1
vote
0answers
123 views

Lipschitz continuity of solution set mapping of a parametric convex optimization problem

I have a parametric convex optimization problem: \begin{array}{cl} \underset{x}{\text{minimize}} & f\left(x,z\right)\\ \text{subject to} & g\left(x\right)\leq0 \end{array} where $x$ is the ...
1
vote
1answer
101 views

Relative interior and dense subsets

(This is a cross-post from here.) Let $A,B\subseteq \mathbb R^d$ be non-empty, such that $B\subseteq \overline A.$ For $S\subseteq\mathbb R^d$ define the relative interior of $S$ by ...
1
vote
1answer
105 views

Does John's Ellipsoid preserve subset ordering? [duplicate]

Let $K \subset \mathbb{R}^d$ be a convex body, symmetric about the origin and with nonempty interior. Then John's theorem asserts that there exists a unique ellipsoid $E$ of minimal volume such that ...
-1
votes
1answer
46 views

Determining the sign of each element of the optimal of a strict convex function

The problem is: Let $\vec{x}\in\mathbb{R}^d$ be the variable and $f(\vec{x})$ be a scalar function that is globally strictly convex in $\mathbb{R}^d$. We assume the unique optimum of $f$ to be ...
0
votes
0answers
100 views

Uniform convergence of difference quotients of a convex function

Let $f(\cdot):\mathbb{R}^n\rightarrow \mathbb{R}$ be a convex function. At $x$ denote the subdifferential by $\partial f(x)$ which is compact and closed. Now, define the approximation of $f$ around a ...
1
vote
1answer
182 views

How to examine the convexity of a complex function numerically?

I have a function which does not have a closed form . Large numerical effort should be done to evaluate the function for even a single point. How can I examine the convexity of my function over the ...
2
votes
0answers
145 views

An intuition for three different types of subgradients (proximal, regular, limiting)

I'm having a bit of difficulty getting my head around the different types of subgradients we're currently covering in a nonsmooth optimisation class I'm taking. These subgradients are (assume $x \in$ ...
0
votes
0answers
101 views

Min of a real-valued Fourier transform

Let $P$ be a compact, convex, symmetric, $d$-dimensional body in $\mathbb R^d$, and let $\mu$ be a (necessarily) symmetric probability measure on $P$, so that $\mu_P(x) = \mu_P(-x)$, for all $x \in ...
1
vote
0answers
91 views

Linearization of cones

Suppose that $K$ is a closed convex cone in $R^{n}$. Is there a "nice" function $f:R^{n} \rightarrow R^{m}$ so that $f(K)$ is a subspace? What about an approximate subspace?
2
votes
0answers
85 views

How to prove convexity for a complex integral including the variable in both limits and integrand?

During my research [on inventory management policies, i.e., something really applied ;-) ] I stumbled on integrals of the following type and I'm curious under which circumstances there are convex. ...
1
vote
2answers
419 views

Hessian of function of covariance matrices

Suppose we have a typical logdet function $\mathcal{L}$ with respect to a covariance matrix $\mathbf{A}$, $$ \mathcal{L}(\mathbf{A}) = \log\vert \mathbf{I} + \mathbf{A}\mathbf{S} \vert - ...
-1
votes
1answer
130 views

Regularized Gradient with respect to a matrix (with a specific structure)

Suppose we have a typical logdet function $\mathcal{L}$ $$ \mathcal{L} = \log\vert \mathbf{I} + \mathbf{A}\mathbf{S} \vert - \mathbf{q}^T(\mathbf{A}^{-1} + \mathbf{S})^{-1} \mathbf{q}, $$ where ...
0
votes
0answers
49 views

convexity of two linear spaces connected by convex nonlinear equality constraints

If there are two sets of linear constraints in different variables, Ax <= b with x_l <= x <= x_u and Cy <= d with y_l <= y <= y_u, and a set of equality constraints of a specific ...
2
votes
1answer
459 views

Integral inequality for convex function

Let $u(x)$ be a smooth function from $\mathbb{R}$ to $\mathbb{R}$. Suppose that for some real numbers $a,b$ with $a < b$ the following equality is true: \begin{equation} \frac{1}{b-a} \int_a^b ...
1
vote
1answer
225 views

When does the finite union of convex sets have a hole in it?

Let $f_1, \dots, f_j$ be convex functions from $\mathbb{R}^n \to \mathbb{R}$. I am trying to develop a test that decides whether or not the set $\{x | f_1(x) \le k_1\} \cup \dots \cup \{x | f_n(x) ...
1
vote
1answer
258 views

How does the complex convex set look like?

The usual convex set is the real linear convex set, if we change the real linear map into complex linear map, we can get the complex convex set. A system way to do this is in the several complex ...