Questions tagged [convex-analysis]
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507
questions
2
votes
1
answer
89
views
Prékopa-Leindler style inequality?
Does anyone know a simple proof of the following Prékopa-Leindler style inequality:
If we have $f_1,f_2,g_1,g_2$ strictly positive functions on $\mathbb{R}$ such that, for any $x_1,x_2 \in \mathbb{R}$,...
0
votes
1
answer
36
views
Do separable cubic constraint and separable quartic constraint SOCP presentable?
I am an engineer who is doing some network modeling and optimization. During my work, I was running into a case that is quite strange. The problem that I am trying to solve seems to be convex and it ...
0
votes
1
answer
78
views
Optimality condition for strongly convex function under sparsity constraint
Let $f: \mathbb{R}^p \to \mathbb{R}$ be a $2s$-sparse strongly smooth, $2s$-sparse strongly convex and twice differentiable function. In other words, there exists positive constants $\alpha, L >0$ ...
3
votes
0
answers
134
views
Interchange limit and supremum of functionals over a bounded convex set
Let $(H, \langle\cdot,\cdot\rangle)$ be a separable real Hilbert space and $B\subset H$ be (nonempty) convex and bounded, and suppose that $(\alpha_k)\subset H$ is a sequence for which the limit $\...
12
votes
1
answer
552
views
A function with unexpectedly simple Legendre transformation
Let $I(x) = \frac{1}{2\pi} \int_{-2}^2 \sqrt{4-y^2}\ln|x-y|dy$. Then $I(x)$ is a concave function and
\begin{equation}
I(x)=
\begin{cases}
\frac{1}{4}x^2-\frac{1}{2}, &\text{if } |x|\leq2 \\
\...
7
votes
2
answers
302
views
Integral means vs infinite convex combinations
Let $(X,\mathcal A, \mu)$ be a probability space, $\mathbb E$ a Banach space, and $f:X\to\mathbb E$ a Bochner integrable function.
Does there exist a sequence $(x_k)_{k\ge 1} $ in $X$, and a ...
1
vote
1
answer
296
views
How to prove the convexity of a simple function involving a ratio of two polygamma functions?
Let
\begin{equation*}
\Gamma(z)=\int_0^{\infty}t^{z-1}\textrm{e}^{-t}\textrm{d}t, \quad \Re(z)>0
\end{equation*}
and
$$
\psi(z)=[\ln\Gamma(z)]'=\frac{\Gamma'(z)}{\Gamma(z)}.
$$
In the literature, ...
4
votes
1
answer
385
views
Linear convergence rate of proximal point algorithm
For $T : R^n \to P({R^n})$ maximally monotone, the proximal point algorithm (step size $c>0$)
$$
x^{k+1} = (I + c T)^{-1} x^k,
$$
converges linearly with rate $\kappa = \frac{1}{1 + c \sigma}$ if $...
0
votes
0
answers
78
views
Verifying the Cauchy behavior of a sequence
Let me consider the iteration $x_{n+1}=Tx_n$ and $T$ is a self-map from a non-empty subset $K$ of a smooth Banach space $X$ to itself, satisfying $W(Tx, Ty) \leq W(x, y)$, where $W(x, y)=\Vert x \Vert^...
7
votes
3
answers
621
views
A continuous version of Carathéodory's convex hull theorem
A well-known theorem of Caratheodory states that any point in the convex hull of a set $X\subset R^n$ lies in the convex hull of at most $n+1$ points of $X$. I am wondering about a version of this ...
4
votes
1
answer
224
views
Does smoothing a non-log-concave distribution make it more log-concave?
Suppose that $p$ is a density on $\mathbb{R}^d$ that is $C^2$ and nonzero everywhere, and such that the Hessian of its negative logarithm is lower bounded:
$$-\nabla^2 \ln p\succeq L$$
for some matrix ...
2
votes
1
answer
119
views
Is it true that the set $\{x\colon \partial\phi(x)\subset B_r(0)\}$ is convex when $\phi$ is convex?
Let $\phi\colon \mathbb{R}^n\to \mathbb{R}$ be convex. Is it true that the sets
$$
A_r = \{x\in \mathbb{R}^n\;\colon\; \partial \phi(x) \subset B_r(0)\},\quad r>0,
$$
are convex?
For $n=1$ this ...
1
vote
1
answer
124
views
Projection of an element of the $n$-simplex onto subset
Let $\mathbb{S}^{n}$ denote the $n$-dimensional probability simplex and let $\{e_1,...,e_{n+1}\}$ be the canonical basis of $\mathbb{R}^{n+1}$. Consider the subset $\mathbb{S}^{n}(K) \subset \mathbb{S}...
4
votes
2
answers
244
views
Implicit function theorem for subdifferentiable convex functions
I am trying to find a method to apply the implicit function theorem for subdifferential convex functions. The original theorem provides an equation for the partial derivative of the implicit function ...
0
votes
1
answer
128
views
Property of $p$-norm in the $n$-simplex
Let $\mathbb{S}^{n}$ be the canonical simplex of $\mathbb{R}^{n}$ and let $u = (1/n,\dotsc,1/n)$. Is it true that
$$\lVert x - u \rVert_p \leq \lVert y - u \rVert_p$$
implies that
$$\lVert x\rVert_p \...
1
vote
1
answer
129
views
Derivative of Moreau envelope in Hilbert space with respect to regularization parameter $\lambda$ using Hopf-Lax formula?
Let $\mathcal H$ be a Hilbert space, $f \colon \mathcal H \to (- \infty, \infty]$ a proper, convex, lower semi-continuous function and $\lambda > 0$.
The $\lambda$-Moreau envelope of $f$ is
$$
f_{\...
5
votes
2
answers
419
views
Extending a convex function to a higher dimensional domain
Let $D\subset{\mathbb R}^2$ be the unit disk, and $I=(-1,1)$.
Let $v\in C^2(\bar I)$ be a convex function.
Does there exist a convex function $u\in C^2(\bar D)$, such that on the one hand $u(\cdot,0)=...
2
votes
0
answers
49
views
Instances of c-concavity outside of optimal transport?
Let $X$ and $Y$ be metric spaces, and let $c:X\times Y\rightarrow \mathbb{R}$ be a nonnegative function which we refer to as a cost. For any $\phi:X\rightarrow \mathbb{R}$ and $\psi:Y\rightarrow \...
0
votes
0
answers
67
views
Is a bounded measurable convex function above its interior lower semi-continuous convex envelope?
Let $E$ be a locally convex topological vector space, let $C$ be a convex set which matches the closure of its relative interior $\mathring C=\{ x\in C : \forall y\in C,\exists z\in C,~x\in\mathopen]y,...
0
votes
0
answers
35
views
For a convex body $K\subset R^n$, does the quantity $\min_{t>0} E[t^{-1} \|tg - \pi_K( t g)\|_2]$ have a name? Where has it been studied?
Consider a convex compact set $K\subset R^n$ (with non-empty interior if that helps).
Let $\Pi_K:R^n\to K$ be the projection onto $K$, defined as
$$
\Pi_K(x) = \operatorname{argmin}_{k\in K} \|k-x\|
$$...
-1
votes
1
answer
69
views
Regions when a concave function is smaller than another concave function
Let $f_1,f_2:[0,1]\mapsto\mathbb{R}$ be two bounded and concave functions. Assume $f_1(0)<f_2(0)$ and $f_1(1)<f_2(1)$. I want to investigate the set $\mathcal{X}\triangleq\{x\in[0,1]: f_1(x)>...
1
vote
1
answer
123
views
Is a bounded convex function $g$ that is non-negative on this particular convex set also non-negative on the its closure?
Setup :
Let $S$ be the simplex on $\mathbb N$, i.e. the set of probability distribution on the natural numbers. Suppose we have $p\in S$ such that, for all $n\geq 1$, $p_n > 0$. For any $\emptyset\...
1
vote
1
answer
111
views
Properties of the relatively bounded probability distributions on the simplex over the natural numbers
Setup :
Let $S$ be the simplex over $\mathbb N$, i.e. the set of probability distribution over $\mathbb N$. Let $p\in S$ be such that $0 < p_n$ for all $n\in \mathbb N$. Let $H$ be the Hilbert ...
1
vote
0
answers
68
views
Fundamental regions in convex programming
In linear programming, the fundamental regions are polyhedra, since those are the intersection of half-spaces defined by linear inequalities. In semidefinite programming, the fundamental regions are ...
0
votes
0
answers
92
views
Primal optimal attained implies dual optimal attained
Given some optimization problem
$$\min_{x \in S \subset \mathbb{R}^n} f_0(x) \quad \text{s.t.} \quad f_i(x) \leq 0, \quad 1\leq i\leq m$$
we can find the dual problem
$$\max_{\lambda\in\mathbb{R}^m} g(...
1
vote
1
answer
176
views
Does an uncountable convex combination of elements of a set lie in the convex hull of the set in finite dimension?
Suppose that $\mathcal{F}$ is a finite-dimensional vector space and that $C\subseteq\mathcal{F}$ is a convex subset of $\mathcal{F}$.
Is it true that an uncountable convex-combination of elements of $...
3
votes
0
answers
57
views
Convex combination of cyclically monotone sets
I want to show the following statement, but I am not sure how.
Proposition(?):
Let $C \in \mathbb{R}^d$ be a compact convex set, and let $u, v : C \to \mathbb{R}$ be smooth convex functions.
Suppose
$$...
0
votes
1
answer
132
views
Example of a concave function with $\lim_{x\to 0^+}\frac{g(x)}{-x\ln x}=\infty$ which fullfills some additional condition
I'm looking for the example of a concave function $g \colon [0,1] \mapsto \mathbb{R}$, with $g(0)=0$, for which
$\lim\limits_{x\to 0^+}\frac{g(x)}{-x\ln x}=\infty$, and
$\lim\limits_{x\to 0^+}\frac{\...
1
vote
1
answer
135
views
Concave functions of different behaviour in the neighbourhood of $0$ from the Shannon function
I'm looking for an example of a concave function $g \colon [0,1] \to \mathbb{R}$, $g(0)=0$ such that:
$$\liminf_{x\to 0^+}\frac{g(x)}{-x\ln x}\neq \limsup_{x\to 0^+}\frac{g(x)}{-x\ln x}.$$
Moreover, ...
4
votes
1
answer
165
views
Convex hull of 3 points in Cartan-Hadamard manifolds
Can the convex hull of $3$ points in a Cartan-Hadamard manifold be smooth?
A Cartan-Hadamard manifold $M$ is a complete simply connected manifold with nonpositive curvature (so it includes the ...
4
votes
2
answers
210
views
On faces of polytopes
$\newcommand\ext{\operatorname{ext}}\newcommand\R{\mathbb R}$Let $A$ be a convex polytope in $\R^n$ with nonempty interior.
Consider the closed convex cone
$$K_A:=\{(l,t)\in(\R^n)'\times\R\colon\, l(x)...
5
votes
1
answer
382
views
Is there a Borel measurable $f:\mathbb{R}^d \to \mathbb{R}^d$ such that $f(x) \in \partial \varphi (x)$ for all $x$?
Let $\varphi: \mathbb{R}^d \to \mathbb{R}$ be a convex function. The subdifferential of $f$ at $x$ is defined as
$$
\partial \varphi (x) := \{z \in \mathbb{R}^d : \varphi(y) \geq \varphi(x) + \langle ...
1
vote
1
answer
122
views
On the additive property of the subdifferential of lower semicontinuous functions
Let $f:\mathbb R\to\mathbb R$ be a lower semicontinuous function, we define the Fréchet subdifferential of $f$ at $x\in\mathbb R$ by
$$\partial^F f(x):=\left\{L\in\mathbb R: \liminf_{v\to0}\frac{f(x+v)...
2
votes
1
answer
145
views
Lipschitz smooth convex extension
Assume that convex $f: S \to \mathbb{R}$ with $L$-Lipschitz continuous gradient on some convex compact $S \subset \mathbb{R}^d$ is given. It would be very helpful if there existed function $F$ such ...
1
vote
1
answer
71
views
Is this notion of being "fully" convex closed under set addition?
While reading through "Linear Operators: General theory" by "Jacob T. Schwartz", reading the corollary to II.10.1 which states that for a compact convex subset $C$ of some ...
1
vote
1
answer
90
views
If $|P|<\infty$ and $C=P\cap\partial(\textrm{Conv}(P))$, then $P\subset\textrm{Conv}(C)$?
That is, if $P$ is a finite set, and $C$ is the set of points in $P$ which lie on the boundary of the convex hull of $P$, then is $P$ contained in the convex hull of $C$?
It seems true intuitively. In ...
3
votes
1
answer
145
views
Is a compact set of extreme points contained in a compact face?
I have run into the following question in convex analysis, which I haven't found answered in the literature:
Suppose that $K$ is a "nice-enough" non-compact convex subset of a Hausdorff ...
2
votes
1
answer
222
views
Boundary points in $\overline{\operatorname{conv}\{z_i\}_{i\in I}}$
Let $X$ be an infinitely-dimensional Banach space and $\{z_i\}_{i\in I}$ be a set of linearly independent points in $X_{\leq 1}$, the closed unit ball of $X$. $I$ the index set is not necessarily ...
0
votes
0
answers
101
views
The study of directional derivatives for functions that are minimums of convex functions
Has research been conducted on the topic of directional derivatives of functions that are minimums of convex functions? It would be greatly appreciated if you could provide the appropriate reference.
...
6
votes
2
answers
303
views
For most directions does the supporting hyperplane meeting a bounded convex set meet it in one point?
Let $C\subseteq \mathbb R^n$ be non-empty, convex and compact. For $v\in S^{n-1}$, let $H_v$ be the supporting hyperplane in the direction of $v$ (i.e., $H_v$ is the boundary of the smallest closed ...
3
votes
2
answers
624
views
Simultaneous extensions of strongly convex functions
21/03/2017: I have decided to accept Denis Serre's answer, even though it does not exactly answer my question, however I like its simplicity and I'd say it is close enough to the desired claim. Of ...
0
votes
0
answers
62
views
Looking for a homogeneous function with some properties
I'm looking for a 1-homogeneous function $\pi \colon \mathbb{R}^n_{\geq 0} \to \mathbb{R}$ satisfying the following properties:
1) $\pi$ is not concave. This is equivalent to the fact that there ...
0
votes
0
answers
54
views
Zero flux along lines
I am considering the $L^1$ ball in $\mathbb{R}^d$, and a conservative vector field $V$ on it, which arises as the gradient of a bounded, almost-everywhere Lipchitz-function. Denoting by $e_i$ as the i’...
1
vote
0
answers
165
views
Monotone likelihood ratio of convolved power function kernel, $p\ge 3$
It was shown in a previous answer that for: $f(x)=|x|^p$, $\;x\in \mathbb{R}$, $\;p>2$, defining the density:
$$p(\phi;\theta) = \Big(f\big(\hspace{-1pt}\cos(\phi-\theta)\big) - f\big(
\hspace{-1pt}...
2
votes
1
answer
141
views
Distance between convex hulls in a bounded closed convex set
Let $X$ be an infinite-dimensional Banach space and $C\subseteq X$ be a bounded closed convex subset. Let $\{z_i\}_{i\in\mathbb{N}}$ be a sequence of linearly independent points in $C$ and for each $n\...
3
votes
1
answer
34
views
A converse question about the polyhedrality under linear mapping
It is quite well known that for any polyhedral set $K$ and any linear mapping $A$, the set $AK$ is polyhedral and hence closed. I am more curious about the converse problem, namely:
Suppose $K$ is a ...
1
vote
1
answer
111
views
Monotone likelihood ratio of densities based on power function
Given $p,\phi,\theta \in \mathbb{R}$ such that $p>2$ and $0 \le \phi,\theta\le \pi/2$ define the density function:
$$f(\phi;\theta) =
\mbox{$\Large\frac{1}{p B\big(\hspace{-1pt}\frac{3}{2},\frac{p+...
1
vote
0
answers
262
views
Monotone likelihood ratio of a kernel based on $\log(\cosh(x))$
Let $f(x) = \log(\cosh(x))$, and define the kernel density:
$$p_r(\phi;\theta) = \Big(f\big(r\cos(\phi-\theta)\big) - f\big(r\cos(\phi+\theta)\big) \Big)\hspace{0.5pt} \frac{\sin(2\phi)}{\sin(2\theta)}...
2
votes
1
answer
147
views
Log-concavity of the difference of the second anti-derivative of Gaussians
I would like to prove the following but I couldn't manage to do it. Let $a>b>0$ be two real numbers. Let $f$ be the function defined as:
$$\forall \sigma>0, ~\forall x\in\mathbb{R},~f_\sigma(...
1
vote
0
answers
50
views
Extension of averaged nonexpansiveness for mappings that are not self maps
Let $\mathcal{H}$ be a Hilbert space and let $\alpha \in (0,1)$. We say that an operator $f:\mathcal{H} \rightarrow \mathcal{H}$ is
Nonexpansive if $\|f(x)-f(y)\|_{\mathcal{H}} \le \|x - y\|_{\...