L.

Vandenberghe

EE236B Winter 2016

Additional problems for homework #3

1. Huber penalty. The infimal convolution of two functions f and g on Rn is defined as

h(x) = inf (f (y) + g(x y)).
y

Show that the infimal convolution of f (x) = kxk1 and g(x) = (1/2)kxk22 , i.e., the
function
1
h(x) = inf (f (y) + g(x y)) = inf (kyk1 + kx yk22 ),
y
y
2
is the Huber penalty
h(x) =

n
X

(xi ),

(u) =

i=1

u2 /2
|u| 1
|u| 1/2 |u| > 1.

2. Suppose the function h : R R is convex, nondecreasing, with dom h = R, and

h(t) = h(0) for t 0.
(a) Show that the function f (x) = h(kxk2 ) is convex on Rn .
(b) Show that the conjugate of f is f (y) = h (kyk2 ).
(c) As an example, derive the conjugate of f (x) = (1/p)kxkp2 for p > 1, by applying
the result of part (b) with the function
1
h(t) = max {0, t}p =
p

( 1
tp
p

t0
t < 0.