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Closed Functions
September 4, 2007
Lecture 4
Outline
Log-Transformation
Jensens Inequality
Level Sets
Closed Functions
Convex Optimization 1
Lecture 4
Log-Transformation of Variables
a
g(y1, . . . , yn) = by11 ynan
0
f (x) = bea1x1 eanxn = bea x
Convex Optimization 2
Lecture 4
Log-Transformation of Functions
n
1X
F (x) = ln xi
n i=1
Convex Optimization 3
Lecture 4
m m
!
X X
f i xi if (xi)
i=1 i=1
Pm
(xi domf and i > 0 for all i, i=1 i = 1, m > 0 integer)
A convex combination m i=1 i xi can be viewed as the expectation of a
P
Convex Optimization 4
Lecture 4
Jensens Inequality
General Jensens inequality: The above relation holds for a convex f and,
a random variable z with outcomes in domf and a finite expectation Ez
Convex Optimization 5
Lecture 4
Level Sets
Convex Optimization 6
Lecture 4
Convex Optimization 7
Lecture 4
Closed Functions
For example
f (x) = 0 for x = 0, f (x) = 1 for x > 0, and f (x) = + otherwise
This f is closed but not continuous
Convex Optimization 8
Lecture 4
Convex Optimization 9
Lecture 4
Proof of Theorem
(i)(ii) Let c be any scalar and consider Lc(f ). If Lc(f ) = , then Lc(f )
is closed. Suppose now that Lc(f ) 6= . Pick {xk } Lc(f ) such that
xk x for some x Rn. We have f (xk ) c for all k, implying that
(xk , c) epif for all k. Since (xk , c) (x, c) and epif is closed, it follows
that (x, c) epif . Consequently f (x) c, showing that x Lc(f ).
(ii)(iii) Let x0 Rn be arbitrary and let {xk } be a sequence such
that xk x0. To arrive at a contradiction, assume that f is not l.s.c. at
x0, i.e.,
lim inf k f (xk ) < f (x0)
Then, there exist a scalar and a subsequence {xk }K {xk } such that
f (xk ) < f (x0) for all k K
yielding that {xk }K L (f ). Since xk x0 and the set L (f ) is closed,
it follows that x0 L (f ). Hence, f (x0) - a contradiction. Thus, we
must have
f (x0) lim inf k f (xk )
Convex Optimization 10
Lecture 4
Convex Optimization 11
Lecture 4
Positive Scaling
For a closed function f : Rn R {, +} and > 0, the function
g(x) = f (x) is closed
Sum
For closed functions fi : Rn R {, +}, i = 1, . . . , m, the sum
g(x) = m i=1 fi (x) is closed
P
Convex Optimization 12
Lecture 4
Pointwise Supremum
Convex Optimization 13
Lecture 4
Example:
1
for x = 0
f (x) =
0 for x > 0
+ otherwise
Convex Optimization 14
Lecture 4
Let vi, i I = {1, . . . , 2n} be vertices of the unit box (i.e., each vi has
entries 1 or 1). The unit box can be viewed as a simplex generated
by these vertices, i.e.,
Convex Optimization 15
Lecture 4
X
with i 0 and
P
x= i vi iI i = 1
iI
1 kxk k
0= xk + zk for all k
kxk k + 1 kxk k + 1
Convex Optimization 16
Lecture 4
1 kxk k
f (0) f (xk ) + f (zk ) for all k
kxk k + 1 kxk k + 1
Convex Optimization 17
Lecture 4
Convex Optimization 18