Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
Scribd
Upload
4 views

Note 1

Uploaded by

chaymae
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
4 views

Note 1

Uploaded by

chaymae
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 3

1 Convex Sets and Functions

1.1 Convex Sets


Definition:(Convex sets) A subset C of Rn is called convex if

λx + (1 − λ)y ∈ C, ∀ x, y ∈ C, ∀λ ∈ [0, 1].

Geometrically, it just means that the line segment joining any two points in a
convex set C lies in C.

Figure 1: Examples of convex and non-convex set

Definition:(Convex
Pm combination)
Pm Given x1 , ..., xm ∈ Rn , an element in the
form x = i=1 λi xi , where i=1 λi = 1 and λi ≥ 0 is called a convex combina-
tion of x1 , ..., xm .

Proposition: A subset C of Rn is convex if and only if contains all convex


combination of its element.

Proof. Suppose C isP convex. We will show by induction that it contains all
m
convex combination i=1 λi xi of its elements.
The case m = 1, 2 is trivial, so suppose all convex combination of k elements
lies in C, where k ≤ m. Consider
m+1
X m+1
X
x := λi xi , where λi = 1
i=1 i=1

If λm+1 = 1, then λ1 = · = λm = 0. Then x ∈ C. So assume λm+1 < 1, then


m m
X X λi
λi = 1 − λm+1 and =1
i=1 i=1
1 − λm+1

1
Pm λi
Then y = i=1 1−λm+1 xi ∈ C. Hence

x = (1 − λm+1 )y + λm+1 xm+1 ∈ C

The other direction is trivial.

Proposition: Let C1 be a convex set of Rn and let C2 be a convex set pf Rm .


Then the Cartesian product C1 × C2 is a convex subset of Rn × Rm .

1.1.1 Examples of Convex Sets


(a) Open and closed balls in Rn .
(b) Hyperplanes: {x : ha, xi = b, a ∈ Rn , b ∈ R}.
(c) Halfspaces: {x : ha, xi ≤ b, a ∈ Rn , b ∈ R}.
(d) Non-Negative Orthant: Rn+ = {x ∈ Rn : x ≥ 0}.
(e) Convex cones: C is called a cone if αx ∈ C, ∀α > 0, x ∈ C. A cone which
is convex is called a convex cone.

Proposition: Let {Ci | i ∈ I} be a collection of convex sets. Then:


(a) ∩i∈I Ci is convex, where each Ci is convex.
(b) C1 + C2 = {x + y | x ∈ C1 , y ∈ C2 } is convex.
(c) λC is convex for any convex sets C and scalar λ. Furthermore, (λ1 +λ2 )C =
λ1 C + λ2 C for positive λ1 , λ2 .
(d) C o , C are convex, i.e. the interior and closure of a convex set are convex.
(e) T (C), T −1 (C) are convex, where T is a linear map.

Proof. Parts (a)-(c), (e) follows from the definition (Exercise!). Let’s prove (d).
Interior Let x, y ∈ C o . Then there exists r such that balls with radius r centred
at x and y are both inside C.
Suppose λ ∈ [0, 1] and ||z|| < r. By convexity of C, we have,

λx + (1 − λ)y + z = λ(x + z) + (1 − λ)(y + z) ∈ C

Therefore, λx + (1 − λ)y ∈ C o . Hence C o is convex.


Closure Let x, y ∈ C. Then there exists sequences {xk } ⊂ C, {yk } ⊂ C such
that xk → x, yk → y. Suppose α ∈ [0, 1]. Then for each k,

λxk + (1 − λ)yk ∈ C

But λxk + (1 − λ)yk → λx + (1 − λ)y ∈ C. Hence, C is convex.

2
1.2 Convex and Affine Hulls
1.2.1 Convex Hull
Definition:(Convex Hull)
Let X be a subset of Rn . The convex hull of X is defined by
\
conv(X) := {C| C is convex and X ⊆ C}

In other words, conv(X) is the smallest convex set containing X.


The next proposition provides a good representation for elements in the convex
hull.

Proposition: For any subset X of Rn ,


m m
X X
conv(X) = λ i xi | λi = 1, λi ≥ 0, xi ∈ X
i=1 i=1
 Pm Pm
Proof. Let C = i=1 λi xi | i=1 λi = 1, λi ≥ 0, xi ∈ X . Clearly, X ⊆ C.
Next, we P check that C is P convex.
p q
Let a = i=1P P j=1 βj bj be elements of C, where ai , bi ∈ C with
αi ai , b =
αi , βj ≥ 0 and αi = βj = 1. Suppose λ ∈ [0, 1], then
p
X q
X
λa + (1 − λ)b = λαi ai + (1 − λ)βj bj .
i=1 j=1

Since
p
X q
X p
X q
X
λαi + (1 − λ)βj = λ αi + (1 − λ) βj = 1
i=1 j=1 i=1 j=1

we have λa + (1 − λ)b ∈ C. Hence, C is convex. Also, conv(X) ⊆ C by the


definition of conv(X).
P
Suppose a = λi ai ∈ C. Then since each ai ∈ X ⊆ conv(X) and conv(X) is
convex, we have a ∈ conv(X). Therefore, conv(X) =C.

You might also like