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1 Convex Sets
• A set U ⊆ Rn is convex if whenever two points x,y ∈ U then the line
connecting x, y completely lies in U .
• Some examples:
αx + (1 − α)y ∈ U
2 Concave Functions
• Do not confuse concavity/convexity of functions with that of sets!
1
– concave utility functions represent risk aversity which a reasonable
assumption for human behavior
– f (x) = x2 convex
– f (x) = ln x concave
2
Some Properties of concave functions
• For specific functions , not general cases, when we have the formula of the
function in hand, it is easier to use other criteria for concavity/convexity
than the basic definition. We have the following theorem
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Theorem 2 Let f : U ⊆ R → R be a C 1 function, i.e. continuously differen-
tiable. Then f is concave if and only if
Proof. We prove the claim about concave functions only. The convex part
is similar. First suppose f is concave and we want to show (??) holds. Let
x, y ∈ U and 0 < α ≤ 1 then we have
or
αf (y) − αf (x) ≤ f (αy + (1 − α)x) − f (x)
then
similarly
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multiply the first inequality by (1 − α) and the second inequality by α , we get
(1 − α)f (x) − (1 − α)f ((1 − α)x + αy) ≤ −α(1 − α)f 0 ((1 − α)x + αy)(y − x)
equivalently
h i
f (y) − f (x) ≤ ∂f ∂f ∂f (y − x)
∂x1 (x) ∂x2 (x) ... ∂xn (x)
∂f ∂f
= (x)(y1 − x1 ) + ... + (x)(yn − xn )
∂x1 ∂xn
∂f
(x0 ) = 0 for i = 1, 2, ..., n
∂xi
therefore for all y ∈ U we have f (y) ≤ f (x0 ) which means x0 is the global
maximum.
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• The importance of the result is that in an optimization of a concave func-
tion if we only let the first order conditions to be equal to 0 then we are
sure that we are in a maximum and we do not need to check the second
order conditions.
Notice that
Df (x0 )(y − x0 ) = ∇f (x0 ) · (y − x0 )
{z : f (z) ≥ f (x0 )}
lies above the tangent hyperplane. This result is called the separating
hyperplane result. Graphically:
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• Similar to concavity for f : R → R meaning f 00 ≤ 0, there is some criteria
about the Hessian matrix of f : Rn → R to guarantee the concavity. It
requires D2 f be a negative semi definite matrix. You will see what this
means in detail in Catherine’s lecture.
3 Quasiconcavity
• Although concavity has desirable implications for optimization, there
are weaker conditions on a functions that also imply nice properties with
regard to optimization.
graphically:
{x ∈ Rn : f (x) ≥ a} (2)
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Proof. First suppose f is quasiconcave. To show A = {x ∈ Rn : f (x) ≥ a}
is convex, let’s x, y ∈ A, then
for 0 ≤ α ≤ 1 we have
which implies A is convex. On the other hand, suppose each set of form (??)
is a convex set. To show quasiconcavity, consider x, y ∈ Rn and 0 ≤ α ≤ 1.
Without loss of generality suppose a = f (x) = min{f (x), f (y)} and let A =
{x ∈ Rn : f (x) ≥ a}. Obviously x, y ∈ A and by concavity of A,
αx + (1 − α)y ∈ A
Other properties
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– f (x) = ln x (also concave)
– f (x, y) = ln x + ln y
1 1
– f (x, y) = x 4 y 4
– f (x, y) = −xy