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Lect 3 Concave and Convex

The document discusses convexity and concavity of functions of one and two variables. It defines a convex function of one variable as one where the line connecting any two points on the graph lies above the function. A concave function is the opposite. It provides tests for convexity/concavity involving derivatives. For functions of two variables, the Hessian matrix and its eigenvalues are used to determine if the function is convex, concave, or neither at stationary points. An example function is analyzed at its stationary points, finding it is concave at one point and convex at the other.

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Jay Bhavsar
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361 views18 pages

Lect 3 Concave and Convex

The document discusses convexity and concavity of functions of one and two variables. It defines a convex function of one variable as one where the line connecting any two points on the graph lies above the function. A concave function is the opposite. It provides tests for convexity/concavity involving derivatives. For functions of two variables, the Hessian matrix and its eigenvalues are used to determine if the function is convex, concave, or neither at stationary points. An example function is analyzed at its stationary points, finding it is concave at one point and convex at the other.

Uploaded by

Jay Bhavsar
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© © All Rights Reserved
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Convexity and Concavity of Functions of one and Two Variables

Convex Function (Function of one variable)


A real-valued function f defined on an interval is
called convex, if for any two points a and b in its
domain C and any t in [0,1], we have
f (t a +(1-t)b) ≤ t f(a) + (1-t) f(b)
 A function is also said to be strictly convex if
f (t a +(1-t)b) < t f(a) + (1-t) f(b)
for any t in (0,1) and a line connecting any two points
on the function lies completely above the function.
Testing for convexity of a single variable function

A function is convex if its slope is non decreasing or


2 f
0
x 2

 It is strictly convex if its slope is continually increasing


or throughout the function.
(∂2 f ) /(∂x2) > 0
Properties of convex functions

A continuous function on an interval C is convex if and


only if for all a and b in C
 a  b  f  a  f  b
f 
 2  2

For all a and b in C.


Properties of convex functions (contd.)

A differentiable function of one variable is convex on an


interval if and only if its derivative is monotonically
non-decreasing on that interval.

A twice differentiable function of one variable is convex


on an interval if and only if its second derivative is
non-negative in that interval.
This gives a practical test for convexity.
Properties of convex functions (contd.)

 A continuous, twice differentiable function of several


variables is convex on a convex set if and only if its
Hessian matrix is positive semi definite on the interior of
the convex set.
If two functions f and g are convex, then so is any
weighted combination (a f+ b g ) with non-negative
coefficients a and b.
Likewise, if f and g are convex, then the function
max{f, g} is convex.
Concave Function (Function of one variable)

A real-valued function f defined on an interval is


called concave, if for any two points a and b in its
domain C and any t in [0,1], we have
f (t a +(1-t)b) ≥ t f(a) + (1-t) f(b)
 A function is also said to be strictly concave if
f (t a +(1-t)b) > t f(a) + (1-t) f(b)
for any t in (0,1)
A differentiable function f is concave on an interval if its
derivative function f ′ is decreasing on that interval: a concave
function has a decreasing slope.
Testing for concavity of a single variable function
 A function is concave if its slope is non increasing or
 f2
0
x 2

 It is strictly concave if its slope is continually decreasing or


(∂2 f ) /(∂x2) < 0 throughout the function.
Properties of concave functions

A continuous function on an interval C is concave if and


only if for all a and b in C
 a  b  f  a   f  b
f 
 2  2
For all a and b in C.
 f(x) is concave on [a, b] if and only if the function
−f(x) is convex on every subinterval of [a, b].
Example
Consider the example in previous lecture for a function of two
variables. Locate the stationary points of
f(x) = 12x5 - 45x4 + 40x3 + 5 and find out if the function is convex,
concave or neither at the points of optima.
Solution
f ’ (x) = 60x4 - 180x3 + 120x2 = 0
f ’ (x) = x4 - 3x3 + 2x3 = 0
or x = 0, 1, 2
Consider the point x = x*= 0
f ’ ’ (x*) = 240(x*)3 - 540(x*)2 + 240(x*) = 0 at x *= 0
f ’ ’ ’ (x*) = 720(x*)2- 1080(x*) + 240= 240 at x *= 0
Example …contd.
Since the third derivative is non-zero, x = x*= 0 is neither a
point of maximum nor minimum but it is a point of inflection.
Hence the function is not convex not concave at this point.
Consider x = x* = 1
f ’ ’ (x* )=240(x*)3 - 540(x*)2 + 240(x*) = -60 at x*= 1

Since the second derivative is negative the point x = x*= 1


is a point of local maxima with a maximum value of
f(x) = 12 –45 + 40 + 5 = 12
At this point function is concave since second order
derivative is negative.
Example …contd.

Consider x = x*= 2
f ’ ’ (x* )=240(x*)3 - 540(x*)2 + 240(x*) = 240 at x*= 2
Since the second derivative is positive, the point
x = x*= 2 is a point of local minima with a minimum value
of f(x) = - 11
At this point function is convex as second order derivative is
positive.
A function of two variables, f(X) where X is a vector =
Functions of two variables

[x1,x2], is strictly convex if


f (t x1+(1-t) x2) < t f(x1) + (1-t) f(x2)
where X1and X2are points located by the coordinates given
in their respective vectors.

 Similarly a two variable function is strictly concave if


f (t x1+(1-t) x2) > t f(x1) + (1-t) f(x2)
Sufficient conditions
To determine convexity or concavity of a function of
multiple variables, the Eigen values of its Hessian matrix
is examined and the following rules apply.

1. If all Eigen values of the Hessian are positive the


function is strictly convex.
2. If all Eigen values of the Hessian are negative the
function is strictly concave.
3. If some Eigen values are positive and some are negative,
or if some are zero, the function is neither strictly
concave nor strictly convex.
Example
Consider the example in previous lecture for a function of
two variables. Locate the stationary points of f(X) and find
out if the function is convex, concave or neither at the
points of optima.

2 x13
fX   2 x1 x 2  5 x1  2 x 22  4 x 2  5
3
solution
 f  
 x  x   2 x 2  2 x  5  0
x f   1
 1 2
 
 f    2 x1  4 x 2  4 0
 x  x  
 2 
Example (contd…)
f
From
X 0
x1
2(2x2 + 2)2 -2x2 – 5 = 0
8( x2 )2 + 14 x2 + 3 = 0
(2x2 +3) (4x2 +1) = 0
x2 = -3/2 or x2 = -1/4
So, the two stationary points are X1 = [ -1, -3/2]
And X2 = [3/2, -1/4]
Example (contd…)
2 f 2 f 
The Hessian of f (x) is  2 
  x1  x1  x 2 
H 
 2 f 2 f 
 
  x1  x 2  x 22   x1 x 2 

4x1  2   4x1 2
H   I H 
 2 4 2  4
  3 4 2
At X 1   1  I H      4   4  4  0
 2 2  4
2  16  4  0
1  20 2   20
Example (contd…)
Since one Eigen value is positive and one negative, X1is
neither a relative maximum nor a relative minimum. Hence at
X1 function is neither convex nor concave.
3  1  6 2
At X 2   I H      6   4  4  0
2 4  2  4
1  5  5 2  5  5

At X2= [3/2,-1/4]Since both the Eigen values are positive, X2 is


a local minimum. The function is convex at this point as both
Eigen values are positive.
THANK YOU

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