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21.3.2 Conditions for Convexity
21.3.2.1 First-Order Condition
∇
=
Function
f
is
differentiable
if
dom
f
is
open
and
the
gradient
f(x)
(
∂f (x )
∂x
1
,
∂f (x )
∂x
2
,...,
∂f (x )
∂x
n
∀
∈
)
exists
x
dom
f
. Differentiable
f
is convex if and only
if dom
f
is convex and there holds
f(x)
T
(y
f(y)
≥
f(x)
+∇
−
x)
∀
x,y
∈
dom
f
. This is the
first-order condition for convexity
.
21.3.2.2 Second-Order Condition
2
f(x)
(which
Function
f
is
twice differentiable
if dom
f
is open and the Hessian
∇
∂
2
f(x)
2
f(x)
ij
is an
n
-by-
n
symmetric matrix with
∇
=
∂x
i
∂x
j
,i,j
=
1
,
2
,...,n
)exists
∀
dom
f
. Twice differentiable
f
is convex if and only if dom
f
is convex and
Hessian
x
∈
2
f(x)
is positive semidefinite (i.e.,
2
f(x)
∇
∇
0),
∀
x
∈
dom
f
.Thisisthe
second-order condition for convexity
.
21.3.3 Convex Optimization Problem
An optimization problem is convex if the objective function is convex and the fea-
sible set is also convex. That is, a
convex optimization problem
is written as
min
x
n
f(x),
∈
R
s.t.
g
i
(x)
≤
0
,i
=
1
,...,m
h
i
(x)
=
0
,i
=
1
,...,l.
where
f
and
g
i
,i
1
,...,m
are convex.
Note that any local optimum of a convex optimization problem is globally opti-
mal. Here are some examples of convex optimization problem.
=
Linear Programming (LP)
A linear programming is a convex optimization prob-
lem with affine objective and constraint functions. Its feasible set is a polyhedron.
n
α
T
x
min
x
+
β,
∈
R
s.t.
g
i
(x)
≤
h
i
,i
=
1
,...,m,
a
i
x
=
b
i
,i
=
1
,...,l,