Paper 1, Section I, 7H\mathbf{7 H}

Optimization | Part IB, 2021

(a) Let fi:Rd→Rf_{i}: \mathbb{R}^{d} \rightarrow \mathbb{R} be a convex function for each i=1,…,mi=1, \ldots, m. Show that

x↦max⁡i=1,…,mfi(x) and x↦∑i=1mfi(x)x \mapsto \max _{i=1, \ldots, m} f_{i}(x) \quad \text { and } \quad x \mapsto \sum_{i=1}^{m} f_{i}(x)

are both convex functions.

(b) Fix c∈Rdc \in \mathbb{R}^{d}. Show that if f:R→Rf: \mathbb{R} \rightarrow \mathbb{R} is convex, then g:Rd→Rg: \mathbb{R}^{d} \rightarrow \mathbb{R} given by g(x)=f(cTx)g(x)=f\left(c^{T} x\right) is convex.

(c) Fix vectors a1,…,an∈Rda_{1}, \ldots, a_{n} \in \mathbb{R}^{d}. Let Q:Rd→RQ: \mathbb{R}^{d} \rightarrow \mathbb{R} be given by

Q(β)=∑i=1nlog⁡(1+eaiTβ)+∑j=1d∣βj∣Q(\beta)=\sum_{i=1}^{n} \log \left(1+e^{a_{i}^{T} \beta}\right)+\sum_{j=1}^{d}\left|\beta_{j}\right|

Show that QQ is convex. [You may use any result from the course provided you state it.]

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