Danskin's theorem

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最新推荐文章于 2024-02-09 03:04:59 发布

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Danskin's theorem

From Wikipedia, the free encyclopedia

In convex analysis, Danskin's theorem is a theorem which provides information about the derivatives of a function of the form

$f(x) = \max_{z \in Z} \phi(x,z).$

The theorem has applications in optimization, where it sometimes is used to solve minimax problems.

[edit]Statement

The theorem applies to the following situation. Suppose $\phi(x,z)$ is a continuous function of two arguments,

$\phi: {\mathbb R}^n \times Z \rightarrow {\mathbb R}$

where $Z \subset {\mathbb R}^m$ is a compact set. Further assume that $\phi(x,z)$ is convex in $x$ for every $z \in Z$ .

Under these conditions, Danskin's theorem provides conclusions regarding the differentiability of the function

$f(x) = \max_{z \in Z} \phi(x,z).$

To state these results, we define the set of maximizing points $Z_0(x)$ as

$Z_0(x) = \left\{ \overline{z} : \phi(x,\overline{z}) = \max_{z \in Z} \phi(x,z)\right\}.$

Danskin's theorem then provides the following results.

Convexity

$f(x)$ is convex.

Directional derivatives

The directional derivative of $f(x)$ in the direction $y$ , denoted $D_y\ f(x)$ , is given by

$D_y f(x) = \max_{z \in Z_0(x)} \phi'(x,z;y),$

where $\phi'(x,z;y)$ is the directional derivative of the function $\phi(\cdot,z)$ at $x$ in the direction $y$ .

Derivative

$f(x)$ is differentiable at $x$ if $Z_0(x)$ consists of a single element $\overline{z}$ . In this case, the derivative of $f(x)$ (or the gradient of $f(x)$ if $x$ is a vector) is given by

$\frac{\partial f}{\partial x} = \frac{\partial \phi(x,\overline{z})}{\partial x}.$

Subdifferential

If $\phi(x,z)$ is differentiable with respect to $x$ for all $z \in Z$ , and if $\partial \phi/\partial x$ is continuous with respect to $z$ for all $x$ , then the subdifferential of $f(x)$ is given by

$\partial f(x) = \mathrm{conv} \left\{ \frac{\partial \phi(x,z)}{\partial x} : z \in Z_0(x) \right\}$