P13 凸函数证明

当$n=1$,$f(x)=logx$为凹函数
当$n>1$,$\forall z\in S_{++}^n,\forall t\in R,\forall v\in R^{n\ast n}$
$z+tv\in S_{++}^n=domf$ $v\in R^{n\ast n}$

g ( t ) = f ( z + t v ) = l o g d e t ( z + t v ) = l o g d e t { z 1 2 ( I + t z − 1 2 v z − 1 2 ) z 1 2 } = 2 log ⁡ det ⁡ z 1 2 + log ⁡ det ⁡ { I + t z − 1 2 v z − 1 2 } = log ⁡ det ⁡ z + log ⁡ det ⁡ { I + t z − 1 2 v z − 1 2 } = log ⁡ det ⁡ z + ∑ i = 1 n log ⁡ ( 1 + λ i ) \begin{aligned} g(t) &=f(z+tv) \\ &=log det(z+tv) \\ &= log det \lbrace z^{\frac{1}{2} } (I + tz^{-\frac{1}{2}} v z^{-\frac{1}{2}}) z^{\frac{1}{2}} \rbrace \\ &=2\log \det { z^{\frac{1}{2} } } + \log \det \lbrace {I + tz^{-\frac{1}{2}} v z^{-\frac{1}{2}}} \rbrace \\ &=\log \det { z } + \log \det \lbrace {I + tz^{-\frac{1}{2}} v z^{-\frac{1}{2}}} \rbrace \\ &=\log \det { z } + \sum_{i=1}^n \log (1+\lambda_i) \\ \end{aligned} g(t)​=f(z+tv)=logdet(z+tv)=logdet{z21​(I+tz−21​vz−21​)z21​}=2logdetz21​+logdet{I+tz−21​vz−21​}=logdetz+logdet{I+tz−21​vz−21​}=logdetz+i=1∑n​log(1+λi​)​

${\lambda }_i:t{z}^{-\frac{1}{2}}v{z}^{-\frac{1}{2}}$的特征值
$Q\Lambda Q^{T}Q{Q}^T=I$

det ⁡ { I + t z − 1 2 v z − 1 2 } = d e t ( Q Q T + Q Λ Q T ) = d e t ( Q ) d e t ( I + Λ ) d e t ( Q T ) = d e t ( Q ) d e t ( Q T ) d e t ( I + Λ ) = d e t ( I + Λ ) \det \lbrace {I + tz^{-\frac{1}{2}} v z^{-\frac{1}{2}}} \rbrace=det(QQ^T+Q\Lambda Q^T)=det(Q)det(I+\Lambda)det(Q^T)=det(Q)det(Q^T)det(I+\Lambda)=det(I+\Lambda) det{I+tz−21​vz−21​}=det(QQT+QΛQT)=det(Q)det(I+Λ)det(QT)=det(Q)det(QT)det(I+Λ)=det(I+Λ)

$g^{\prime }(t)={\sum }_i\frac{{\lambda }_i}{1+t{\lambda }_i}$
$g^{\prime \prime }(t)={\sum }_i\frac{-{\lambda }_i^2}{(1+t{\lambda }_i{)}^2}\le 0$

所以:$f(x)$是凹函数