凸优化

1、凸集(Convex Sets)

Definition:A set C is convex if,for any $x,y\in C$and$\theta\in R$ with $0\leq\theta\leq1$:

$$\theta x+(1-\theta)y\in C$$
其几何意义表示为：如果集合C中任意2个元素连线上的点也在集合C中，则C为凸集。其示意图如下所示：

Figure 1. 凸集与非凸集

2、凸函数(Convex Functions)

Definition: A function $f: R^2\rightarrow R$ is convex if its domain (denote $D(F)$)is a convex set,and if,for all $x,y\in D(f)$and $\theta \in R,0\leq\theta\leq1$

$$f(\theta x+(1-\theta)y)\leq\theta f(x)+(1-\theta)f(y)$$
其几何意义表示为函数任意两点连线上的值大于对应自变量处的函数值，示意图如下:

Figure 1. 凸函数

3、凸优化问题(Convex Optimization Problems)

Armed with the definitions of convex functions and sets.we are now equipped to consider concvex optimization problems.Formally, a convex optimazation problem in an optimization problem of the form:

$$minimize f(x)\\subject to x\in C$$
where $f$ is a convex function,$C$is a convex set,and $x$is the optimization variable.However,since this can be a little bit vague,we often write it as:
minimize $f(x)$
subject to $g_i(x)\leq 0,i=1,...,m\\h_i(x)=0,i=1,...,p$
where $f$ is a convex function,$g_i$ are convex functions, and $h_i$ are affine functions, and x <script type="math/tex" id="MathJax-Element-930">x</script> is the optimization variable.
即要求目标函数是凸函数，变量所属集合是凸集合的优化问题。或者目标函数是凸函数，变量的约束函数是凸函数（不等式约束时），或者是仿射函数（等式约束时）。

　　对于凸优化问题来说，局部最优解就是全局最优解。
参考文献：
1、http://cs229.stanford.edu/section/cs229-cvxopt.pdf