Optimization Week 1: Convex Sets

1 Definition of convex set

A set C C C is convex if the line segment between any two points in C C C lies in C C C, i.e., if for any x 1 , x 2 ∈ C x_1, x_2 \in C x1,x2C and any θ \theta θ with 0 ≤ θ ≤ 1 0 ≤ \theta ≤ 1 0θ1, we have:
θ x 1 + ( 1 − θ ) x 2 ∈ C \theta x_1+(1-\theta)x_2\in C θx1+(1θ)x2C

2 Operations preserving convexity

2.1 Affine transformation (shift, scale, rotate)

C ′ = { A x + b ∣ x ∈ C } C'=\{Ax+b|x\in C\} C={Ax+bxC} C ′ C' C is a convex set ⇔ \Leftrightarrow C C C is a convex set.

2.2 Intersection

C ′ = { x ∣ x ∈ C 1 , x ∈ C 2 } C'=\{x|x\in C_1, x\in C_2\} C={xxC1,xC2} C ′ C' C is a convex set ⇔ \Leftrightarrow C 1 C_1 C1, C 2 C_2 C2 are convex sets.

3 Examples

3.1 Hyperplanes

{ x : a T x = b } , a ≠ 0 \{x:a^Tx=b\}, a\neq0 {x:aTx=b},a=0

3.2 Halfspaces

{ x : a T x ≤ b } , a ≠ 0 \{x:a^Tx\leq b\}, a\neq0 {x:aTxb},a=0

3.3 Convex hull of x 1 … x n x_1 \dots x_n x1xn

{ x : x = ∑ i = 1 n θ i x i , θ i ≥ 0 , ∑ i = 1 n θ i = 1 } \{x:x=\sum_{i=1}^n \theta_ix_i, \theta_i\geq 0, \sum_{i=1}^n \theta_i=1\} {x:x=i=1nθixi,θi0,i=1nθi=1}

3.4 Conic combination of x 1 … x n x_1 \dots x_n x1xn

{ x : x = ∑ i = 1 n θ i x i , θ i ≥ 0 } \{x:x=\sum_{i=1}^n \theta_ix_i,\theta_i\geq 0\} {x:x=i=1nθixi,θi0}

3.5 Affine combination of x 1 … x n x_1 \dots x_n x1xn

{ x : x = ∑ i = 1 n θ i x i , θ ∈ R } \{x:x=\sum_{i=1}^n \theta_ix_i, \theta \in \mathbb{R}\} {x:x=i=1nθixi,θR}

3.6 Ellipse, norm balls

{ x : ( x − c ) T M ( x − c ) ≤ 1 , M ≥ 0 } \{x:(x-c)^TM(x-c)\leq 1, M\geq 0 \} {x:(xc)TM(xc)1,M0} { x : ∣ ∣ x ∣ ∣ ≤ u } \{x:||x||\leq u\} {x:xu}

3.7 Polyhedra

{ x : A x ≤ b , c x = d } \{x:Ax\leq b, cx=d\} {x:Axb,cx=d}

3.8 All positive semidefinite (symmetric) matrices

3.9 Level sets

f f f is a convex function ⇒ \Rightarrow any level set { x : f ( x ) ≤ c } \{x:f(x)\leq c\} {x:f(x)c} is a convex set.

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