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Gruber P. Convex and Discrete Geometry

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20 <strong>Convex</strong> Functions<br />

2 <strong>Convex</strong> Functions of Several Variables<br />

<strong>Convex</strong> functions in d variables appear in several areas of mathematics, for example<br />

in optimization. Many of the general results for convex functions of one variable<br />

extend to convex functions in d variables. While in some cases the extensions are<br />

straightforward, for numerous results the proofs are essentially more difficult <strong>and</strong><br />

require new ideas.<br />

In the following we consider continuity, affine support, <strong>and</strong> differentiability properties,<br />

including Alex<strong>and</strong>rov’s celebrated theorem on second-order differentiability<br />

almost everywhere. Then a Stone–Weierstrass type result is given, showing a relation<br />

between convex <strong>and</strong> continuous functions. As an application, we present a sufficient<br />

condition in the calculus of variations due to Hilbert <strong>and</strong> Courant.<br />

Let C be a convex set in E d with non-empty interior <strong>and</strong> I ⊆ R an interval.<br />

For more information the reader may consult the books <strong>and</strong> surveys cited in the<br />

introduction of this chapter.<br />

2.1 Continuity, Support <strong>and</strong> First-Order Differentiability, <strong>and</strong> a Heuristic<br />

Principle<br />

The results in this section are direct extensions of the basic results on continuity,<br />

affine support <strong>and</strong> first-order differentiability of convex functions of one variable,<br />

including Jensen’s inequality, which were presented in Sects. 1.2 <strong>and</strong> 1.3. In most<br />

cases the proofs are more involved. Finally there are some heuristic remarks concerning<br />

a sort of reinforcement principle.<br />

Jensen’s Inequality<br />

As a useful tool we state the following generalization of Theorem 1.9. Its proof is<br />

verbatim the same as that of its 1-dimensional relative <strong>and</strong> thus is omitted.<br />

Theorem 2.1. Let f : C → R be convex, x1,...,xn ∈ C, <strong>and</strong> λ1,...,λn ≥ 0 such<br />

that λ1 +···+λn = 1. Then λ1x1 +···+λnxn ∈ C <strong>and</strong><br />

Continuity Properties<br />

f (λ1x1 +···+λnxn) ≤ λ1 f (x1) +···+λn f (xn).<br />

Let f : C → R. f is Lipschitz on a subset D ⊆ C if there is a constant L > 0,<br />

a Lipschitz constant of f on D, such that<br />

| f (x) − f (y)| ≤L�x − y� for x, y ∈ D,<br />

where �·�denotes the Euclidean norm on E d . f is locally Lipschitz at a point<br />

x ∈ C if there is a neighborhood N of x such that f is Lipschitz on C ∩ N. The<br />

corresponding Lipschitz constant may depend on x <strong>and</strong> N.

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