APPENDIX

CONVEX AND CONCAVE FUNCTIONS

Convex Function

A function of n variables (x) dened on a convex set D is said to be a convex function if and only if for any two points x (1) and x (2) D and 0 1, [ x (1) (1 ) x (2)] (x (1)) (1 )(x (2)) Figure B.1 illustrates the denition of a convex function of a single variable.
Properties of Convex Functions

1. The chord joining any two points on the curve always falls entirely on or above the curve between those two points. 2. The slope or rst derivative of (x) is increasing or at least nondecreasing as x increases. 3. The second derivative of (x) is always nonnegative for all x in the interval. 4. The linear approximation of (x) at any point in the interval always underestimates the true function value. 5. For a convex function, a local minimum is always a global minimum. Figure B.2 illustrates property 4. The linear approximation of at the point (x; x 0), is obtained by ignoring the second and other higher x 0, denoted by order terms in the Taylor series expansion
x; x 0) (x 0) (x 0)(x x 0) (

For a convex function, property 4 implies that

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Engineering Optimization: Methods and Applications, Second Edition. A. Ravindran, K. M. Ragsdell and G. V. Reklaitis 2006 John Wiley & Sons, Inc. ISBN: 978-0-471-55814-9

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Figure B.1. Convex function.

(x) (x 0) (x 0)(x x 0)

for all x

The gradient of a function (x1, . . . , xn) is given by

(x1, . . . , xn)

, ,..., x1 x2 xn

The Hessian matrix of a function (x1, . . . , xn) is an n n symmetric matrix given by H(x1, . . . , xn)

2 2 xi xj

Figure B.2. Linear approximation of a convex function.

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Test for Convexity of a Function. A function is convex function if the

Hessian matrix of is positive denite or positive semidenite for all values of x1, . . . , xn.
Concave Function

A function (x) is a concave function in D if and only if (x) is a convex function in D.

Test for Concavity of a Function. A function is concave if the Hessian

matrix of is negative denite or negative semidenite for all values of x1, . . . , xn.
Example B.1
2 2 2 (x1, x2, x3) 3x 1 2x 2 x3 2 x1x2 2 x1x3

2 x2 x3 6x1 4 x2 2 x3 f(x1, x2, x3)

6 2 4 H(x1, x2, x3) 2 2 2

6 x1 2 x2 2 x3 6 4 x2 2 x1 2 x3 4 2 x3 2 x1 2 x2 2
2

2 2

To show that is a convex function, we test for whether H is positive denite or positive semidenite. Note that: 1. H is symmetric. 2. All diagonal elements are positive. 3. The leading principal determinants are
6 0

6 2 20 0 4

H 16 0

Hence H is a positive-denite matrix, which implies is a convex function. (As a matter of fact, when H is positive denite, is said to be strictly convex with a unique minimum point.)