Technische Universität München, Zentrum Mathematik

Lehrstuhl für Angewandte Geometrie und Diskrete Mathematik

Fundamentals of Convex Optimization (MA 2504),
SoSe 2018
Prof. Dr. Peter Gritzmann | PD Dr. René Brandenberg

Homework sheet 4
Homework sheet 4.1
Let C ⊂ Rn non-empty, closed, and convex, and πC : Rn → C, πC (y) = argminx∈C ky − xk2 the
nearest point map onto C. Show
a) that πC is properly defined, i. e. show that for all y ∈ Rn there exists a unique x∗ ∈ C, s. t.

ky − x∗ k2 ≤ ky − xk2 ∀x ∈ C.

b) if x ∈ C, then x = πC (y), iff hy − x, z − xi ≤ 0 for all z ∈ C.

Pk
c) if C = lin{s1 , . . . , sk } with s1 , . . . , sk orthonormal, then πC (y) = i=1 s
i (si )T y.

d) if C = Bn2 := {x : kxk2 ≤ 1} and y 6∈ Bn2 , then πC (y) = y/ kyk2 .

Answer to Exercise 4.1

a) Since C is non-empty and closed and k·k2 a continuous function on Rn , there must exist x∗ ∈ C,
s. t. ky − xk2 = min{ky − xk2 : x ∈ C}.
Now assume there exist x1 , x2 ∈ C, x1 6= x2 , s. t.

y − x1 = y − x2 ≤ ky − xk2 ∀x ∈ C.

2 2

(Thus the three points x1 , x2 and y span an isosceles triangle.) Now, define x3 = 12 x1 + x2 .

Then y − x3 is orthogonal to x2 − x1 and using the pythagorean theorem we obtain:

2
3
2
1
1  2 2

1
y − x = y − x − x −x

2 2 2 2
2
< y − x1 .

2

Since C is convex, we have x3 ∈ C, and therefore a contradiction to our assumption.

b) If hy − x, z − xi ≤ 0 for all z ∈ C, then

ky − zk22 = k(y − x) + (x − z)k22 = ky − xk22 − 2hy − x, z − xi + kx − zk22 ≥ ky − xk22

holds, which means x = πC (y).

On the other hand, if there exists z ∈ C, s. t. hy − x, z − xi > 0, then for any ε > 0 and
x0 := x + ε(z − x) we have x0 ∈ C (since C is convex) and

y − x0 2 = ky − xk2 − 2εhy − x, z − xi + ε2 kz − xk2

2 2 2

which is less than ky − xk22 if ε is small enough.

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 c) First: πC : Rn → C is well-defined, since ki=1 si (si )T y =
P Pk i T i
i=1 ((s ) y)s which means the
result is always a linear combination of the si .
D Pk Pk E
Because of (b) it suffices to show y − i i T i i T
i=1 s (s ) y, z − i=1 s (s ) y ≤ 0 for all z ∈ C. To
do so, let z =
P i with µi ∈ R. Then
i µi s

k k k k
* +
X X X X
i i T i i T
y− s (s ) y, z − s (s ) y = (y T − ((sj )T y)(sj )T )( (µi − (si )T y)si )
i=1 i=1 j=1 i=1
X X
i T T i
= (µi − (s ) y)(y s − (sj )T y(sj )T si ) = 0
i j

(Remark: That instead of the desired inequality even equality holds for all z is due to the fact
that here C is a subset of the supporting hyperplane to C in πC (y).)
d) Again it suffices because of (b) to show that hy − y/ kyk2 , z − y/ kyk2 i ≤ 0 for all z ∈ C.
Now, we have
* + * + * +!
y y y y y
y− ,z − = (kyk2 − 1) ,z − , ≤ (kyk2 − 1) (kzk2 − 1) ≤ 0
kyk2 kyk2 kyk2 kyk2 kyk2

where the second to last inequality is true because of Cauchy-Schwarz (applied on the first term
of the second factor) and the last because of y 6∈ C and z ∈ C.

Homework exercise 4.2

a) Give a proof of Helly’s Theorem for K1 , . . . , Km convex and compact using a suitable separation
theorem and induction over the dimension n.
b) We have already seen before that we do not need the compactness assumption for K1 , . . . , Km .
Assuming we only know the result for compact sets, how can we obtain the general result from
it?

Answer to Exercise 4.2

a) Base case: If n = 1 we easily see that the intersection of m intervalls is non-empty, iff every 2 of
these intervalls intersect.

Induction step (n → (n + 1)): It suffices to show that if the intersection of any n + 2 sets is
non-empty, then the intersection of the whole family is non-empty.
Tm Tn+2
Suppose for a contradiction that i=1 Ki = ∅, but i=1 6 ∅. Then there must exist some
Ki =
k ≥ n + 2 such that
k
\ k+1
\
M := Ki 6= ∅, but M ∩ Kk+1 = Ki = ∅.
i=1 i=1

Since we assumed the sets Ki to be compact M is also compact and thus there exists a hyperplane
< >
H(a,β) strongly separating M and Kk+1 , i. e. (w. l. o. g.) that M ⊂ H(a,β) and Kk+1 ⊂ H(a,β) .
T
Now, let J be an arbitrary subset of [k] with n + 1 elements and KJ := j∈J Kj . By our
assumption that the intersection of any n + 2 of the Ki is non-empty, it follows that
\
KJ ∩ Kk+1 = Kj ∩ Kk+1 6= ∅.
j∈J

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 Since KJ is convex, it follows
\
HJ := KJ ∩ H(a,β) = (Kj ∩ H(a,β) ) 6= ∅.
j∈J

Since J is an arbitrary subset of [k] with n + 1 elements, we obtain that any of the n-dimensional
sets HJ is non-empty. Hence by our induction hypothesis the set M ∩ H(a,β) = ki=1 (Ki ∩ H(a,β) )
T
<
is non-empty, which is a contradiction to M ⊂ H(a,β) .
n o
b) Let xI denote the intersection of i∈I Ki , I ⊂ [m], |I| = n+1 and ρ = max k·k xI : I ⊂ [m], |I| = n + 1 .
T

Then Ki ∩ ρBn is compact for all i ∈ [m] and i∈[m] Ki i∈[m] Ki ∩ ρBn is non-empty by (a).
T T

Homework exercise 4.3

Using the separation theorems for both directions, show:
The system of linear equations Ax = b with A ∈ Rm×n , b ∈ Rm , has a solution, iff uT b = 0 holds for
all u ∈ Rm with uT A = 0.

Answer to Exercise 4.3

First: Suppose there exists u ∈ Rm and β = 6 0, w. l. o. g. β > 0, s. t. uT b = β and uT A = 0.
Denoting the column vectors of A by ai, we obtain uT ai = 0 for all i, and therefore uT a = 0
n n
 1
1


for all a ∈ lin a
, . . . , a . Hence lin a , . . . , a and b are strongly separable, which means
b 6∈ lin a1 , . . . , an or, in other words, the system of linear equations Ax = b has no solution.
On the other hand: Suppose the system of linear equations Ax =
b has no solution. Then b 6∈
1 n n n

 1  1
lin a , . . . , a and since lin a , . . . , a ) is closed, lin a , . . . ,a and b
are strongly separable.
Thus, there exists u ∈ Rm and α < β s. t. uT a ≤ α for all a ∈ lin a 1 , . . . , an and uT b ≥ β. Since
a ∈ lin  a , . . . , an means also λa ∈ lin a1 , . . . , an for all λ ∈ R, it follows uT a = 0 for all
 1


a ∈ lin a1 , . . . , an ) and therefore 0 ≤ α < β. Hence uT A = 0 and uT b > 0.

Homework exercise 4.4

a) Let A, B, K, L ⊂ Rn , non-empty, K, L closed and convex, a, a0 ∈ Rn , and λ ≥ 0. Show:
(i) hλA = λhA , h−A (a) = hA (−a), and
(ii) hA+B = hA + hB .
(iii) hK ≤ hL ⇔ K ⊂ L, hK = hL ⇔ K = L
b) Let K, X ⊂ Rn , K a cone, and K a family of cones in Rn . Show:
T
(i) K∈K K is a cone
(ii) pos(X) is a cone, and
(iii) pos(X) = [0, ∞) conv(X) = conv([0, ∞)X)

Answer to Exercise 4.4

a) (i) Let a ∈ Rn . Then λaT x = aT (λx) ≤ hλA (a), for all x ∈ A. Thus also

λ sup aT x = sup(λaT x) ≤ hλA (a),

x∈A x∈A

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 which means λhA (a) ≤ hλA (a). On the other hand, for every y ∈ λA there exists x ∈ A
with y = λx. Hence aT y = λaT x ≤ λhA (a) and again from taking the supremum
supy∈λA aT y ≤ λhA (a), which means hλA (a) ≤ λhA (a).
The second part of the claim follows the same way using −1 insted of λ.
(ii) Let a ∈ Rn . Then aT x + aT y = aT (x + y) ≤ hA+B (a) for all x ∈ A and y ∈ B using
x + y ∈ A + B. Thus, taking the supremum, we obtain hA (a) + hB (a) = supx∈A aT x +
supx∈B aT x ≤ hA+B (a). On the other hand, for all z ∈ A + B there exist x ∈ A, y ∈ B
with z = x + y. Hence aT z = aT x + aT y ≤ hA (a) + hB (a) and taking the suprema we
obtain hA+B (a) ≤ hA (a) + hB (a).
(iii) It suffices to show the first equivalence as the other is a direct corollary. Moreover, the
“if”-part directly follows from the definition of the support function. To show the “only
if”-part, suppose K 6⊂ L. Then there exists v ∈ K \ L. Since L is closed and convex v and
L can be strongly seperated, i. e. there exists a ∈ Rn \ {0} and b1 < b2 , s. t.

aT x ≤ b1 ∀x ∈ L
aT v ≥ b2

Hence
hL (a) = sup aT x ≤ b1 < b2 ≤ aT v ≤ sup aT x = hK (a)
x∈L x∈K

contradicting hK ≤ hL .
(i) Holds true as [0, ∞) K∈K [0, ∞)K
T T T T T
b) K∈K K = and K∈K K + K∈K K = K∈K K + K.
(ii) Follows directly from (c).
(iii) Since conv(X) + conv(X) = 2 conv(X) ⊂ [0, ∞) conv(X), the latter is a cone containing
X and it follows pos(X) ⊂ [0, ∞) conv(X).
Now, if z ∈ [0, ∞) conv(X) there exists µ, λi ≥ 0, and x1 , . . . , xm ∈ X, s. t. m
P
Pm Pm i=1 λi = 1 and
i i i
z = µ i=1 λi x = i=1 λi (µx ). Since µx ∈ [0, ∞)X, i ∈ [m] it follows z ∈ conv([0, ∞)X)
and therefore that [0, ∞) conv(X) ⊂ conv([0, ∞)X).
Finally, since pos(X) is a cone (d) that contains X, it holds [0, ∞)X ⊂ pos(X) and because
of (b) any cone is convex, i. e. conv([0, ∞)X) ⊂ pos(X).

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