diff --git a/src/fa/convex/legendre.tex b/src/fa/convex/legendre.tex index 15098b3..08d7e07 100644 --- a/src/fa/convex/legendre.tex +++ b/src/fa/convex/legendre.tex @@ -129,24 +129,26 @@ Let $E$ be a locally convex space over $\real$ and $f: E \to (-\infty, \infty]$ with $f \ne \infty$, then for each $(x, \alpha) \in \ol{\text{Conv}}(\text{epi}(f))$, $\bracs{x} \times [\alpha, \infty) \subset \ol{\text{Conv}}(\text{epi}(f))$. \end{lemma} \begin{proof} - First consider $\text{Conv}(\text{epi}(f))$. Let $(x, \alpha), (y, \beta) \in \text{Conv}(\text{epi}(f))$ such that + Let \[ - \bracs{x} \times [\alpha, \infty), \bracs{y} \times [\beta, \infty) \subset \text{Conv}(\text{epi}(f)) + A = \bracsn{(\phi, \alpha) \in \ol{\text{Conv}}(\text{epi}(f))| \bracs{x} \times [\alpha, \infty) \subset \ol{\text{Conv}}(\text{epi}(f))} \] - then for any $t \in [0, 1]$ and $\gamma \ge (1 - t)\alpha + t\beta$, there exists $\alpha' \ge \alpha$ and $\beta' \ge \beta$ such that $\gamma = (1 - t)\alpha' + t\beta'$. In which case, + For each $(x, \alpha), (y, \beta) \in A$, $t \in [0, 1]$, and $\gamma \ge (1 - t)\alpha + t\beta$, there exists $\alpha' \ge \alpha$ and $\beta' \ge \beta$ such that $\gamma = (1 - t)\alpha' + t\beta'$. In which case, \[ - ((1 - t)x + ty, \gamma) = ((1 - t)x + ty, (1 - t)\alpha' + t\beta') \in \text{Conv}(\text{epi}(f)) + ((1 - t)x + ty, \gamma) = ((1 - t)x + ty, (1 - t)\alpha' + t\beta') \in \ol{\text{Conv}}(\text{epi}(f)) \] - so $\bracs{(1 - t)x + ty} \times [\gamma, \infty] \subset \text{Conv}(\text{epi}(f))$. + so $\bracs{(1 - t)x + ty} \times [\gamma, \infty) \subset \ol{\text{Conv}}(\text{epi}(f))$, $(1 - t)(x + \alpha) + t(y, \beta) \in A$, and $A$ is convex. - Since the set of points that satisfy the lemma is convex, and contains $\text{epi}(f)$, the lemma holds for all points in $\text{Conv}(\text{epi}(f))$. - - Now consider $\ol{\text{Conv}}(\text{epi}(f))$. Let $(x, \alpha) \in \ol{\text{Conv}}(\text{epi}(f))$, $U \in \cn_E(0)$, and $\eps > 0$, then there exists $(y, \beta) \in \text{Conv}(\text{epi}(f))$ such that $x - y \in U$ and $|\alpha - \beta| < \eps$. As such a pair exists for all $U \in \cn_E(0)$ and $\eps > 0$, + Let $(x, \alpha) \in \ol A$, then there exists a net $\langle (x_\gamma, \alpha_\gamma) \rangle_{\gamma \in C} \subset A$ with $(x_\gamma, \alpha_\gamma) \to (x, \alpha)$. In which case, for each $r > 0$, $\langle (x_\gamma, \alpha_\gamma + r) \rangle_{\gamma \in C} \subset A$ and $(x_\gamma, \alpha_\gamma + r) \to (x, \alpha + r)$, so $(x, \alpha + r) \in \ol{\text{Conv}}(\text{epi}(f))$ and \[ - \bracs{x} \times (\alpha, \infty) \subset \ol{\text{Conv}}(\text{epi}(f)) + \bracs{x} \times [\alpha, \infty) \subset \ol{\text{Conv}}(\text{epi}(f)) \] + + Thus $(x, \alpha) \in A$ and $A$ is closed. + + Since $A$ is a closed convex set containing $\text{epi}(f)$, $A = \ol{\text{Conv}}(\text{epi}(f))$. \end{proof} \begin{lemma}[Almost Subgradient] @@ -156,6 +158,8 @@ \item $(\phi, \gamma) \le f$. \item $\dpn{x, \phi}{\lambda} - \gamma = \alpha$. \end{enumerate} + + In particular, $f^{*} \ne \infty$. \end{lemma} \begin{proof} (1): Since $f$ is convex and $\sigma(E, F)$-lower semicontinuous, $\text{epi}(f)$ is $\sigma(E \times \real, F \times \real)$-closed and convex. By the \hyperref[Hahn-Banach Theorem]{theorem:hahn-banach-geometric-2}, there exists $\phi \in F$ and $\mu \in \real$ such that @@ -212,30 +216,36 @@ f^{**}(x) \ge \sup\bracs{\dpn{x, \phi}{\lambda} - \alpha| \phi \in F, \alpha \in \real, \dpn{\cdot, y}{\lambda} - \alpha \le f} \] - (2): By \autoref{lemma:conjugate-function-gymnatics}, $f^{**}$ is lower semicontinuous and convex with $f^{**} \le f$, so $\text{epi}(f^{**}) \supset \text{epi}(f)$ and $\text{epi}(f^{**}) \supset \ol{\text{Conv}}(\text{epi}(f))$. Thus it is sufficient to show that $\text{epi}(f^{**}) \subset \ol{\text{Conv}}(\text{epi}(f))$. + (2): By \autoref{lemma:conjugate-function-gymnatics}, $f^{**}$ is lower semicontinuous and convex with $f^{**} \le f$, so $\text{epi}(f^{**}) \supset \text{epi}(f)$ and $\text{epi}(f^{**}) \supset \ol{\text{Conv}}(\text{epi}(f))$. Thus it is sufficient to show that $\text{epi}(f^{**}) \subset \ol{\text{Conv}}(\text{epi}(f))$, or equivalently, + \[ + E \times \real \setminus \ol{\text{Conv}}(\text{epi}(f)) \subset E \times \real \setminus \text{epi}(f) + \] - Let $A = \ol{\text{Conv}}(\text{epi}(f))$ and $(x, \alpha) \in E \times \real \setminus A$. By the \hyperref[Hahn-Banach Theorem]{theorem:hahn-banach-geometric-2}, there exists $\phi \in F$ and $\mu \in \real$ such that + To this end, let $A = \ol{\text{Conv}}(\text{epi}(f))$ and $(x, \alpha) \in E \times \real \setminus A$. By the \hyperref[Hahn-Banach Theorem]{theorem:hahn-banach-geometric-2}, there exists $\phi \in F$ and $\mu \in \real$ such that \[ \sup_{(y, \beta) \in A}\dpn{y, \phi}{\lambda} - \mu \beta < \dpn{x, \phi}{\lambda} - \mu \alpha \] + Given that the inequality is strict, there exists $\alpha_0 \in (\alpha, \infty)$ such that + \[ + \sup_{(y, \beta) \in A}\dpn{y, \phi}{\lambda} - \mu \beta \le \dpn{x, \phi}{\lambda} - \mu\alpha_0 + \] + Since for any $(y, \beta) \in A$, $\beta$ may be arbitrarily large by \autoref{lemma:closed-convex-epigraph}, $\mu \ge 0$. In the case that $\mu > 0$, for each $y \in \bracs{f < \infty}$, \begin{align*} - \dpn{x, \phi}{\lambda} - \mu\alpha &> \dpn{y, \phi}{\lambda} - \mu f(y) \\ - -\dpn{y, \phi}{\lambda} + \dpn{x, \phi}{\lambda} - \mu\alpha &> - \mu f(y) \\ - \dpn{y, \mu^{-1}\phi}{\lambda} - \dpn{x, \mu^{-1}\phi}{\lambda} + \alpha &< f(y) + \dpn{x, \phi}{\lambda} - \mu\alpha_0 &\ge \dpn{y, \phi}{\lambda} - \mu f(y) \\ + -\dpn{y, \phi}{\lambda} + \dpn{x, \phi}{\lambda} - \mu\alpha_0 &\le - \mu f(y) \\ + \dpn{y, \mu^{-1}\phi}{\lambda} - \dpn{x, \mu^{-1}\phi}{\lambda} + \alpha_0 &\le f(y) \end{align*} - so $(\mu^{-1}\phi, \dpn{x, \mu^{-1}\phi}{\lambda} - \alpha) \le f$ and + so $(\mu^{-1}\phi, \dpn{x, \mu^{-1}\phi}{\lambda} - \alpha_0) \le f$ and \[ - f^{**}(x) \ge \dpn{x, \mu^{-1}\phi}{\lambda} - \dpn{x, \mu^{-1}\phi}{\lambda} + \alpha \ge \alpha + f^{**}(x) \ge \dpn{x, \mu^{-1}\phi}{\lambda} - \dpn{x, \mu^{-1}\phi}{\lambda} + \alpha_0 > \alpha \] - Given that $f^* \ne \infty$, there exists at least one pair $(\phi_0, \gamma_0) \in F \times \real$ such that $(\phi_0, \gamma_0) \le f$. - - Now suppose that $\mu = 0$ and let + Now suppose that $\mu = 0$. Given that $f^* \ne \infty$, there exists at least one pair $(\phi_0, \gamma_0) \in F \times \real$ such that $(\phi_0, \gamma_0) \le f$. Let \[ \gamma = \sup_{(y, \beta) \in A}\dpn{y, \phi}{\lambda} < \dpn{x, \phi}{\lambda} \] @@ -250,7 +260,14 @@ f^{**}(x) \ge \dpn{x, \Phi_t}{\lambda} - \Gamma_t = \dpn{x, \phi_0}{\lambda} - \gamma_0 + t\underbrace{(\dpn{x, \phi}{\lambda} - \gamma)}_{> 0} \] - As the above holds for all $t > 0$, $f^{**}(x) = \infty \ge \alpha$. Since $f^{**}(x) \ge \alpha$ for all $(x, \alpha) \in E \times \real \setminus A$, $\text{epi}(f^{**}) \subset \ol{\text{Conv}}(\text{epi}(f))$. + As the above holds for all $t > 0$, $f^{**}(x) = \infty > \alpha$. + + Thus $f^{**}(x) > \alpha$ and $(x, \alpha) \not\in \text{epi}(f^{**})$ for all $(x, \alpha) \in E \times \real \setminus A$. Therefore + \[ + E \times \real \setminus A \subset E \times \real \setminus \text{epi}(f^{**}) + \] + + and $\text{epi}(f^{**}) \subset \ol{\text{Conv}}(\text{epi}(f))$. \end{proof}