Appendix H 、Convex Analysis 数理金融学入门 教学课件.pdfVIP

APPENDIX H Convex Analysis H.1. Convex sets and cones Definition H.1. A set C ⊆ Rn is called convex if for any x, y ∈ C , 0 λ 1. λx + (1 − λ)y ∈ C convex set , ””, C , C . Figure H.1 and Figure H.2. x y Figure H.1. convex set n Example H.2. Let b be a nonzero R -vector, β ∈ R. The closed half-spaces {x ∈ Rn : x, b ≤ β } and {x ∈ Rn : x, b ≥ β } and the open half-spaces {x ∈ Rn : x, b β} and {x ∈ Rn : x, b β} 349 350 H. CONVEX ANALYSIS x y Figure H.2. not convex set and the hyperplane {x ∈ Rn : x, b = β } are convex ( R2 R3 ) Theorem H.3. The intersecton of an arbitrary collection of convex sets is convex. Theorem H.4. A closed convex set is the intersection of the closed half-spaces con- taining it. Figure H.3. Figure H.3 H.2. CONVEX FUNCTIONS 351 Definition H.5. (1) A set K ⊆ Rn is called cone if it is closed under positive scalar multiplication, i.e., λx ∈ K when x ∈ K, λ 0. (2) A convex cone is a cone which is a convex set. Example H.6. . Figure H.4 Figure H.5. Figure H.4. convex cone Figure H.5. cone,