May 17, 2012

Convex function and optimization

In mathematics, a real-valued function defined on an interval is called convex (or convex downward or concave upward) if the graph of the function lies below the line segment joining any two points of the graph. Equivalently, a function is convex if its epigraph (the set of points on or above the graph of the function) is a convex set. More generally, this definition of convex functions makes sense for functions defined on a convex subset of any vector space. Convex functions play an important role in many areas of mathematics. They are especially important in the study of optimization problems where they are distinguished by a number of convenient properties. For instance, a (strictly) convex function on an open set has no more than one minimum.


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