Wednesday, 9 November 2016

calculus - Prove f(sumki=1alphaixi)leqsumki=1alphaif(xi) for a convex function f



I'm learning for an exam in calculus and have come across this question which I can't seem to prove:




Let CV be a convex set. Let there be a function >f:CR a convex function.




Now let there be scalars α1,α2αk>0 such that >ki=1αi=1, and also let there be a group of points >x1,x2xkC. Show that the following inequality exists:



f(ki=1αixi)ki=1αif(xi)




I thought about using induction to show the inequality, whereby the basis k=2 is the actual definition of a convex function i.e: f(λx+(1λ)y)λf(x)+(1λ)f(y)
I've ran into a problem using induction, since the scalars won't sum up to 1 in the induction hypothesis. I also don't really use the fact that C is convex, which I'm probably supposed to...



Either there is some algebraic trick that can be done so I can use induction, or I'm doing something wrong (and induction is not the way to go with this inequality)




Any help will be appreciated, thank you!


Answer



Induction step:
f(n+1i=1αixi)=f(n1i=1αixi+(αn+αn+1)(αnαn+αn+1xn+αn+1αn+αn+1xn+1))n1i=1αif(xi)+(αn+αn+1)f(αnαn+αn+1xn+αn+1αn+αn+1xn+1)n1i=1αif(xi)+(αn+αn+1)(αnαn+αn+1f(xn)+αn+1αn+αn+1f(xn+1))=n+1i=1αif(xi).
The first inequality above uses the induction hypothesis. The convexity of C is there so that whenever x1,,xn are in C, any convex combination of x1,,xn is again in C. (Recall the domain of f is C.)



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