I am trying to work out a question from 'Convex Optimization - Boyd'
. Specifically, exercise 3.48:
Show that if $f : \mathbb R^n \to \mathbb R$ is log-concave and $a > 0$, then the function $g = f - a $ is log-concave, where $\operatorname{dom} g= \{x \in \operatorname{dom} f | f(x) > a\}?$
This is my attempt so far:
By assumption, we have $$\frac{d^2\log f}{dx^2}=\frac{f''f-(f')^2}{f^2}\leq0.$$
Considering $g=f-a$, we have
$$\frac{d^2\log g}{dx^2} = \frac{f''(f-a)-(f')^2}{(f-a)^2}=\frac{f''f-(f')^2}{(f-a)^2}-\frac{f''a}{(f-a)^2}.$$
If $f''>0$, then we are complete. I'm not sure how to handle the alternative situation though, can anyone help?
Answer
Hint:
You correctly compute
$$
\frac{d^2\log g}{dx^2} = \frac{f''(f-a)-(f')^2}{(f-a)^2}.
$$
When $a=0$, we know this quantity is non-positive, so the numerator is non-positive. Focus just on the numerator. What happens to the numerator when $a$ increases from $0$? Can you say whether this expression remains non-positive? Note that by assumption, $f-a >0$. It may be useful to consider the cases when $f''>0$ and $f''\le 0$ separately.
And by the way, a complete proof would take account of the fact that $f$ is a function of values in $\mathbb{R}^n$, not just $\mathbb{R}$. That's really not a big issue here, though, since $f$ is log-concave if for all $x_0,v\in\mathbb{R}^n$, the function $\tilde{f}:\mathbb{R}\to\mathbb{R}$ is log-concave, where
$$
\tilde{f}(t) \equiv f(x_0 + v t).
$$
This is just a simple trick for converting questions of concavity in $n$ dimensions into equivalent questions in one dimension by considering how $f$ changes along arbitrary directions $v$.
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