Thursday, 10 August 2017

real analysis - Subtracting a constant from log-concave function preserves log-concavity, if the difference is positive



I am trying to work out a question from 'Convex Optimization - Boyd'
. Specifically, exercise 3.48:




Show that if f:RnR is log-concave and a>0, then the function g=fa is log-concave, where domg={xdomf|f(x)>a}?



This is my attempt so far:



By assumption, we have d2logfdx2=f
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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