Convex conjugate Created 2026-09-28 Updated 2026-10-14
The convex conjugate records a function using slopes rather than input positions. Let be a proper extended-real function: it is finite somewhere and never takes . Its convex conjugate iswhere is the dot product and is the effective domain. An infinite value of excludes that input from the supremum. The value can be , but cannot be because an input with finite supplies a finite lower bound.
The convex conjugate is automatically a convex function, even when is not convex: each fixed input gives an affine function , and their supremum is convex. It is also lower semicontinuous. It need not be proper: for on , is unbounded above for every . The definition and the automatic convexity are discussed in Boyd and Vandenberghe, Convex Optimization (2004), §3.3.1.
The best lower bound with a prescribed slope. Whenever is finite, the affine functionis an affine minorant of . Indeed, an affine function lies below everywhere exactly when . Thus is the largest possible intercept at slope . The convex conjugate trades positions for slopes: specifies where to inspect , whereas specifies which global affine minorant to use. Taking the supremum over all these affine minorants produces the biconjugate; the Fenchel-Moreau theorem says this recovers a proper convex function when it is lower semicontinuous.
A quadratic, computed by completing the square. For the convex quadratic function ,Consequently , and the unique maximizing input is . The affine minorant is the tangent line at : its slope is and its intercept is . For example, gives and the tangent line , touching at . This is the same curve described either by its point values or by the intercepts of its tangent lines.
A corner turns into a constraint on slopes. For the absolute value , if then , with value zero at . If , taking makes ; if , taking does the same. Therefore its convex conjugate is zero on and outside: it is the indicator functional of a constraint set for this interval. For the unique maximizing input is zero; for every maximizes, and for every maximizes. The corner's many supporting slopes are exactly the subdifferential .
A supremum need not be attained. For a differentiable convex function finite on all of , an input maximizes exactly when . If is strictly convex, there is at most one such input; existence is a separate issue. For the exponential function , the derivative is positive. At , solving gives and . At , the supremum of is zero as , with no maximizing input. At , as . Thus a strictly convex differentiable function can have both unattained finite conjugate values and infinite conjugate values.
Fenchel–Young inequality Created 2026-09-28 Updated 2026-10-14
The Fenchel–Young inequality says that every input and every slope obeywhere is any proper extended-real function and is its convex conjugate. No convexity assumption on is needed for this inequality: the defining supremum is at least the particular value . If either term on the left is , the inequality still holds, but cannot be an equality because the dot product on the right is finite.
For a proper convex function, equality is equivalent to the subgradient conditionTo see this, with finite, equality says that attains the supremum defining , so for every . Rearranging gives the subgradient inequality . Geometrically, the affine minorant touches at .
If the proper convex function is also closed, meaning its epigraph is a closed set, or equivalently it is lower semicontinuous, thenThe forward implication holds without closedness; the reverse one requires the additional hypothesis in general. Applying the equality criterion to relates to , and the Fenchel-Moreau theorem supplies when is closed. See Bertsekas, Convex Optimization Theory: A Summary, §5.4.1, Proposition 5.4.3 for precisely this distinction.
A concrete failure of the reverse implication occurs for the indicator functional of a constraint set of the open interval . Its convex conjugate is : the endpoint gives the supremum, even though it is excluded from the interval. At , , but , so equality fails and is empty. Closing the interval changes the endpoint value and restores equality there.
For the convex quadratic function , the Fenchel–Young inequality is , and equality holds exactly when . For the absolute value , finite equality requires at , where is the sign function; at every gives equality. These are exactly the subgradients of the absolute value, including its entire interval of slopes at the corner.
Infimal convolution Created 2026-10-05 Updated 2026-10-14
An infimal convolution is the cheapest way to split a prescribed total between two costs. Suppose two activities contribute and to a required total , costing and . Their combined cost is optimized over all splits , rather than charging both activities for the entire total.
For proper extended-real functions on a real vector space , defineThe definition does not require convexity. An infinite cost forbids that contribution, as with an indicator functional of a constraint set. If no split has two finite costs, set ; if the costs of admissible splits are unbounded below, . Thus proper inputs need not produce a proper extended-real function. The notation denotes the same operation. See Parikh and Boyd, Proximal Algorithms, §3.1 for the standard convex analysis definition and its connection to the Moreau envelope.
An infimum is a best lower bound, whereas a minimum is a value realized by some split. Writing in place of requires an attaining pair . For convex functions, mixing two nearly optimal splits and applying convexity to each cost proves that their infimal convolution is convex whenever it is proper; one must use nearly optimal splits because exact minimizers need not exist. Its convex conjugate is whenever the extended real number arithmetic is well defined; see conjugate of an infimal convolution for the precise identity. This turns the optimization over splits into addition in the conjugate variables.
Two quadratic costs: share the load according to its price. Let and let the convex quadratic functions beFor fixed , eliminate . The derivative of the total cost is , so equal marginal costs giveThe cheaper activity receives more of a positive total: when and , . Completing the square gives an exact certificate for every competing split:Consequently the infimum is a unique minimum, andThe effective quadratic coefficient is , with . It is smaller than either or : allowing both activities reduces the cost compared with assigning everything to either one. If , each receives half the total and . This is a simple quadratic optimization problem whose answer preserves the form of the original costs.
Optimizing the split of two quadratic costs gives a cheaper quadratic total cost
. An exact illustrative calculation, not measured data: , and give and cost , compared with cost for an equal split. The right panel compares the optimized cost with assigning the whole total to either activity. Details.Smoothing a corner by splitting its cost. Take the absolute value function and the convex quadratic function , with . This infimal convolution is the Moreau envelope of the absolute value function:Here is the sign function, with . The optimal is soft thresholding. In the central region, the quadratic function carries the whole total; outside it, stays at and the absolute value function carries the excess. At the result is the Huber loss in the normalization near zero and outside. Its derivative is for and outside, so the corner becomes a continuous change of slope. Parikh and Boyd's [ref]
https://web.stanford.edu/~boyd/papers/pdf/prox_algs.pdf#page=18. §3.1 discussion of Moreau smoothing
uses twice this normalization for the Huber loss; the explicit formula here fixes the convention. This is also the one-dimensional case of the existing Moreau envelope of the Euclidean norm. Past exam of the mathematics course of the University of Cambridge 2016 iii Paper 325 1 i Solution Created 2026-10-03 Updated 2026-10-06
Use the extended real numbers . A proper convex function never takes and is finite somewhere. Its effective domain isFor a proper extended-real function, convexity meansThe endpoint cases are identities; taking avoids the ambiguous product . Equivalently, its epigraph is a convex set. In particular, the effective domain is a convex set. Properness is an additional condition: it rules out the identically function and all values, rather than requiring finiteness everywhere.
For , the subdifferential is the set of supporting slopesEach element is a subgradient. Define outside . The defining subgradient inequality must hold globally, not merely in a neighborhood of . For a differentiable finite convex function, .
Past exam of the mathematics course of the University of Cambridge 2018 iii Paper 326 1 1 2 a Solution Created 2026-10-03 Updated 2026-10-05
A finite-valued global minimizer of the functional is an element satisfyingHere is its effective domain. The finite-value convention avoids treating an infeasible problem as solved.
The functional is a proper extended-real function if its effective domain is nonempty; the specified codomain already excludes . It has coercivity if always implies , equivalently every finite sublevel set is bounded. It is -sequentially lower semicontinuous ifThe topology in this definition matters: norm sequential lower semicontinuity and weak sequential lower semicontinuity need not coincide for a nonconvex functional.
Past exam of the mathematics course of the University of Cambridge 2018 iii Paper 326 1 1 2 b Solution Created 2026-10-03 Updated 2026-10-05
On with its usual topology, the following examples isolate the three failures.
A nonproper functional is for every . Its effective domain is empty, so it has no finite-valued global minimizer. It nevertheless has coercivity and is sequentially lower semicontinuous. If a minimizer is instead defined only by without requiring finiteness, every point formally minimizes this function; under that convention the requested nonproper counterexample is impossible with the given codomain.
A noncoercive functional is . It is a proper extended-real function and is continuous, but its infimum zero is approached as and is never attained. Hence it has no global minimizer.
A failure of sequential lower semicontinuity isIt is a proper extended-real function with coercivity, but . Its infimum is zero, while every function value is positive. Thus it has no global minimizer.
Past exam of the mathematics course of the University of Cambridge 2018 iii Paper 326 1 1 2 d Solution Created 2026-10-03 Updated 2026-10-05
The direct method in the calculus of variations gives the following existence theorem. Suppose bounded sequences in the Banach space have -convergent subsequences, and is a proper extended-real function with coercivity and is -sequentially lower semicontinuous. Then has a finite-valued global minimizer.
To prove this, properness makes . First rule out : a sequence with eventually lies in a fixed sublevel set, which is bounded by coercivity. A -convergent subsequence would then have a limit with , contradicting the codomain. Hence is finite.
Choose a minimizing sequence with . It eventually belongs to the bounded sublevel set . Extract . By sequential lower semicontinuity,Thus . In particular, a reflexive Banach space with the weak topology supplies the required subsequence property by weak sequential compactness of bounded sequences in a reflexive Banach space. A strictly convex function has at most one minimizer; this is an additional property, not part of the existence theorem.
Past exam of the mathematics course of the University of Cambridge 2018 iii Paper 326 3 1 e Solution Created 2026-10-03 Updated 2026-10-05
The small-parameter limit depends on data compatibility with the regularizer domain. SetFor every such , optimality givesTaking the upper limit as and then the infimum over proves . Its two nonnegative contributions above must vanish, yielding the general resultIn particular, the requested zero-misfit limit holds when . A sufficient condition is an exact solution with and ; thenMembership of in alone is insufficient. Take , , , and the indicator functional of a constraint set . All positive-parameter objectives are proper extended-real functions with coercivity and sequential lower semicontinuity, with the unique minimizer , yet for every . Thus the first printed limit needs compatibility with the regulariser's effective domain; the second limit remains true under the given assumptions.
Past exam of the mathematics course of the University of Cambridge 2019 iii Paper 326 3 a Solution Created 2026-10-03 Updated 2026-10-05
For , the total variation seminorm on a domain isUsing instead gives the same definition. The zero test field shows nonnegativity, and , so this is a proper extended-real function. Each test field defines a linear functional of ; taking their supremum proves convexity, equivalentlyIt is not strictly convex: two distinct constant functions both have zero total variation, as does every convex combination of them.
The function of bounded variation on a domain space isTotal variation is not coercive on : for on a domain of positive measure, , whereas . This is noncoercivity of total variation on constants; a mean-zero constraint can remove the constant obstruction.
Past exam of the optimisation for data science course of the University of Oxford 2023 1 d Solution 2026-10-25
Fix , and write and . The supplied subgradient relation gives with . The evaluation point in is , whereas is a subgradient at the new point .
Apply the subgradient inequality at , with comparison point :The descent lemma for the -Lipschitz gradient of givesAdding these estimates proves the stronger, explicit inequalityIn particular, the objective function decreases for whenever the proximal gradient mapping is nonzero.
To justify the requested big O notation, we must check that , which depends on , stays bounded. Suppose is nonempty, and choose a fixed in this subdifferential. This holds for a finite-valued convex function on , including both norms in parts (a) and (b). By monotonicity of a convex subdifferential,Substituting and , and then using the Cauchy-Schwarz inequality, yieldsThus , uniformly in . This local boundedness of the proximal gradient mapping makes the remainder at most , soNo differentiability of is needed. If an proper extended-real function is allowed as the regularization term, the subdifferential condition at is a qualification for this uniform remainder; the preceding explicit descent inequality remains the useful statement whenever its quantities are finite.
Proper convex function Created 2026-10-05 Updated 2026-10-06
A proper convex function is both a convex function and a proper extended-real function. For example, the total variation seminorm on a domain is nonnegative, finite at zero, and a supremum of linear functionals, making it proper and convex.


