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Finite separable block penalties are proper, closed, and convex
Statement
Let be finite, let , and let each be proper, closed, and convex in the epigraph convention of Proper closed convex extended-real functions on . On the product define . Then is proper, closed, and convex. The proof below uses only finite construction and the closed epigraphs of the separate terms.
Facts & Assumptions
Given: A finite nonempty block list and the functions in the Statement.
Proper closed convex extended-real functions on : each has nonempty effective domain, satisfies the extended-real convexity inequality, and has closed epigraph.
The principle of mathematical induction: a property true at the base index and preserved at each successor holds for every natural index in the finite block list.
Each block dimension is finite and positive, and the index set has size .
Proof
For each , [F1] gives a point in . The empty tuple is a choice for the first zero blocks; if a tuple has been constructed for the first blocks, append one point from the nonempty . Induction [F2] gives a tuple in all domains, so and is proper. Only finitely many choices are made.
If and , apply the convexity inequality in [F1] to each pair and add the finitely many inequalities. If either endpoint has infinite value, the extended-real inequality is automatic under the endpoint convention. Thus is convex.
Fix a block and a real . Its weak sublevel is closed: the map preserves Euclidean distances and is continuous, so is its preimage of the closed set from [F1]. Therefore, whenever , the open complement of is a neighborhood of throughout which .
Take any . If all are finite, put and . By step 1.3, each has an open neighborhood on which , so their product is a neighborhood of on which . With , the product of these neighborhoods and misses , because its height coordinate is below .
If some , choose such an index . For each , put when that value is finite, and when it is infinite. Choose . Since and , step 1.3 supplies an open neighborhood of each block on which the corresponding strict lower bound holds. Throughout their product, . Restrict the epigraph-height coordinate to ; this neighborhood also misses .
Every point outside is covered by one of steps 2.1 or 2.2, so its complement is open and is closed. Together with properness from step 1.1 and convexity from step 1.2, this proves the Statement without converting an arbitrary sequential-closure claim into topological closedness.
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Sources
- Stephen J. Wright, Coordinate Descent Algorithms, §3.3 (standard reference, not scraped)
- Clément Royer, Regularized, Large-Scale and Distributed Optimization, Lecture 3, §3.3 (standard reference, not scraped)