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A function is convex exactly when its Hessian is positive semidefinite
Statement
A function on an open convex set is convex if and only if its Hessian is positive semidefinite at every point. Hessians and their quadratic forms have the conventions of The Hessian matrix and critical points of a scalar field, The Hessian of a scalar field is symmetric.
Facts & Assumptions
Given: An open convex , a function , and the total chain rule The chain rule for total derivatives: .
A twice differentiable real function on an open interval is convex if and only if its second derivative is nonnegative throughout the interval (A twice-differentiable function on an open interval is convex if and only if its second derivative is nonnegative).
A symmetric quadratic form is positive semidefinite when for every (Positive definite, negative definite, semidefinite, and indefinite quadratic forms).
Proof
For and a direction , put on the open interval where the affine line lies in . Two applications of the chain rule give
For the forward implication, if is convex then every line restriction is convex, so [L1] and step 1.1 give for every , which is [F1]. For the reverse implication, [F1] and step 1.1 make every line restriction have nonnegative second derivative; [L1] makes each restriction convex, yielding the two-point convexity inequality for .
Remarks
The convex-domain hypothesis cannot be dropped. On the open but nonconvex set , the function has everywhere, but it is not a convex function on that domain in the sense of Convex and strictly convex functions on Euclidean convex sets. This is the boundary recorded in Boyd–Vandenberghe, Remark 3.1.
Depends on
- Convex and strictly convex functions on Euclidean convex sets
- Positive definite, negative definite, semidefinite, and indefinite quadratic forms
- The Hessian matrix and critical points of a scalar field
- A twice-differentiable function on an open interval is convex if and only if its second derivative is nonnegative
- The chain rule for total derivatives: $D(g\circ f)(a)=Dg(f(a))\circ Df(a)$
- The Hessian of a $C^2$ scalar field is symmetric
Used by
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Sources
- S. Boyd and L. Vandenberghe, Convex Optimization, §3.1.4 (standard reference, not scraped)