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    Lec05 PDF

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    Aditya Vikram Sett

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    Lecture 5 Correspondences and Berge’s Maximu rem | present Berge’s maximum theorem, which provides conditions under which the maximum value and the maximizing vectors in a constrained maximization problem depend continuously on parameters in the description of the problem. Let f:AxB ~ R, where Ais a subset of Fi and B is a subsot of RN. For each a ¢ A, let g(a) be a non-empty subset of B. The problem is max f(a, b) veota Foreacha cA, let h(a) = max f(a, b) and let u(a) = {b ¢ oa) | f(a, b) = h(a)}. Berge’s bev) theorem gives conditions under which h and 1 are continuous. Because (a) is a set valued function, we need a concepts of continuity for such functions. A set valued function is called a correspondence. Definition: If A and B are sets, @: A ~ B is a correspondence if g(a) is a subset of B for every acA. Remarks: 1) ¢(a) may be empty for some or all values of a. 2) @ may be thought of as a function from A to the set of all subsets of B. 3) @ is a function from A to B if @(a) contains a single point, for all a in A. | now turn to notions of continuity for correspondences. Definition: If C is a subset of R and e is a positive number, then the open e-ball about is B(Q = (x e RY [|x yl] < &, for some y eC}. Definition: The correspondence @ : A ~ B is upper semicontinuous if for every a € A and ‘every positive number e, there is a positive number & such that @(x) © B(@(a)), if x «A and Ix - all <8. This definition of upper semi continuity is closely related to an alternative continuity concept stated in terms of the graph of @. Definition: The graph of the correspondence @: A ~ B Is {(a, b) ¢ AxB|b © 9(a)) Definition: The correspondence @: A - B has glosed graph if the graph of g is closed in AxB ‘The graph of @ is closed in AxB, if and only if whenever a is a sequence in A converging to a point ae Aandb © (a), foralln, and b converges to b « B, then b € (a). Definition: The correspondence g: A ~ B is lower semicontinuous if whenever a is a ‘sequence in A that converges to a point a © A andb ¢ 9( a) , then there exists a sequence b_ such that b_ © g(a), for all, and tim b = Example: The correspondence whose graph is portrayed in the next figure is upper semicontinuous and has closed graph, but it is not lower semicontinuous. A Example: The correspondence whose graph is portrayed in the next figure is lower semicontinuous, but it is not upper semicontinuous and does not have closed graph. Since a function is an example of a correspondence, it is natural to ask what upper and lower semicontinuity mean when applied to functions. Lemma 5.1: A function f: A ~ B Is continuous, if and only if it is upper semicontinuous as a correspondence. Proof: By definition, f is upper semicontinuous, if for every a € A and every positive number e, there is a positive number 8 such that f(x) ¢ B(f(a)) , If [kal] <8. By theorem 4,7, this condition is satisfied, if and only if f is continuous. . emma 5.2: A function f: A ~ B is continuous if and only if it is lower semicontinuous as a correspondence. Proof: By theorem 4.7, f is continuous if and only if for every sequence a in A that converges to some pointa ¢ A, lim f(a) = f(a). Since f is a function, the previous assertion is equivalent to the definition of lower semicontinuity of f. . Lemma 5.3: If g: A ~ B is an upper semicontinuous correspondence such that (a) is, closed, for every a « A, then @ has closed graph. Proof: Suppose that g: A ~ B is upper semicontinuous and let a be a sequence in A ‘converging to aA. For each n, let b © (a) and suppose thatb converges to b ¢ B. In order to show that @ has closed graph, | must show that b € @( a) | prove by induction on k that there exists a subsequence n, of the sequence n such that, for each (5.1) k= 4, 2, un there exists b_ € g(a) such that||b —b || < k* Since g is upper semicontinuous and lim a sufficiently large. Choose the integer n_ so that o(a ) © B((a)). Since b © @(a), there , it follows that @(a) © B(o(a)), if nis exists b © g(a) such that||b —b || < 1. Suppose by induction on k we have chosen intogers n,, ...,n and vectors DB, ..., Bin g(a) 80 that n, n, so that aa) 0, lo, itx=0 Then f has closed graph but is not upper semicontinuous at 0. Since functions are continuous if and only if they are upper semicontinuous, this example shows that functions with closed graph may not be continuous, if their codomain is not compact. This example is illustrated in the next figure. too to) » LS? {An alternative definition of lower semicontinuity is that the correspondence 9: A ~ B is lower semicontinuous If, for every aA andb © g(a) and every positive number e, there is a positive number 8 such that if x € A and |[x — al] < 8, then @(x) nB,(b) is not empty. This definition is equivalent to the one given earlier. Berge’s Maximum Theorem 6.5: Let A be a non-empty subset of Fi and let B be a non- empty closed subset of R".. Let 9: A ~ B be a correspondence such that a) 9a) is compact and non-empty, for all a ¢ A, and b) g is upper and lower semicontinuous. Let f:AxB ~ R be a continuous function. For alla K. Therefore be h(a) c@(a) CC, forn > K, and hence b belongs to the compact set C, for n> K. By the Bolzano-Weierstrass theorem 4.12, thore is a subsequence b such thatn, 2 K, for all k, and b_ converges to some point b € B. Call this subsequence b again. Since @ has closed graph, we know that the point b belongs to ‘o(a). In summary, we have that lima =aeA,b €p(a), forall n, and lim b = b € (a). I must show that b © w(a) . Since b ¢ g(a) , we know that (a,b) < max f(a, x) = h(a). ceva | must show that f(a, b) = h(a). Suppose that f(a, b) < h(a). Then there exists a bd cola such that f(a, b) > f(a, b). Because @ is lower semicontinuous, for each n, there is @ be g(a) such that lim b = b. Since fis continuous, lim (a, b ) = f(a, b) > fa, b) Similarly lim f(a, b) = f(a, b). Therefore there Is a positive integer J such that for n > J, f(a, D) > f(a, b), which is impossible because b_ € g(a) andf(a,b) = max f(a, x) This contradiction proves that f(a, b) = h(a) and so b € (a). Since b (i.e., b. ) converges to b, b_ belongs to B,(y()), for n sufficiently large, contrary to the hypothesis that b does not belong to B,( 1()) , for all n. ‘This contradiction proves that jt is upper semicontinuous. | show that h is continuous. Let a be a sequence in A converging to a point'a cA. | must show that h(a) converges to h(a). Foreachn,letb © p(a) andlet b © x(a), so that h(a) = fla, b), foralln, and h(a) = f(a, b). Suppose that the sequence h(a) does not converge to h( a) . Then there is a positive number € and a subsequence n, of the sequonce n such that [h(a ) —h(a)|>€, forall. Hence [f(a ,b ) ~ f(a, b)|>6, for all k. Since 1 is upper semicontinuous and the sets p(a) are closed, for all a, lemma 5.3 implies that p has closed graph. Another implication of the upper semicontinuity of y is that there is a positive number y such that if ae B( a), then na) Ba @)) and hence x(a) is contained in the compact set G= { x € Bl Ix —yl| <1, for some y e w(a)}. Since lim a = @,we may assume that a ¢ B(a), for all k, and hence be wa) CG, for all k Since G is compact, the Bolzano-Weierstrass theorem 4.12 implies that there is a subsequence of, which I call b again, such that lim b= b, for some b ¢ B. Since lim a = a and lim b = b and, forall k, b- € (a ) and since p has closed graph, it follows that b « pa). Therefore (a, b) = h(a) This is impossible, since the inequality If(a,b )-f(a, b)| 26, for all k, and the continuity of f imply that estim (a,b) -f(a, b)|=|f(a, b) -f(a, b)| This contradiction proves that lim h(a) = h(a) and so h is continuous. 7 Example: This example shows that the correspondence 11 in Berge's theorem may not be lower semicontinuous. Using the notation of that theorem, let A = B = (0, 1], let @(a) = B, for all a, and let f(a, b) = b(a - 1/2). Then 0, ifa< 1/2, (= fo, 1], ita = 1/2, and 1, ifa>1/2 It should be clear that 1 is not lower semicontinuous. The graph of jt is shown below. W ° > Remark: If in Berge’s theorem, 1 tums out to be a function, then it is a continuous function, since by lemma 5.1 upper semicontinuous functions are continuous. Calculus with One Variable The origin of calculus has to do with differential equations, which involve integration. | will focus on differentiation, which has to do with the local approximation of functions by affine ones, An affine function is a linear function plus a constant, Definition: A function f: RY - RM is affine if it Is of the form f(x) = T(x) + b, where T is a linear function and b ¢ RM is a constant Example: The function {(x) = 6 + 7x is an affine function from R to R. Definition: Let f: (a, b) + R, where a and b are numbers and a 0 and choose 6 > 0 such that [en te. S(O) | < e, if-c] <6. =e ox Then, if -1 0, then there exists a positive number 8 such that {(0) < f(x), fe 0, f(x) = H(.e) ~ SH) (x ~ 6) > -1. HO) K-09, dx 2 dx ife 19M) (x0) + fo) > f(0), 2 dx ife f(a), for some x. Since [a, b] is compact and f is continuous, theorem 4.16 implies that there is a c ¢[a, b] such that f(c) > f(x), for all x. Since f(x) > f(a), for some x, f(c) > f(a) = f(b) and hence a < c 0), then f achieves a local maximum (minimum) at Proof: Because the second derivative of f, f(x) /dx’, is a continuous function of x, there is a positive number 8 such that if |x — cl < 8, then f(x) /dx* < 0. By Taylor's theorem, if 0 < [xc] <6, then there exists a y between ¢ and x such that f(x) = () + HO (x0) + 1H) (x 0)? x 2 dt = flo) + 1Ff0Y) (x- 0)? < (0), 2 ae where the inequality follows because cFf(c) /dx® < 0. Similarly if ef(c) /dx® > 0, then f achieves a local minimum at c. . the (One way to remember the significance of the sign of the second derivative is to ret next two figures. Ata local maximum, the bucket does not hold water and so ¢Ff(.c) /dx* < 0. 17 Ata local minimum, the bucket does hold water and so df( c) /dx® > 0 c x | now present what is known as the fundamental theorem of calculus. Let f:[@, b] ~ A be continuous function, where a and b are numbers such that a < b. Define the integral of f from a tobtobe tly) dy = tim Ppoai(er (b-a)} : wot aro N N | prove in an appendix to this lecture that this limit exists. It defines what is known as the Biemann integral. Let the indefinite integral of f be the function F: (a, b] ~ R defined by the equation F(x) = jt(y) dy. Fundamental Theorem of Calculus 5.15: F is continuous on [a,b], differentiable on the open interval (a, b), and AF(x) = f(x), for all x ¢ (a, b). ox This theorem says that the integral of f is the antiderivative of f. Corollary 5.16: Let @[a, b] ~ R be continuous on (a, b] and differentiable on (a, b), where a

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