Optimization Theory and Algorithms Jan - April 2021

Homework 1: Convex Sets

Instructor: Rajshekhar Bhat Scribes: Rajshekhar Bhat

1. Consider a set C. Recall the following from your class: “For any x1 , x2 ∈ C, and any α ∈ [0, 1], if
αx1 (1 − α)x2 ∈ C, then C is a convex set”. Using this definition, prove the following: A set C is
convex if and only if it contains every convex combinations of its points.
2. Show that the convex hull of a set S is the intersection of all convex sets containing S.

3. Show that the set {x : R2+ |x1 x2 ≥ 1} is convex. (Note: Such a set is called an hyperbolic set.)
4. Question 2.8 of bv cvxbook.
5. Question 2.9 of bv cvxbook.
6. State and prove the separating hyperplane theorem for convex sets.

7. State and prove the supporting hyperplane theorem for convex sets.
8. Prove that any subspace is affine and a convex cone. Recall the definition of a subspace from your
Linear Algebra (or an equivalent) course.
9. Consider the set

S = {x : Rm | |p(t)| ≤ 1 for |t| ≤ π/3},

Pm
where p(t) = k=1 xk cos(kt). Is S a convex set?
10. Let C ⊆ Rn be a convex set. Consider an affine function f : Rn → Rm (i.e., f (x) = Ax + b, where
A ∈ Rm×n and b ∈ Rn ). Show that the set S = {f (x) : x ∈ C} is a convex set.

11. Consider the following set: S = {x : x1 A1 +. . .+xn An  B}, where A1 , . . . , An , B are m×m symmetric
matrices with entries from R and x = (x1 , . . . , xn ) ∈ Rn . Is S a convex set? (The inequalities of the
form: x1 A1 + . . . + xn An  B, where A1 , . . . , An , B are m × m symmetric matrices with entries from
R are called Linear Matrix Inequalities)

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