Separating and Supporting Hyperplane Theorems

Çağatay Kayı

Universidad del Rosario

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Basic Definitions
I A set is A ⊆ Rn is convex if for each x and y ∈ A and λ ∈ [0, 1],
λx + (1 − λ)y ∈ A.

I A set is A ⊆ Rn is strictly convex if for each x and y ∈ A such that x 6= y, and

λ ∈ (0, 1), λx + (1 − λ)y ∈ int(A).

I The sets A and B are convex. While B is strictly convex, A is not.

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Basic Definitions
I Let B ⊆ Rn . The convex hull of B, denoted by CoB is the smallest convex set
T
containing B, i.e., CoB = B⊆S, S.
Sis convex

I The set B is not convex. The convex hull of B is on the right.

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Basic Definitions
I Let p ∈ Rn such that p 6= 0 and c ∈ R.
I The hyperplane generated by p and c is the set
Hp,c = {z ∈ Rn | p · z = c}.
I The set {z ∈ Rn | p · z ≥ c} is the half-space above Hp,c and the set
{z ∈ Rn | p · z ≤ c} is the half-space below Hp,c .

The hyperplane is Hp,c where p = (1, 2) and c = 4

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Separating Hyperplane Theorem

Theorem. (Separating Hyperplane Theorem)

Let A ⊆ Rn be a convex and closed set and x ∈
/ A.

Then, there exist p ∈ Rn with p 6= 0 and c ∈ R such that

p · x > c and for each y ∈ A, p · y < c.

More generally, let A ⊆ Rn and B ⊆ Rn be convex and disjoint sets.

Then, there exist p ∈ Rn with p 6= 0 and c ∈ R such that

for each x ∈ A, p · x ≥ c and for each y ∈ B, p · y ≤ c.

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Separating Hyperplane Theorem

I In the separating hyperplane theorem, convexity is sufficient but not necessary

condition for a separating hyperplane.

Note that neither A nor B are convex and B is not closed either but there is a
separating hyperplane between A and B.
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Separating Hyperplane Theorem

There is no separating hyperplane for these two sets.

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Separating Hyperplane Theorem

Consider these three sets:
A = {(x, y) ∈ R2 | y > 1/|x| and x < 0}
B = {(x, y) ∈ R2 | y > 1/x and x > 0}
C = {(x, y) ∈ R2 | y = 0}

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Separating Hyperplane Theorem

The only hyperplane Hp,c where p = (1, 0) and c = 0 (i.e., y-axis) is a

separating hyperplane between A and B.
The only hyperplane between A and C is the Hp,c where p = (0, 1) and c = 0
(i.e., C). This example shows that why the inequalities can not be strict. 9/18
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Separating Hyperplane Theorem

Another example shows that why the inequalities can not be strict.
E and F cannot be strictly separated.

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Supporting Hyperplane Theorem

Theorem. (Supporting Hyperplane Theorem)

Let A ⊆ Rn be a convex set and x ∈
/ int(A).

Then, there exist p ∈ Rn with p 6= 0 such that

for each y ∈ A, p · x ≥ p · y.

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Supporting Hyperplane Theorem

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Supporting Hyperplane Theorem

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The Second Welfare Theorem

R1
2

ω
x = ω̄

R2

Proof for the Second Welfare Theorem. For each consumer i ∈ N, let the
endowment ω̂i be the competitive equilibrium allocation which we would like
to achieve, xi .
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The Second Welfare Theorem
Theorem. (Second Welfare Theorem – Pure exchange economies)

Let (R, ω) be a pure–exchange economy such that for each l ∈ L, ωl > 0 and
for each i ∈ N, Ri is strictly monotonic and strictly convex.

If x∗ is a Pareto–efficient allocation, then there is (p, ω̄) ∈ RL++ × RL×N

++ such
that

1. For each good, the amount of endowments that are redistributed should
be the same as the economy, i.e., for each l ∈ L, ω̄l = ωl .
2. (p, x∗ ) is an competitive equilibrium for (R, ω̄), i.e.,

2.1 for each i ∈ N, xi∗ ∈ arg maxxi ∈B(p,p·ω̄i ) ui (xi ).

2.2 for each l ∈ L, i xli∗ = ω̄l .
P

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The Second Welfare Theorem

Theorem. (Second Welfare Theorem – Production economies) For each
production economy (R, ω, Y, s) such that
1. For each i ∈ N, ωi >> 0.
2. For each i ∈ N, Ri satisfies strict monotonicity, convexity, and continuity.
3. For each j ∈ J, Yj is is closed, bounded from above, convex and satisfies
free-disposal, and possibility of inaction.
If (x∗ , y∗ ) is Pareto–efficient, then there is (p, m) ∈ RL++ × RN++ such that
1. The income that is produced Pin the economy is distributed among the
P P ∗
consumers: i mi = p · i ωi + j yj .
2. (x∗ , y∗ , p) is a competitive equilibrium for (R, m, Y, s), i.e.,
2.1 for each i ∈ N, xi∗ ∈ arg maxx∈RL ui (x) subject to p · xi ≤ mi ,
+
∗
2.2 for each j ∈ J, yP j ∈ arg max y∈Yj p · y, and
2.3 for each l ∈ L, i xli = ωl + j y∗lj .
∗ P

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The Second Welfare Theorem
In the proof, the Separating Hyperplane Theorem is used.
pq ≥ k

p·q ≥k

p
p
pq ′ ≤ k ′
p·q ≤k

(a) (b) (c) (d)

Separating Hyperplane Theorem. In (a), two sets are not convex.In (a), two
sets are not disjoint. In (c) and (d), there is a separating hyperplane with p and
k.

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The Second Welfare Theorem

U(P, x∗ ) U(P, x∗ )
Ui (Pi , x∗i )
P Y + {ω Σ } P
i x∗i i x∗i
x∗i
x∗i P
x∗n Y ωΣ = i ωi

(a) (b) (c)

Constructing the aggregate sets:
In (a), we represent the set of consumption bundles preferred to xi∗ by
consumer i, Ui (Pi , xi∗ ).
In (b), we represent the set of aggregate consumption bundles that could be
split into individual consumptions, each preferred by its corresponding
consumer to xi∗ , U(P, x∗ ).
In (c), we represent the aggregate production set Y and the aggregate
production set with its origin shifted to ω Σ , the set of aggregate bundles
producible with the given technology and endowments and usable for
consumption, Y + {ω Σ }.

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