Convergence of Sequences of Convex Sets, Cones and Functions.

II
Author(s): R. A. Wijsman
Source: Transactions of the American Mathematical Society, Vol. 123, No. 1 (May, 1966), pp.
32-45
Published by: American Mathematical Society
Stable URL: http://www.jstor.org/stable/1994611 .
Accessed: 10/06/2014 22:41

Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at .
http://www.jstor.org/page/info/about/policies/terms.jsp

.
JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of
content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms
of scholarship. For more information about JSTOR, please contact support@jstor.org.

American Mathematical Society is collaborating with JSTOR to digitize, preserve and extend access to
Transactions of the American Mathematical Society.

http://www.jstor.org

This content downloaded from 195.34.79.145 on Tue, 10 Jun 2014 22:41:25 PM

All use subject to JSTOR Terms and Conditions
 CONVERGENCE OF SEQUENCES OF CONVEX
SETS, CONES AND FUNCTIONS. 11
BY
R. A. WIJSMAN(')

0. Summary. A definition is given of convergence of a sequence of sets to a

set, written Xn -+ X, where X and the Xn are subsets of Euclidean m-space Em.
A new mode of convergence of a sequence of real valued functions on E' to
a function is introduced, termed infimal convergence, and written fn -+ f f.
P(X), A(X), h(X) and X* are the projecting cone, asymptotic cone, support
function and polar, respectively, of X. [X, f] = {(x, a): x E X, a > f(x)},
where X = {x: f(x) < oo}, and La(f) = {x f (x) < a}. In the statements of
the theorems below it is understood that all sets are convex, limit sets are nonempty,
and all functions are convex and closed (= lower semicontinuous). Theorem 3.2
states that if Xn -+ X and C is any open cone covering A(X) then there exist N
and a disk D(R) = {x: Ix I < R} such that Xn c CU D(R) for n > N. Theorem
4.1 proves that if Xn -+ X and the origin of Emis not in ?, then P(Xn) -+ P(X).
Two more proofs of Theorem 4.1 are given, one using support functions (in ?6),
the other using support functions, level sets and polars (in ?7). Theorems 5.1 and
6.3 together show that Xn -+ X if and only if h(Xn) -+ if h(X). Theorem 6.1
states that [Xn,fn]-+ [X, f] if and only iffn -+ if f, andTheorem 6.2 thatfn -+ inf f
if and only if On,-+ hf 4), where 4 is the conjugate function of f, 4, of fn. In
Theorem 7.1 it is shown that fn- i.f f implies La(fn) + La,(f) provided a $ inff.
Theorem 7.2 shows that X, -+ X implies X*4-+ X*. Several examples are given
to show that the theorems are false without the various conditions made, such
as convexity. Examples are also given to show that in general pointwise and
infimalconvergence of functions are incomparable.
1. Introduction. The present study on sequences of convex sets was motivated
by the following question that arose in a proof of the optimum property of
sequential probability ratio tests [1]: Given a closed, convex set X and a sequence
of closed, convex sets Xn in the plane; let x be a point that is in none of the Xn,
nor in X, and consider the two supporting lines through x of Xn, and of X: then
if Xn converges to X in some reasonable sense (to be made precise later), is the
same true for the corresponding supporting lines [1, ??4 and 5]? This question can

Receivedby the editors November 1, 1963.

(1) Work supportedby the National Science Foundation, grant NSF G-21507.

32

This content downloaded from 195.34.79.145 on Tue, 10 Jun 2014 22:41:25 PM

All use subject to JSTOR Terms and Conditions
 SEQUENCES OF CONVEX SETS, CONES AND FUNCTIONS. II 33
be generalizedin more than two dimensionsby replacingthe supporting lines
of X throughx by the projectingcone of X with vertexin x, and similarlyfor
the Xn. Before this question can be answered,a satisfactorydefinitionof con-
vergenceof Xnto X has to be given. For closed,boundedsets this can be done in
terms of the Hausdorffmetric (cf. e.g. [5]). However,in applicationsthe sets
Xn are often unbounded(as in [1]), and in any case the projectingcones are un-
bounded.Althoughit is possibleto generalizethe Hausdorffmetricto unbounded
sets, it is simplerto defineconvergencein terms of the distance function.This
is done in ?3.The questionof the convergenceof projectingof conesis answered
in the affirmativein Theorem 4.1.
Whenstudyingconvexsets it comes naturalto studythe correspondingsupport
functions.Thisis done in ?5. It seemsplausiblethat a sequenceof convexsets con-
verges to a set if and only if this is true for the correspondingsupportfunctions.
However,this is not so is pointwiseconvergenceof a sequenceof functionsis con-
sidered.We can achievethe desiredequivalenceonly by introducinga new type of
convergenceof a sequenceof functions,whichwe shall term infimal convergence.
Thus, if all the sets are convex, a sequenceof sets convergesto a set if and only
if for the corresponding supportfunctionswe haveinfimalconvergence.
The concept of infimal convergencehas proved itself useful throughoutthe
the presentstudy. For instance,it is shown in ?6 that a sequenceof convex and
closed (to be definedin ?2)functionsconvergesinfimallyto a functionif and only
if the same is true for the correspondingconjugatefunctions.This providesa
second proof of Theorem4.1. In ?7 we considerthe level sets of functions,and
the polars of sets. It is shown that if a sequenceof convexand closed functions
convergesinfimallyto a function, the same is true for the correspondinglevel
sets, undera mild condition.In the same sectionit is provedthat if a sequence
of convexsets convergesto a set, the sameis truefor their polars. This provides
a third proof of Theorem4.1.
Unless a more general space is specified,all sets are subsets of some finite
dimensionalEuclideanspace.However,most theoremsare valid in more general
topological spaces.Furthermore,althoughfor simplicitywe shall phrasedefini-
tions and theoremsin termsof sequences,we may replace"sequence"by "net"
throughout.An announcementof the main resultsin this paperwas madein [6].
2. Notation and definitions. The complement of a set X is denoted X,Y, the
closure of X by X or Cl X. Euclidean m-space is denoted by En, and its origin by
0. If x : 0, a ray from 0 throughx is denoted(x), following Fenchel[3]. Let
d(x, y) be the Euclideandistancebetweenx and y, which will also be written
as x - y , where I I denotes Euclidean norm. The inner product of x and y
is written x *y. In Em let D(R) = {x: Ix j ? R} be the m-disk centered at 0 and
of radius R, 0 < R < xo. For any set X we shall for short denote X n D(R)
byXR.

This content downloaded from 195.34.79.145 on Tue, 10 Jun 2014 22:41:25 PM

All use subject to JSTOR Terms and Conditions
34 R. A. WIJSMAN [May

In the space of rays we can introduce a metric by defining the distance between
(x) and (y) to be d(xI Ix |, y / Iy I) (this amountsto assigningto each ray (x) the
point x / x I on the unit (m - 1)-sphere, and taking the chord distance topology
on the latter). A cone is a union of rays. We shall consider a cone C sometimes
as a point set in Em, and sometimes as a point set in the space of rays, without
changing the notation. However, with an open (or closed) cone is always meant
cone open (or closed) in the metric topology of rays. We shall also use
the symbol d for distance in the space of rays: d((x), (y)), d(C, (x)), etc.
The projecting cone of a set X is defined as P(X) = {(x): xe X}). The
asymptotic cone of X is A(X) = {(x): (x) = lim (xn), Xn6X, jXn a) }
Obviously,boundedsets have empty asymptoticcones. Propertiesof projecting
and asymptotic cones can be found in [3].
The distance of a point x to a nonempty set X, denoted d(X, x), is the usual
distance inf { x - y y:Y e X}. With the distance function d(X) of X is meant
d(X, *). If X is empty, we shall define d(X) to be identically + oo. The sUpport
ftunction h(X) of a nonempty set X is defined by its value h(X, () at any point
: h(X,g ) = supxexXx. Properties of the support function can be found for
instance in [2].
All functions are understood to be real valued, with + oo values allowed.
If {fn}converges to f pointwise, we shall write as usual fn -+f. When the symbols
lim, lim sup or lim inf are used, it will always be understood that these limits
are taken as n -* co, n running over the integers. 1ff is a function on E' and p > 0,
we define the function pf on Em by f (x) = inf {f (y): y - x j <p}. A function
f is lower semicontinuous if and only if limp.0 pf =f. For convenience, following
Fenchel [3], we shall call such a function closed in the following (there is a close
connection between closed, convex functions and closed, convex sets, see ??6
and 7). (In [3] the definition is given only for convex functions, is different from
the above definition, but equivalent to it for convex functions.)
DEFINITION.We shall say that a sequence {fn} of ftnctions converges
infimal ly to f, writtenf. i- f,f if

limp-0 lim inf " = limp'0 lim sup pfL =f

Otherconcepts will be defined as the need arises.

3. Convergence of sequences of sets. As an example consider the following

sequenceof circles in the (x, y)-plane: Xn = {(X, y): X2 + y2 - 2ny = 0}. As
n -> oo the sequence converges in an intuitive sense to the x-axis X = {(x, y):y = 01.
For boundedsets the intuitivenotion of convergenceof sets can be madeprecise
by introducingthe Hausdorffdistancebetween sets (see e.g. [5]; the distance
between X and Y can be defined simply in terms of their distance functions as
maxx d(X,x) - d(Y,x) I). This does no longer work for unbounded sets,

This content downloaded from 195.34.79.145 on Tue, 10 Jun 2014 22:41:25 PM

All use subject to JSTOR Terms and Conditions
1966] SEQUENCES OF CONVEX SETS, CONES AND FUNCTIONS. II 35

Instead, we shall define convergence directly, instead of in terms of a metric,

as follows:
DEFINITION 3.1. We shall say that the sequence {X,} converges to the set
X, written X. -e X, if d(Xn) -+ d(X).
It can be verifiedimmediately that according to the above definition the sequence
of circles in our example converges indeed to the x-axis. It is easily shown that
if Xn -+ X and the Xn are convex, then X is convex. For closed limit sets Definition
3.1 correspondsto a definitiongivenby Frolik[4] for generaltopologicalspaces(2).
Note that d(X) = d(l), so that limits of convergent sequences are uiniqueonly
tip to closures. Since for any nonempty set X and points x, y we have

(3.1) | d(X, x) - d(X,y)1j4?Ix -y ji,

every family of distance functions satisfies a uniform Lipschitz condition. Then
by Ascoli's theorem, if d(X,,) -+ d(X), and X nonempty, the convergence is uniform
on every compact set. It is of some interest, although we shall not use it, that it
is possible to define a pseudo distance between arbitrary sets X and Y with
which Definition 3.1 is in agreement: it is the value of e such that

maxIxI <,1 d(X,x) -d(Y,x)I =E

This defines a complete metric if the sets are closed.

The following theorem is stated for a somewhat more general metric space
than Em,since it will be applied to the metric space of rays in Theorem 4.1.
THEOREM 3.1. In a metric space where every disk is compact, X,, -+ X if
and only if d(X,, x) -+0 for every x E X and lim inf d(X",x) > 0 for every x 0X.
Proof. It is sufficient to prove the theorem for X closed. The "only if"
part is obvious. To prove the "if" part we have to show d(Xn, x) -+ d(X, x) for
every x. This is certainly true for x E X, since then d(X, x) 0 and d(X", x) -O 0
by hypothesis. Suppose then xo0 X so that d(X, xo) = r > 0. We distinguish
between two cases: X nonempty and X empty. If X is nonempty, let x1 e X
be such that Ixo- |-r.
= Since d(Xn,xl) - 0 and

d(Xn,x0) < d(X,,, x1) + Ixo - X,

by (3.1), we have lim sup d(Xn,xo) ? r. Whe shall show now lim inif d(X,,, xo) _ r
so that then lim d(Xn,xo) = r = d(X, xo). Choose any e such that 0 < E < r,
and let D be the disk about xo of radius r - c, so that D and X are disjoint. By
hypothesis, in each point xe D lim inf d(Xn,x)> 0, so that there is an integer
n(x) and a spherical neighborhood U(x) such that U(x) does not meet X,, for
any n > n(x). Since D is compact, it can be covered by a finite number of these
neighborhoods. Let N be the maximum of the corresponding n(x)'s, then D does

(2) 1am indebtedto L. L. Helms for bringingthis referenceto my attention.

This content downloaded from 195.34.79.145 on Tue, 10 Jun 2014 22:41:25 PM

All use subject to JSTOR Terms and Conditions
36 R. A. WIJSMAN [May

not meet Xn for n > N. Consequently, d(Xn,ro) > r - e for all n > N so that
lim inf d(X,,,xo) > r - r. Since e is arbitrary, the conclusion follows. In case
X is empty we may choose r arbitrarily large, and, using the same disk D as
before, we conclude lim inf d(Xn,x0) _ 1', so that d(Xn, X0)-+00 = d(X, xo).
The following lemma states, roughly speaking, that all but a bounded portion
of a set is contained in its asymptotic cone.
LEMMA 3.1. Let X be a set and C an open cone such that C DA(X). Then
there exists R such that X c C u D(R).
Proof. Suppose the lemma were false, then there is a sequence

{x}n, ,
XnCEX, Xn C, Xn -+00 .

In the space of rays the sequence {(x")} lies in the compact set C so that there
is a subsequence converging to a ray (x) e C -. On the other hand, (x) e A(X)
bythe definition of A(X). This is a contradiction since A(X) and C- are disjoint.
COROLLARY 3.1. If C1 and C2 are open cones such that C1 C C2, then for
every a e Em there is R such that Cl + a c C2u D(R).

Proof. We apply Lemma 3.1 with X = C1 + a, C = C2, observing that

A(C1 + a) = A(Cl) = C1.
So far we have not invoked convexity. The next theorem is the first one where
convexity is essential. It says, roughly, that if a sequence of convex sets converges
to X, then they all are eventually contained in A(X) except possibly for a bounded
region. A counterexample for nonconvex sets is the example of the sequence of
circles in the beginning of this section.
THEOREM3.2. Let {Xn} be a sequence of convex sets, and X a nonempty
convex set such that Xn --+X. Then for every open cone C D A(X) there exist R
and N such that Xn c CU D(R) for all n > N.
Proof. Without loss of generality we may choose the origin 0 at our pleaure.
For, suppose the theorem were false for 0 but true for 0' = 0 + a. There exists
then an open cone C2 v A(X) and a sequence {xn}with xnE Xn, xn0 C2, Ixn |- xo.
Choose an open cone C1 such that A(X) c C1c C1 c C2. Since Ixn -| oo and since
the asymptotic cone of X for the origin 0' is A(X) + a, which is c C1 + a,
applying the theorem with origin 0' we must have that xn is eventually in C1 + a.
Then according to Corollary 3.1 xnis eventually in C2, but this contradicts xn 0 C2.
Choose as origin 0 any point of X. Observe that A(X) = {ax: a > 0,
x = lim xnl I xn |, xn E X, xn |- oo}. Suppose the theorem false, then there
would exist a sequence {x"}, xnE Xn, xn0 C, I xn |- o0o.Put Yn= xnlI Xn then ,
Yn= 1 so that we may assume lim Ynexists, say Yn-+ x, where x ? 0 since
|Yn 1. Since Xn-+X and 0 X, there is a sequence {sn}, sn E Xn, sn-0. Choose

This content downloaded from 195.34.79.145 on Tue, 10 Jun 2014 22:41:25 PM

All use subject to JSTOR Terms and Conditions
1966] OF CONVEXSETS,CONESAND FUNCTIONS.II
SEQUENCES 37

a > 0 arbitrary and put t. = (1 - a/ x,, )s. + (a/ I x, |)xn then eventually tnE Xn
since Xn is convex. Furthermore, tn -? ax and therefore ax e X because Xn -e X.
Since this holds for all a > 0, x E A(X). On the other hand, since xn0 C, Yn0 C SO
-
that x = lim ynECl C = C u {0}. But x : 0, so that x E C . This contradicts
xeA(X).
It is easy to see that the theorem is false without the condition that X be non-
empty. For example, on the real line take Xn to consist of the single point n.
4. Projecting cones. If X, -+ X, is it true that P(Xn)-+ P(X)? That this is not
so in general is easily seen from the example in the beginning of ?3. There P(Xn)
is the upper half plane for each n, whereas P(X) = X is the x-axis. The trouble
seems to be that the Xn are not convex. If we modify the example by letting
Xit = {(x, y): x2 + y2 - 2ny < 0} and X = {(x, y): y > 0} then the sets are
convex and P(Xn) -+ P(X). However, if we modify the example once more by
letting Xn = {(x, y): x2 + (y - n + (1/n))2 ? n2} and X as before, then the
sets are still convex, Xn -+ X, but P(Xn) is the whole plane for each n whereas
P(X) = X is the upper half plane. The trouble in this example is that 0 is a point
of the limit set X. Even if 0 is not in X but in its closure, a counterexample is
easily constructed: take the Xn as in the previous example but let X now be the
open upper half plane. These counterexamples justify the choice of the hypotheses
in Theorem 4.1 below. A second proof of Theorem 4.1 will appear after Theorem
6.3, using support functions, and a third proof after Theorem 7.2, using level
sets and polars.
4.1. Let {Xn} be a sequence of convex sets and X a nonempty set
THEOREM
such that 0 XA and Xn -+ X. Then P(Xn) -+ P(X).
First Proof(3). The definition Xn-+X is equivalent to: lim infXn lim sup Xn=,
where we define lim inf Xn (lim sup Xn)to be the set of points x such that for every
neighborhood U of x, U n Xn is eventually not empty (is not empty for infinitely
many n). Both lim infX,n and lim sup Xn are closed. The theorem will be proved
after showing (1) Cl P(X) c lim inf P(Xn), and (2) lim sup P(Xn) c Cl P(X).
(1) Let aexe P(X), a > 0, x e X. Since Xn -* X, there exists {xn}, xn CeX",
Xn-+ x. Then ixnCeP(Xn) and cxXn` Ocx,so cexe lim inf P(Xn) which shows
P(X) c lim inf P(Xn), so Cl P(X) c lim inf P(Xn).
(2) Let p e lim sup P(Xn). By taking a suitable subsequence of {n}, which,
however,will again be denoted {n}, there exists {Pn}, pA P(XM), A, -> p. Now
Pn= (nxn for some an > 0 Xn e Xn, sO .X"n` p. We cannot have an ?oo for then
xn -*0 which is excluded by Xn -+ X and 0 0 A. Therefore, lim inf axn< oo and,
by taking a subsequence, we may assume an-e a < oo. If a > 0, xn -+ p/l so

(3) This proof was outlined by Victor Klee in his review of [6], Math. Reviews 28 (1964),
no. 514. 1 am very indebted to ProfessorKlee for his elegant proof, which replacesmy longer
originalproof. The same ideas made it also possible to shortenthe proof of Theorem3.2.

This content downloaded from 195.34.79.145 on Tue, 10 Jun 2014 22:41:25 PM

All use subject to JSTOR Terms and Conditions
38 R. A. WIJSMAN [May

that p/lc E ', hence p E P(X) c Cl P(X). If o = 0, x,-- oo. Take any z E X and {z",
zIsEX,,, z,, -? Z. Take a arbitrary, 0 < a < o, and put yn,= (1- aci,)z,,+ axanX,
then y,,E X,, eventually, by convexity. Now y,, -> z + ap so that z + ap E X and
therefore p + zla e P(X) c Cl P(X). By letting a -+ oo we find pe Cl P(X),
which shows lim sup P(X,,) c Cl P(X).
Using the example at the end of ?3 it is easily seen that Theorem 4.1 is false
without the condition that X be nonempty.
5. Support functions. The support function of a nonempty set was defined
in ?2. It is of some interest to note that a support function is always closed (see
the definition of a closed function in ?2) since it is the supremum of a family of
continuous functions. Since the convex hull of a set has the same support function
as the set itself, the support function does not determine the set uniquely, not even
up to closure. If only closed, convex sets are considered, then there is a one to one
correspondence between sets and support functions. Therefore, one is tempted
to conjecture that if the X,, are convex, then X1,-> X if and only if h(X,,)-+ h(X).
However, this turns out to be false in both directions, as shown by the following
two examples.
EXAMPLE 5.1. In the (x, y)-plane let X,, = {(x, y): nx + y < 0}, then
Xt- X = {(x, y): x _ 0}. Taking (1, 0), we have h(X, 0)= 0, but for every
n = 1,25 .. h(Xn5 {) = o.
EXAMPLE 5.2. In the (x, y)-plane let Xn = {(x, y): x < 0 and y - nx > n},
and X = {(x, y): x < 0}. Then Xn -> X'= {(x, y): x < - 1} # X. On the other
lhand,writing -(,
42), we have h(X, 0)
= 0 if 4> 0 and 42 = 0, h(X, ) X
otherwise, and h(Xn, ) = nc2 if 41 e 0 and 0 < -n2 < 41, h(Xn,,) =
otherwise. It can readily be verified that h(X,,, {) -+ h(X, c) for every 4.
In order to get equivalence between convergence of convex sets and conver-
gence of their support functions we need a sense of convergence of functions
different from pointwise. It turns out that what is needed is precisely the notion
of infimal convergence as defined in ?2. It is easily verified that in Example 5.1
{h(X,,)} converges infimally to h(X) and in Example 5.2 it does not (this also
follows from Theorem 5.1 below). Thus, pointwise and infimal convergence
are not comparable in general, i.e. neither implies the other, not even for support
functions, which have the nice properties of being convex, closed, and positively
homogeneous. However, it does happen often that a sequence of functions con-
verges in both senses, i.e. fn-+inff and fn-f ', and in that case we have neces-
sarily f ? f .
We shall first prove a few lemmas, of which only Lemma 5.2 is used in this
section. Lemmas 5.1 and 5.3 will nlot be used until ?6, and Corollary 5.1 not
until ?7. Note that the support function of an empty set is undefined. Yet, we
shall often write h(Xn) without demanding Xn to be nonempty for all n. However,
if Xn -+ X, X nonempty, then X. is nonempty for n > No, for some No. In the

This content downloaded from 195.34.79.145 on Tue, 10 Jun 2014 22:41:25 PM

All use subject to JSTOR Terms and Conditions
1966] SEQUENCES OF CONVEX SETS, CONES AND FUNCTIONS. II 39

remainder of the paper we shall always understand n > No without mentioniing

this explicitly.
LEMMA5.1. Let {f,,} be a sequence of funictions anid (define f lim* ,
lin sup fj,f,1, = limpr,0 lim inf pf,. Then fJr every p > 0

(5.1) lim sup ,f,,<pf *

and a similar inequality with lim sup replaced by lim inf and Jf*by Jf. Fuirthler-
more,f * and f* are closed.
Proof. Choose x, p > 0 and e > 0 arbitrarily.There exists y with jy - x < p
such that f*(y) < pf*(x) + c. Since by hypothesis lim,0 rlimsup ,f,(y)=f *(y),
we have for every c3>0, lim sup Jfn(y)<f*(y). Take c such that O<3< p- y-xI
then clearly ptf(x) _,!f,(y), so that limsuppfn(x) < rlimsup,f"(y) < f*(y)
< pf*(x) + e. Letting e -* 0 proves (5.1). The analogous inequality with lim inf
and f* is proved in the same way. To show that f * is closed, take limp | o on both
sides of (5.1), then we get f* < limp+o f*. But for every p,f* > pff*, so that
f * > limpi0 pf *. Hence we have equality. The proof for f * is exactly the same.
5.1. If fn inff then f is closed.
COROLLARY
Proof. In Lemma5.1 f* =f* =f.
LEMMA 5.2. If {X"} is a sequence of convex sets converging to a noniempty
set X, and if d is such that h(X, d) = 0, thefor every p > 0 lim sup ph(Xn,4) < 0.

Proof. We may suppose in the proof that the Xn and X are closed. The theorem
is obviously true for 4 = 0. To prove the theoremfor 4 : 0 we may suppose
I4 I = 1, usingthe positivehomogeneityof supportfunctions.Let X,with I jI = 1,
be fixedin the following.For any '1 0 0 denoteby Hq,the half space{x: . *x ? 0}.
Then h(X, 4) = 0 implies X c Hz, which, in turn, implies A(X) c H~. For any
c > 0, the open cone C = {(x): 4 *x < s jx j} containsH4. ThereforeC v A(X).
It can be verifiedreadilythat thereis a constantc > 0 (c = 21/2 will do) suchthat
Iq I = I and H, c C togetherimply | - | < cp.Let p > Obe givenand choose
8 = p/c, then any q with the above mentionedpropertiessatisfiesj - j < P.
By Theorem 3.2 there exist R and N such that Xn C C V D(R) for all n > N.
For any 3 > 0 considerthe cone C + 6X with vertexin 63. Since C + 6X v C,
Xa, c (C + 6b) U D(R) for all n > N. If a point is in D(R) but not in C + 6b,
it must be in F = (Cl C + 34) rl D(R). Now F is a compact set and disjoint
from X, so that d(X) > 0 on F. Moreover, the convergence d(Xn) -> d(X) is
uniformon F, so that there exists N', which we may choose > N, such that
d(X,,)> 0 on F for all n > N'. This implies that X. c C + 3X for all n > N'.
The condition n > N' will be understoodin the following. Since X, is convex,
there is nnwith Ijn I= 1 such that Xn c H17n+ X ca C +34. Then H,inc C so

This content downloaded from 195.34.79.145 on Tue, 10 Jun 2014 22:41:25 PM

All use subject to JSTOR Terms and Conditions
40 R. A. WIJSMAN [May

that j - j < p. Furthermore, any x e X,, is also in H,,,,+ 6b, so that

l *(x - ) _ 0, or in * x < 6j,, * < 6 By taking the supremum over all
x E X, we get h(Xn, ,1n)< 6. Since ph(X,,, ) _ h(Xn, ,), we have ph(Xn,g) < 6.
After taking lim sup and observing that 6 is arbitrary,the lemma is proved.

LEMMAI5.3. If X is convex, nonempty, anid 0 0 X, then Ah(X, ) < 0 for any

p > 0 and any , # 0 satisfying h(X, d) < 0.
Proof. We may assume in the proof that X is closed and = 1. Let p > 0
be given. The cone C in the proof of Lemma 5.2 hlasnow the property that Cl C-
and X are closed, convex and disjoint. There is then 6 > 0 such that Cl C- -
and X are still disjoint, so that for some il with l * 4 > 0, X c H1 -Rc6 C-6k.
It follows that HI c C so that Iql - < p. Every x E X is also in H,,- 6 so that
i (x + 60) _ 0, or l * x ? - 6i* < 0. Taking the supremum over all x E X
we get h(X, il) < 0, and therefore, since |l - I < p, ph(X, c) < 0.
We are now in a position to prove Theorem 5.1 below. The converse of Theo-
rem 5.1 is also true, but we will not be able to prove it until ?6 (Theorem 6.3).
THEOREM5.1. If {XJ} is a sequence of convex sets converging to a nonempty
set X, then h(Xn) >inf h(X).

Proof. It suffices to show the following two inequalities for every 4 with j = 1:

(5.2) limp +Olim sup ph(Xn,O < h(X, 4),

(5.3) firnp-> lim inf A(X,, d) ':-:h(X, 4).

A change of origin by an amount a E E'nproduces a change a in all support

functions. To show (5.2) and (5.3) we may therefore choose the origin at pleasuire.
For any X such that h(X, d) = o0 , (5.2) is automatically satisfied. If h(X, 4) < 00,
make a change of origin, if necessary, so that h(X, 4) = 0. Then (5.2) follows
from Lemma 5.2. To establish (5.3), take any x E X and choose any e > 0. Since
Xn- X, there exists N such that for every n > N there is xnE Xn with Ix - xI <v.
The condition n > N will be understood in the following. Now for any Q we have

7 Xn
= .
X + ' (Xn - X) + (l
- ) * Xn .

if| tl- | < p, then | (xn - x) + (PI-d) xn| <e+p(| x I + s), sothatq 7 Xn>
4 *x-v-p( IxI+4)For such ,1 we have thenh(Xn,1)>?qxn> 4 x-e-p( I
x+).
Takingthe infimumover all q with I - 4 I < p, and then taking lim inf, we
obtain lim inf ph(Xn,O) _ 4 . x - -P (I x ? 8). Since s is arbitrary,
+
lim infph(X,, 4) x p I x I . Taking now first the limit as p -+ 0, and then
-
the supremumover all x E X, establishes (5.3).
A simple counterexample shows that Theorem 5.1 is not valid without the
convexity condition: on the real line take Xn to consist of the two points 0 and n.

This content downloaded from 195.34.79.145 on Tue, 10 Jun 2014 22:41:25 PM

All use subject to JSTOR Terms and Conditions
1966] SEQUENCES OF CONVEX SETS CONES AND FUNCTIONS. II 41

6. Conjugate functions. In this section all functions f, fn, 0, Onare understood

to be convex, closed and defined on Em. We shall adopt from [3] the symbol
[X,f], in which X is the set on which f is finite, and [X, f] = { (x, a):
xeX, a f(x)}. Thus, [X,f] is a subset of E"+l. X is convex since f is, but
X is not necessarily closed. However, [X,f] is always closed as a result of f
being closed. The set [X, f ] can be thought of as the region above the graph of f.
THEOREM
6.1. [X, ,fn] -+ [X,f ] if and only if fJ -+ iff.
Proof. We shall prove the following two equivalences:

d([Xn,f,,], (x, a)) -+ 0 for allf(x) < a < oo

(6.1)
< limp 0 lim suppf,<
fA
lim inf d([X, fn] , (x, a)) > 0 for all a < f(x)
(6.2)
< limp-+ lim inf pfn >_-fA

Note that the right-hand sides of (6.1) and (6.2) together are equivalent to fJnf-
and the left-hand sides together are equivalent to [Xn,f,,] -+ [Xf ], using
Theorem 3.1.
To show (6.1), assume the left-hand side. The right-hand side is trivially true
for any x for which f (x) = 00 . Assume therefore f (x) < 00 and take a =f (x).
According to the left-hand side of (6.1) there exists a sequence {(xn, an)} with
, XnX an _ f (xn) XXn- x, a
Xn f (x) . So for any p > 0 lim sup pfn(x)
<
< lim sup fn(xn) lim sup a,, = f(x). Taking the limit as p -O 0 establishes
the implication > . Assume now the right-hand side of (6.1) and letf (x) ? a < so .
Since lim sup pfn(x) is nondecreasing as p decreases, for any p > 0 we have
lim sup pfn(x) < limp,0 lim sup pfn(x) _ f(x) by the right-hand side of (6.1).
Take p > 0 arbitrary, then there exists a sequence {xn} with- - x j< p J
such that lim sup fn(xn) < f(x), which is ? a. Put an = max (fn(xn), a), then
(xn, an)E [Xn, fnj and an -+ a so that lim sup d((xn,an),(x, a)) _ p, implying
lim sup d([X",fJ, (x, a)) ? p. Since p is arbitrary, the left-hand side of (6.1)
follows.
To show (6.2), assume the left-hand side and take any a <f(x). There is N and
a cylindrical neighborhood about (x,a) of points (y,b) with ly - xi <p, fb - al < c,
such that this neighborhood is disjoint from [Xn,fj] for all n > N. That is, there
is N, p > 0 and s > 0 such that pfn(x) > a + s for all n > N. We have then
lim inf ptf(x) ? a + s, so limp,0 lim infpf,J(x) > a for all a <f(Xn), implying
the right-hand side of (6.2). Finally, assume the right-hand side of (6.2) and let
x, a be such that a < f(x). Put 2 s = f(x) - a, then there exists N and p > 0
such that pfn(x) > a + e for all n > N. For such n d([Xn,f"],(x, a)) > min (p, c),
so that lim inf d([X,,fJ], (x, a)) > min (p, s) > 0. This concludes the proof.

This content downloaded from 195.34.79.145 on Tue, 10 Jun 2014 22:41:25 PM

All use subject to JSTOR Terms and Conditions
42 R. A. WIJSMAN [May

The conjugatejfunlctioni[31 of a not identically infinite functionf is the function

4 on E' given by O(4) sup.,( x - f(x)). Obviously, one may restrict the
supremum over all x E X {x: f(x) < so }. From the definition of 4 it follows
that it is the support function of [X,f] at (4, - 1). 4 is closed, and the relationship
of being conjugate is reciprocal [3]. The following theorem shows that infimal
convergence is preservedby conjugation.
off,,, f, nonte of thefuinctionis
4n,0 be the conjugateffunctions
THEOREM 6.2. Let
being identicallly oo, then fn i- f f if and only if 4,, -if 0. Equtivalently
[Xn,fn]-+ [X,f] if and only if[E n, n] -[0+
Proof. That the two statements are equivalent follows immediately from
Theorem6.1. We need only show fn -+ f => On --?
W , since conjugation
is reciprocal. According to Theorem 6.1 fn if f implies [X,,,fn] -* [X,fJ,
and this, in turn, implies h([X",f,]) -+ inf h([X,f]), by Theorem 5.1. Evaluating
the support functions at (4, - 1) we have then
(6.3) f
limp+01iminf ph([XnJ1 , -1) = h([X,f], X,-1),
and similarly with lim inf replaced by lim sup. In (6.3) ph of a set is defined
as the infimum of h taken over a spherical neighborhood of (d, - 1), i.e., all
points (q, - C)with d((q, - C), (4, - 1)) < p. Since we let p -+ 0, we may instead
-
take the infimum over cylindricalneighborhoods {(q, -4): |? -d| <p and| -11< p},
and we shall understand ph in that sense in the remainder of the proof. Now for
4 > 0, since support functions are positively homogeneous, we have

hQ([Xfn], ,, - C) = Ch([Xn,fJn,, 'I' - 1) =(0, ,

so that

fitnp-0lim inf ph([XnJn

f,] ,1)
(6.4) = limp 0 lim inf inf 1 - e < I P
lC-1<p l); (1I)
= limp 0 lim inf inf 1"_gl<P,I 1<
5,(110)

For every p > 0 there is e > 0 such that I q- | < e and | - 1 I < e together
imply I i/C- |j < p, and eO as p- 0 (we may take s =p/(2 + I1I)).From
this follows

(6.5)
inf I _,r <,p,X
I p Ob,,(/0)< inf 41
C<p 0b,A()

Taking limp-O lim inf in (6.5) throughout, the extreme members are equal, so
that they are equal to the middle member limp-0 lim inf p0n(0 . Substituting
this on the right-hand side of (6.4) and replacing the left-hand side of (6.4) by
the right-hand side of (6.3), which equals O(4), we get 4(r) = limp-0 lim infp4n(4),

This content downloaded from 195.34.79.145 on Tue, 10 Jun 2014 22:41:25 PM

All use subject to JSTOR Terms and Conditions
19661 SEQUENCES OF CONVEX SETS, CONES AND FUNCTIONS. II 43

and similarly with lim inf replaced by Jimsup. By definition, we have then On.*it.r0,
and the theorem is proved.
We are now in a position to prove the converse of Theorem 5.1.
THEOREM6.3. If {X,} is a sequence oJ convex sets, X a noneimpty convex
set, and h(Xn)- inf h(X), then X. -+ X.
Proof. We may assume the Xn and X closed. Define f by f(x) = 0 for x e X,
fJ(x) = oo for x 0 X, then f is convex and closed. Moreover, the conjugate function
4 is identical to the support function h(x). Define ft, On similarly in terms of
X,. Obviously, Xn -* X if and only if [Xn,fn] -+ [X,f]. By hypothesis,
h(Xn) - inf h(X), or )n ,, inf 4. By Theorem 6.2 this implies fn- inff, and by
Theorem 6.1 the latter implies [X,,,f,,] -+ [X,f] Q.E.D.
Second proof of Theorem 4.1. Using Theorem 6.3, it suffices to show
h(P(Xn)) -+if lh(P(X)). Now for any nonempty set X, h(P(X)) = 0 whenever
<
h(X) 0 and h(P(X)) oo whenever h(X) > 0. Therefore, it is sufficient to show
=

(6.6) limp-0 lim sup ph(P(Xn),0)=0 if h(X, !)_ O,

(6.7) limp-0 lim inf ph(P(X,,), t) = oo if h(X, 4) > 0.

Here (6.6) is trivially true if 4 = 0. Suppose that =A 0 is such that h(X, 4) < 0,
then, using Lemma 5.3, for every p > 0, Ah(X, ) < 0. Since Xn -+ X we have
h(Xn) -+ inf h(X) by Theorem 5.1. Thus using Lemma 5.1, we have for every
p > 0, lim sup ph(Xn,,) < ph(X, ), which was shown above to be < 0. It
follows that lim sup h(P(X,,),4) = 0. Taking the limit as p -+ 0 yields (6.6).
Now suppose 4 is such that h(X, 4) > 0. Since h(Xn) -+ inf h(X), we have
limp.0 lim infph(X,,,4) = h(X, 4) > 0, so that there exist p and N such that
ph(Xn{) > 0 for all n > N. For such p and n we have then ph(P(Xn), 0)= 00,
and taking first lim inf and then the limit as p -+ 0 establishes (6.7).
7. Level sets and polars. For any function f and real number a we define
the level set off relative to a as L,,(f ) = {x: f(x) < a }. The level sets off are
convex if f is convex, and closed if f is closed. In the following,we shall write
inf f to mean the infimum off (x) over all x.
THEOREM7.1 Given a sequence {fn} of functions and a convex function
f such that fn inff. Then La(f,) La(f) if a # inff.
Proof. Note that f is closed by Corollary 5.1. The conclusion of the theorem
is implied by Theorem 3.1 if we show that d(L,,(fn),x) -+ 0 for every x e La(f)
and lim inf d(La(fn),x) > 0 for every x 0 La(f). Suppose first x e La(f), or
f(x) ? a. Since we assume a # inf f, we must have a > inf f. If f(x) > inf f
then given any p > 0 we can always find y with I y - x < p such
that f(y) < f(x), using the convexityof f. ln that case: pf(x). < f(x) so that

This content downloaded from 195.34.79.145 on Tue, 10 Jun 2014 22:41:25 PM

All use subject to JSTOR Terms and Conditions
44 R. A. WIJSMAN [May

pf (x) < a, for every p > 0. The latter is, of course, also true if f(x) = inff. Since
f,- ,f f, by definition we have limp O lim sup f = f, and then replacing
in (5.1) f * by f we get that for every p > 0, lim sup pfn(x)< pf(x) < a. Thus,
there exists N such that pfn(x)< a for all n > N. Therefore, for each n > N there
exists xne La(fn) with xn -x j < p. This implies d(La(fn),x) < p for n > N,
so lim sup d(La(.fn), x) ? p. Since p is arbitrary, d(La(fn), x) -O 0. Now suppose
x 0 La(f ), then f (x) > a. Since limp ,0 lim inf pf.(x) = f(x) > a, there exists p and
N such that pfn(x)> a for all n > N. This means that for all n > N and all y with
Jy - x < p, fn(y) > a so y 0 La(fn). This, in turn, implies that d(La(fn), x) > p
for n > N, so that lim inf d(La(fn),x) _ p > 0. This concludes the proof.
Theorem 7.1 is false if a = inff, or if infimal convergence is replaced by pointwise
convergence, or if f is not convex, as illustrated by the following counterexamples.
EXAMPLE 7.1. The domain of the functions is the real line; f(x) = 0 for
all x; fn(x) = O for x < 0, fn(x) = x/n for x > O; a = 0. Here a = inf f, La(f )
is the whole real line, but La(fn)is the nonpositive half line for all n, so La(fn) I+La(f)
in spite of the fact thatfn -+ if.
EXAMPLE 7.2 (this is closely related to Example 5.2). The domain is the
plane; f (x, y) = x for x > 0, y = 0, and f(x, y) = oo otherwise; f,,(x, y) = x + ny
for x _ O, O? -ny. ?x, and fn(x, y) = oo otherwise; a = 1. Here inf f =O < a,
fn -+f,La(f) ={(x,y): O< _x < 1, y =O}, whereas LA(f) -+{(xy): x O, y = O}.
EXAMPLE7.3. The domain is the real line; f(x) = x for x < 0, f(x) = 0 for
x _O; f,(x)=x for x< l/n, f,(x) = l/n for x _ l/n; a =0. Here a > inff,
fn +inf, but La(f) and La(fn)are as in Example 7.1.
The polar (oi dual) of a nonempty set X is defined as [2] X* = {4: x < 1
for all x EX}. X* is always convex and closed. If X is convex and closed and
OE X, then X** = X [2]. If C is a cone, its polar can also be written as
C* = {4: 4 *x _ O for all x EC}, since supx e c 4 *x is either 0 or so . By the de-
finition of support function, we can write X* as X* = {4: h(X, 4) _ 1} = LI(h(X)),
i.e., the level set of h(x) relative to 1. For a cone C we may replace 1 by
0: C* = Lo(h(C)).

THEOREM 7.2. Let {Xn} be a sequenceof convex sets and X a nonempty

set. Then Xn - X implies Xn* - X*.
Proof. According to Theorem 5.1 h(Xn) - infh(X).Since infh(X) < 0 (every
support function equals 0 in 4 = 0) the conclusion of the theorem follows from
Theorem 7.1 after replacingfn,f by h(Xn),h(X), and a by 1.
The same counterexample that was used after Theorem 5.1 shows that Theo-
rem 7.2 is not true without the convexity condition.
Third proof of Theorem 4.1. Put C = Cl P(X), Cn= Cl P(Xn), then it suf-
fices to show Cn-+ C. Since Cn, C are closed, convex, and contain 0, C** = Cn,
C** = C. Therefore, it is sufficient to show Cn**- C**. According to Theorem

This content downloaded from 195.34.79.145 on Tue, 10 Jun 2014 22:41:25 PM

All use subject to JSTOR Terms and Conditions
1966] SEQUENCES OF CONVEX SETS, CONES AND FUNCTIONS. II 45
7.2, it is then sufficient to show C* -+ C*, since the C* are convex and C* is
nonempty. Now 4 x ? 0 if and only if *(x) ( < 0 for all A > 0, from which it
follows that 4 *x ? 0 for all x E X if and only if 4 *x < O for all x E P(x). Hence
C* = Lo(h(C)) = LO(h(P(X)))= LO(h(X)), and similarly C * = LO(h(Xn)).Since
0 T , 0 and X can be strictly separated by a hyperplane, and it follows that
there exists 4 such that h(X, 4) < 0. Hence infh(X) <0. By Theorem 5.1 we
have h(Xn) i+l fh(X), and then using Theorem 7.1 with fn = h(X"), f = h(X),
a = 0, we get LO)Lo()) -+ h(X)) or C* C*, and the proof is complete.

REFERENCES
1. D. L. Burkholderand R. A. Wijsman,Optimumpropertiesand admissibilityof sequential
tests, Ann. Math. Statist. 34 (1963), 1-17.
2. H. G. Eggleston, Convexity,CambridgeUniv. Press, London and New York, 1958.
3. W. Fenchel, Convexcones, sets, andfunctions, Mimeographednotes by D. W. Blackett,
PrincetonUniv. Press, Princeton,N. J., 1953.
4. Z. Frolik, Cocerningtopologicalconvergenceof sets, CzechoslovakMath. J. 10 (1960),
168-180.
5. H. Hadwiger, VorlesungeniuberInhalt, Oberfliche und Isoperimetrie,Springer-Verlag,
Berlin, 1957.
6. R. A. Wijsman,Convergenceof sequencesof convexsets, conesandfunctions,Bull.Amer.
Math. Soc. 70 (1964), 186-188.

UNIVERSITY OF ILLINOIS,
URBANA, ILLINOIS

This content downloaded from 195.34.79.145 on Tue, 10 Jun 2014 22:41:25 PM

All use subject to JSTOR Terms and Conditions