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Is my proof for $f$ is convex iff $f'$ is monotonically increasing correct?

Mathematics Asked on December 20, 2021

I am following up on my previous question. My previous attempt for the proof was wildly incorrect (my question was how that proof was exactly my old proof was incorrect) and I have now come up with a new proof.

I have to prove:

Let $f:(a, b) to R^1$ be differentiable. Prove that $f$ is convex iff $f’$ is monotonically increasing.

What I have for the proof:

($Rightarrow$) Assume $f$ is convex in $(a, b)$. Let $a<s<t<u<b$. By Exercise 23 in Chapter 4,
begin{align}tag{14.1}
frac{f(t)-f(s)}{t-s} le frac{f(u)-f(s)}{u-s} le frac{f(u)-f(t)}{u-t}
end{align}

Since $f$ is differentiable on $(a,b)$, both $ f'(s) = lim_{t to s} frac{f(t)-f(s)}{t-s}$ and $f'(t)=lim_{u to t} frac{f(u)-f(t)}{u-t}$ exist. However, applying the Order Limit Theorem on (14.1) gives
begin{align*}
lim_{t to s} frac{f(t)-f(s)}{t-s} le lim_{u to t} frac{f(u)-f(t)}{u-t} implies f'(s) le f'(t)
end{align*}

which shows that $f’$ is monotonically increasing in $(a, b)$.

($Leftarrow$) Assume $f’$ is monotonically increasing in $(a, b)$ and $a<x<y<b$. Fix $0 < lambda< 1$. By Exercise 23 in Chapter 4, we must show that
begin{equation}tag{14.0}
f(lambda x + (1- lambda)y) le lambda f(x) + (1-lambda) f(y)
end{equation}

Denote $z=lambda x+ (1-lambda)y$.Then, $z=lambda(x-y)+y$ which implies that $lambda=frac{z-y}{x-y}$. Since $lambda>0, z-y>x-y implies z>x$. Also, $1-lambda=frac{x-y-z+y}{x-y} = frac{x-z}{x-y}$. Since $lambda<1, x-z>x-y implies z < y$. Thus, $x<z<y$. Then, (14.0) can be simplified as:
begin{align*}
f(z) &le f(y) + lambda f(x) – lambda f(y) \
lambda f(z) – lambda f(x) &le f(y) – f(z) – lambda f(y) + lambda f(z) \
lambda[f(z)-f(x)] &le (1-lambda)[f(y)-f(z)]
end{align*}

Thus, since $lambda = frac{y-z}{y-x}$ and $1-lambda = frac{z-x}{y-x}$, it suffices to show that
begin{equation}tag{14.2}
frac{f(z)-f(x)}{z-x} le frac{f(y)-f(z)}{y-z}
end{equation}

Now, as we take $zto x$ on the left of (14.2) and $yto z$ on the right of (14.2), then we have $f'(x)le f'(z)$, which holds since $x<z$ and $f’$ is monotonically increasing.

Exercise 23 in Chapter 4 in Rudin:

A real-valued function $f$ defined in $(a, b)$ is said to be convex if
$$ f left( lambda x + (1- lambda) y right) leq lambda f(x) + (1-lambda) f(y)$$
whenever $a < x < b$, $a < y < b$, $0 < lambda < 1$. Prove that every convex function is continuous.

Hint: If $f$ is convex in $(a, b)$ and if $a < s < t < u < b$, show that
$$ frac{ f(t)-f(s)}{t-s} leq frac{ f(u)-f(s)}{u-s} leq frac{ f(u)-f(t)}{u-t}.$$

Can someone please read over my proof and see if there is something that I did incorrectly? Also, specifically, is my usage of the Order Limit Theorem correct and is the argument right below (14.2) correct?

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2 Answers

Monotonic increasing means that the function $f(x)$ cannot decrease with increasing $x$, i.e. $f''(x)geq 0$.

Define $h=y-x$.To show a continuous convex function is monotonically increasing:

$$0leqlim_{yto x}lambda f(x)+(1-lambda)f(y)-f(lambda x+(1-lambda)y)=lim_{hto 0}lambda f(x)+(1-lambda)f(x+h)-f(x+(1-lambda)h)=lim_{hto 0}f(x)+(1-lambda)f'(x)h+frac{1}{2}(1-lambda)f''(x)h^2+o(h^3)-f(x)-f'(x)(1-lambda)h-frac{1}{2}f''(x)(1-lambda)^2h^2+o(h^3)=lim_{hto 0}frac{1}{2}f''(x)h^2lambda(1-lambda)+o(h^3).$$

To prove the reverse direction, just read the equations in the opposite direction.

Answered by Mikael Helin on December 20, 2021

Hint: (reverse implication)

If $s<t<u$, then by the mean value theorem there exists $xi_1 in (s,t)$ and $xi_2 in (t,u)$ such that (since $f'$ is monotonically increasing) $$frac{f(t)-f(s)}{t-s} = f'(xi_1) leqslant f'(xi_2) = frac{f(u)-f(t)}{u-t}$$


Forward Implication

By convexity, for $s < t < u$, we have

$$frac{f(t)-f(s)}{t-s} leqslant frac{f(u)-f(s)}{u-s} leqslant frac{f(u)-f(t)}{u-t}$$

Thus,

$$f'(s) = lim_{t to s+}frac{f(t)-f(s)}{t-s} leqslantlim_{t to s+}frac{f(u)-f(t)}{u-t} = frac{f(u)-f(s)}{u-s}, $$

and

$$frac{f(u)-f(s)}{u-s} = lim_{t to u-}frac{f(t)-f(s)}{t-s} leqslant lim_{t to u-} frac{f(u)-f(t)}{u-t} = f'(u)$$

Therfore, $f'(u) geqslant f'(s)$ when $u > s$ and $f$ is monotonically increasing.

Answered by RRL on December 20, 2021

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