A functional and convex analysis cheat sheet

Created in August 08, 2021 by Guillaume Wang

2021   ·   math

Another post that was prepared a while ago and “snoozed” until now… It is part of a planned series of posts on linear models and regularization, and a tinge of optimization.

Among the topics that I’ve been interested in during the last few months, many required some knowledge of convex analysis: regularization in linear models, primal-dual views on optimization, representer theorems in reproducing kernel Banach spaces... Moreover the finite-dimensional setting doesn’t suffice, a more abstract point of view is necessary or at least useful; namely Banach spaces seem to be the appropriate level of abstraction for those topics.

In this document I compile some relevant functional and convex analysis background, in the form of a cheat sheet. It is not at all meant to be exhaustive, I only included basic facts and tricks that I found interesting. I may add to it in the future.

Proofs and appendices can be found in the LaTeX version of this document.

Functional analysis (Banach duality)

Beyond finite dimension, Banach spaces are a simple and natural level of abstraction for discussing convex analysis. This section is mostly extracted from the appendix of my Master’s thesis.

A metric space \((E,d)\) is called complete if all Cauchy sequences \((u_n)_n \in E^\mathbb{N}\) converge in \(E\).

A Banach space \((E, \left\lVert \cdot \right\rVert_E)\) is a vector space equipped with a norm for which it is a complete space.

A Hilbert space \((H, \left\langle \cdot, \cdot \right\rangle_H)\) is a vector space equipped with an inner product that is complete for the induced norm \(\left\lVert x \right\rVert_H^2 = \left\langle x, x \right\rangle_H\).

The unit ball of a normed space \((E, \left\lVert \cdot \right\rVert_E)\) is denoted \(B^{(E)} = B^{(E)}_{0,1} := \left\lbrace x \in E;~ \left\lVert x \right\rVert_E \leq 1 \right\rbrace\).

A continuous linear mapping \(T: E \to F\) between Banach spaces is called a bounded operator, and its operator norm is the finite quantity \({\left\vert\kern-0.25ex\left\vert\kern-0.25ex\left\vert T \right\vert\kern-0.25ex\right\vert\kern-0.25ex\right\vert} = {\left\vert\kern-0.25ex\left\vert\kern-0.25ex\left\vert T \right\vert\kern-0.25ex\right\vert\kern-0.25ex\right\vert}_{E \to F} := \sup_{\left\lVert x \right\rVert_E \leq 1} \left\lVert T x \right\rVert_F\). The set of bounded operators from \(E\) to \(F\) equipped with the operator norm \((\mathcal{L}_b(E,F), {\left\vert\kern-0.25ex\left\vert\kern-0.25ex\left\vert \cdot \right\vert\kern-0.25ex\right\vert\kern-0.25ex\right\vert})\) is itself a Banach space.

A bounded operator \(T: E \to F\) is called compact if it sends the unit ball into a relatively compact set, i.e \(T(B^{(E)})\) is a relatively compact set of \(F\), i.e \(\overline{T(B^{(E)}})\) is compact where \(\overline{~\cdot~}\) denotes closure w.r.t the norm of \(F\).

Duality in Banach spaces

The (topological) dual of a Banach space \(E\) is the space of bounded linear forms \(E' = \mathcal{L}_b(E, \mathbb{R})\). It is equipped with the norm \(\left\lVert X \right\rVert_{E'} := \sup_{\left\lVert x \right\rVert_E \leq 1} \left\lvert X(x) \right\rvert\). \(E'\) is itself a Banach space.

The duality bracket of \(E\) is the bilinear operator \(\left\langle \cdot, \cdot \right\rangle_E: E \times E' \to \mathbb{R}\) defined by \(\left\langle x, X \right\rangle_E = X(x)\).

The bidual of \(E\) is the space \(E'' = (E')'\). \(E\) can be embedded into \(E''\) by \(x \mapsto x''\), where \(x''\) is defined by: \(\forall X \in E',~ \left\langle X, x'' \right\rangle_{E'} = \left\langle x, X \right\rangle_E = X(x)\). It is not hard to show (using existence of norming functionals, see below) that this embedding is isometric i.e \(\left\lVert x \right\rVert_{(E')'} = \left\lVert x \right\rVert_E\).

\(E\) is called a reflexive Banach space if the converse holds, i.e if any element of the bidual can also be seen as an element of the primal, i.e if \(E'' \simeq E\).

In this section, elements of the primal space will typically be denoted by lowercase letters e.g \(x \in E, y \in F\), and elements of the dual by uppercase letters e.g \(X \in E', Y \in F'\).

The duality bracket is very similar to the physicists’ bra-ket notation; except that here the primal is on the left and the dual is on the right, instead of the opposite.

When \(E\) is reflexive, then all the shorthands from the bra-ket notation can be used. That is, a dual element \(X\) can be denoted without ambiguity as \(\left\langle \cdot, X \right\rangle_E\) , and a primal element \(x = x''\) as \(\left\langle x, \cdot \right\rangle_E\) . Moreover, for a bounded operator \(T: E \to F\), we can write without ambiguity \(\left\langle Tx, Y \right\rangle_F = \left\langle x| T |Y \right\rangle\) . However since there are many interesting Banach spaces that are not reflexive, we will not use such shorthands.

Hahn-Banach theorem and useful consequences

Let \(\underline{E}\) be a linear subspace of a normed vector space \((E, \left\lVert \cdot \right\rVert)\) and let \(f: \underline{E}\to \mathbb{R}\) be a bounded linear form on \((\underline{E}, \left\lVert \cdot \right\rVert)\).

Then there exists \(g: E \to \mathbb{R}\) a bounded linear form on all of \(E\), such that

  • \(g\) is an extension of \(f\): \(\left.g\right|_{\underline{E}} = f\);

  • The extension “comes to no cost” in operator norm: \({\left\vert\kern-0.25ex\left\vert\kern-0.25ex\left\vert g \right\vert\kern-0.25ex\right\vert\kern-0.25ex\right\vert} = {\left\vert\kern-0.25ex\left\vert\kern-0.25ex\left\vert f \right\vert\kern-0.25ex\right\vert\kern-0.25ex\right\vert}\).

(Here the operator norms are with respect to their respective domains: \({\left\vert\kern-0.25ex\left\vert\kern-0.25ex\left\vert f \right\vert\kern-0.25ex\right\vert\kern-0.25ex\right\vert} = \sup_{x \in \underline{E}; \left\lVert x \right\rVert \leq 1} \left\lvert f(x) \right\rvert\), \({\left\vert\kern-0.25ex\left\vert\kern-0.25ex\left\vert g \right\vert\kern-0.25ex\right\vert\kern-0.25ex\right\vert} = \sup_{x \in E; \left\lVert x \right\rVert \leq 1} \left\lvert g(x) \right\rvert\).)

As one of the many important consequences of that theorem, we have the existence of norming functionals.

Let \(E\) be a Banach space.

For all \(x \in E \setminus \{0_E\}\), there exists \(X \in E'\) such that \(X(x) = \left\langle x, X \right\rangle_E = \left\lVert x \right\rVert_E\) and \(\left\lVert X \right\rVert_{E'} = 1\). \(X\) is then called a norming functional of \(x\).

By convention, any \(X \in B^{(E')}\) will be called a norming functional of \(0_E\).

Importantly, the norming functional \(X\) is not unique in general, and there is no generic way to construct it – the proof is not constructive. 1 (This stands in contrast with the case of Hilbert spaces, where the norming functional is unique and given by the Riesz representation theorem.)

The primal \(E\) injects isometrically into the bidual \(E''\). Namely, \(x \in E\) is canonically associated to \(x'' \in E''\) defined by \(\forall X \in E', \left\langle X, x'' \right\rangle_{E'} = \left\langle x, X \right\rangle_E\).

Another important consequence of the Hahn-Banach theorem is the following density criterion.

Let \(E\) be a Banach space. Let \(\underline{E}\) be any subspace and \(A\) any subset.

\(\begin{aligned} \underline{E}\text{ is dense in } E && \iff && \underline{E}^\perp := \left\lbrace X \in E';~ \forall x \in \underline{E}, \left\langle x, X \right\rangle_E = 0 \right\rbrace = \{ 0_{E'} \} \\ \mathop{\mathrm{span}}(A) \text{ is dense in } E && \iff && A^\perp := \left\lbrace X \in E';~ \forall a \in A, \left\langle a, X \right\rangle_E = 0 \right\rbrace = \{ 0_{E'} \} \end{aligned}\)

The set \(A^\perp\) is called the annihilator of \(A\). Note that \(A^\perp = (\mathop{\mathrm{span}}(A))^\perp\). In the case where \(E\) is a Euclidean space, \(A^\perp\) is just (up to isometry) the orthogonal complement of \(\mathop{\mathrm{span}}(A)\).

Convex analysis (convex duality)

For the rest of this subsection, fix a Banach space \(E\).

A function \(f: E \to \mathbb{R}\cup \{+\infty\}\) is called convex if

\[\forall x, y \in E, \forall t \in [0,1],~ f \left( tx + (1-t) y \right) \leq t f(x) + (1-t) f(y).\]

For any convex \(f: E \to \mathbb{R}\cup \{+\infty\}\),

  • The domain of \(f\) is the convex set \(\mathop{\mathrm{dom}}(f) = \left\lbrace x \in E; f(x) < \infty \right\rbrace\). \(f\) is called proper if \(\mathop{\mathrm{dom}}(f) \neq \varnothing\).

  • \(f\) is called lower-semicontinuous (l.s.c) if its sub-level sets are closed, i.e for each \(c \in \mathbb{R}\), \(\left\lbrace x \in E; f(x) > c \right\rbrace\) is an open set.

Denote \(\Gamma(E)\) the set of proper l.s.c convex functions over \(E\).

For any proper convex function \(f: E \to \mathbb{R}\cup \{+\infty\}\),

  • The subdifferential of \(f\) at a point \(x_0 \in E\) is the set

    \[\partial f(x_0) = \left\lbrace X \in E'; \forall x \in E, f(x) \geq f(x_0) + \left\langle x-x_0, X \right\rangle_E \right\rbrace.\]

    \(f\) is called subdifferentiable at \(x_0\) if \(\partial f(x_0) \neq \varnothing\). Note that \(f\) can be subdifferentiable at \(x_0\) only if \(x_0 \in \mathop{\mathrm{dom}}(f)\).

  • \(f\) is called differentiable at \(x_0\) if \(\partial f(x_0)\) is a singleton. Its unique element is then called the differential of \(f\) at \(x_0\) and denoted \(D f(x_0)\) or \(\nabla f(x_0)\).

Note that the definitions of “subdifferential” and “differential” above look different from the usual ones, since they only apply to convex functions. It can be shown that our definitions are compatible with the usual ones from real analysis. 2

For any proper l.s.c function \(f: E \to \mathbb{R}\cup \{+\infty\}\) such that \(\mathop{\mathrm{dom}}(f)\) is open,

  • \(f\) is convex iff \(\mathop{\mathrm{dom}}(f)\) is convex and \(\partial f(x_0) \neq \varnothing\) for all \(x_0 \in \mathop{\mathrm{dom}}(f)\).

  • If \(f\) is convex, then it is differentiable at \(x_0\) (in the usual real-analytic sense) iff \(\partial f(x_0)\) is a singleton, and the differential of \(f\) at \(x_0\) (in the usual real-analytic sense) is then \(D f(x_0)\).

Convex conjugate

For any proper function \(f: E \to \mathbb{R}\cup \{+\infty\}\), the convex conjugate of \(f\) (a.k.a Fenchel-Legendre a.k.a Legendre-Fenchel a.k.a Fenchel a.k.a Legendre transform) is the function

\(f^*: \left[ E' \to \mathbb{R}\cup \{+\infty\}, X \mapsto \sup_{x \in E} \left\langle x, X \right\rangle_E - f(x) \right].\)

For any proper function \(f\), \(f^*\) is a proper l.s.c convex function.

A function \(f\) is a proper l.s.c convex function iff \(f^{**} = f\).

For any proper function \(f\), \(f^{**}\) is the tightest convex relaxation of \(f\), in the sense that the epigraph of \(f^{**}\) is the convex hull of the epigraph of \(f\). This is easy to visualize for functions over the real line.

In the proposition above, \(f^{**}\) is understood as a mapping from \(E\) to \(\mathbb{R}\). Looking at the definitions, it would be more natural to view \(f^{**}\) as a mapping from \(E''\) to \(\mathbb{R}\) instead, which would be more general since \(E\) injects isometrically into \(E''\). However in convex analysis we typically don’t care about what happens outside of \(E\).

More precisely: to be completely general and consistent with notation, we could define \(f^{**} = (f^*)^*\) over \(E''\) by \(\forall z \in E'',~ f^{**}(z) = \sup_{X \in E'} \left\langle X, z \right\rangle_{E'} - f^*(X).\)

Since \(\left\langle X, x'' \right\rangle_{E'} = \left\langle x, X \right\rangle_E\) (where \(\left[ E \to E'', x \mapsto x'' \right]\) denotes the canonical injection), the restriction of \(f^{**}\) to \(E\) is then – and this equation is typically taken as the definition of \(f^{**}\):

\(\forall x \in E,~ f^{**}(x) = \sup_{X \in E'} \left\langle x, X \right\rangle_E - f^*(X).\)

In the context of convex analysis it is common to denote adjoint/conjugate/dual objects with a superscript "\(*\)". In other contexts that symbol connotes involution, which may be misleading. However for convex analysis there is not much risk of mistake, precisely because of the previous remark: we only ever care about what happens in \(E\) and \(E'\), never about the bidual space \(E''\). In particular, even if \(f\) is not a proper l.s.c function, we may always write \((f^{**})^* = f^*\).

Accordingly, from here on we will follow the common practice and use \(x^*\) (instead of \(X\)) to denote a generic element of \(E'\).

Many of the useful properties of convex conjugates can be found on the relevant wikipedia page, so I won’t list those here again.

Convex conjugates vs. subdifferentials

Let \(f \in \Gamma(E)\). By definition of the convex conjugate, we have Fenchel-Young’s inequality:

\[\forall x \in E, \forall x^* \in E',~ f(x) + f^*(x^*) \geq \left\langle x, x^* \right\rangle_E.\]

For \(x \in E\) and \(x^* \in E'\),

  • \(x^* \in \partial f(x)\) iff \(x^*\) saturates Fenchel-Young’s inequality, iff \(x^*\) achieves the sup in the definition of \(f(x) = f^{**}(x) = \sup_{x^* \in E'} \left\langle x, x^* \right\rangle_E - f^*(x^*)\).

  • \(x \in \partial f^*(x^*)\) iff \(x\) saturates Fenchel-Young’s inequality, iff \(x\) achieves the sup in the definition of \(f^*(x^*) = \sup_{x \in E} \left\langle x, x^* \right\rangle_E - f(x)\).

  • \(x^* \in \partial f(x)\) iff \(x \in \partial f^*(x^*)\).

Up to an additive constant, \(f \in \Gamma(E)\) is characterized by the binary relation \(\mathcal{R}\) given by

\[x \mathcal{R}x^* \iff f(x) + f^*(x^*) = \left\langle x, x^* \right\rangle_E.\]

The norm \(\left\lVert \cdot \right\rVert_E\) is a proper continuous convex function by definition.

For any \(x \in E\), \(x^* \in E'\) is a norming functional for \(x\) iff \(x^* \in \partial \left\lVert \cdot \right\rVert_E(x)\). In symbols,

\[x^* \in \partial \left\lVert \cdot \right\rVert_E(x) \iff \begin{cases} \left\lVert x^* \right\rVert_{E'} = 1 \\ \left\langle x, x^* \right\rangle = \left\lVert x \right\rVert_E \end{cases}\]

In particular, \(\left\lVert \cdot \right\rVert_E\) is differentiable at \(x\) iff \(\partial \left\lVert \cdot \right\rVert_E(x)\) is a singleton, iff \(x\) has a unique norming functional. If \(\left\lVert \cdot \right\rVert_E\) is differentiable everywhere, then the mapping \(\left[ x \mapsto \nabla \left\lVert \cdot \right\rVert_E(x) \right]\) is well-defined and is called the duality mapping.

Thus, to the convex analyst, norming functionals are not a magical byproduct of the Hahn-Banach theorem, but simply a subgradient of the norm.

Convex conjugacy swaps strict convexity for differentiability, and strong convexity for smoothness

Let \(f \in \Gamma(E)\) and let \(\mu>0\), \(L>0\).

\(f\) is strictly convex if for all \(x_0 \in \mathop{\mathrm{dom}}(f)\), there exists \(g \in \partial f(x_0)\) such that the strict inequalities hold:

\[\forall x \in E \setminus \{x_0\},~ f(x) > f(x_0) + \left\langle x-x_0, g \right\rangle_E.\]

\(f\) is \(\mu\)-strongly convex if for all \(x_0 \in \mathop{\mathrm{dom}}(f)\), there exists \(g \in \partial f(x_0)\) such that

\[\forall x \in E,~ f(x) \geq f(x_0) + \left\langle x-x_0, g \right\rangle_E + \frac{\mu}{2} \left\lVert x-x_0 \right\rVert_E^2.\]

\(f\) is differentiable everywhere if it is differentiable at each point of its domain, that is, if for all \(x_0 \in \mathop{\mathrm{dom}}(f)\), there exists a unique \(g \in E'\) such that

\[\forall x \in E,~ f(x) \leq f(x_0) + \left\langle x-x_0, g \right\rangle_E.\]

\(f\) is \(L\)-smooth if for all \(x_0 \in \mathop{\mathrm{dom}}(f)\), there exists \(g \in \partial f(x_0)\) such that

\[\forall x \in E,~ f(x) \leq f(x_0) + \left\langle x-x_0, g \right\rangle_E + \frac{L}{2} \left\lVert x-x_0 \right\rVert_E^2.\]

Note that \(\mu\)-strong convexity implies strict convexity, and that \(L\)-smoothness implies differentiability everywhere.

Let \(f \in \Gamma(E)\).

\(f\) is strictly convex iff \(f^*\) is differentiable.

\(f\) is \(\mu\)-strongly convex iff \(f^*\) is \(1/\mu\)-smooth.

  1. Or rather, to the pure functional analyst there is no satisfying way to construct a norming functional, but to the convex analyst there is... See below. ↩

  2. In other words, in this document we are only concerned with content covered in Rockafellar’s 1970 “Convex Analysis” book, whereas in other contexts Rockafellar’s 1998 “Variational Analysis” book may be a better reference. ↩