A function f(x) is convex if f''(x) >= 0 for all
x.
Now we have to find two functions f(x) and g(x) such that they
are convex but f(g(x)) is not convex.
If we take f(x) =
-x
f'(x) = -1
f''(x) = 0 which is
always >=0.
Therefore f(x) = -x is
convex.
Take g(x) = x^2
g'(x) =
2x
g''(x) = 2 which is always
>=0
Therefore g(x) = x^2 is
convex.
Now f(g(x) = f(x^2) =
-x^2
f'(g(x)) = -2x
f''(g(x)) = -2
which is not >=0
Therefore f(g(x)) is not
convex.
One example of f(x) and g(x) being convex but
f(g(x)) not being convex is f(x) = -x and g(x) = x^2.
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