Wednesday, April 18, 2012

What are two convex functions, f and g, such that the composition f(g(x)) is not convex?

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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