636 C H A P T E R 1 1 Nonlinear Programming

P R O B L E M S
Group A
On the given set S, determine whether each function is
convex, concave, or neither.
1 f (x) x
3
; S [0, )
2 f (x) x
3
; S R
1
3 f (x)
1
x
; S (0, )
4 f (x) x
a
(0 a 1); S (0, )
5 f (x) ln x; S (0, )
6 f (x
1
, x
2
) x
3
1
3x
1
x
2
x
2
2
; S R
2
7 f (x
1
, x
2
) x
2
1
x
2
2
; S R
2
8 f (x
1
, x
2
) x
2
1
x
1
x
2
2x
2
2
; S R
2
9 f (x
1
, x
2
, x
3
) x
2
1
x
2
2
2x
2
3
.5x
1
x
2
; S R
3
10 For what values of a, b, and c will ax
2
1
bx
1
x
2
cx
2
2
be a convex function on R
2
? A concave function on R
2
?
Group B
11 Prove Theorem 1.
12 Show that if f (x
1
, x
2
, . . . , x
n
) and g(x
1
, x
2
, . . . , x
n
) are
convex functions on a convex set S, then h(x
1
, x
2
, . . . , x
n
)
f (x
1
, x
2
, . . . , x
n
) g(x
1
, x
2
, . . . , x
n
) is a convex function
on S.
13 If f (x
1
, x
2
, . . . , x
n
) is a convex function on a convex set
S, show that for c 0, g(x, x
2
, . . . , x
n
) cf (x
1
, x
2
, . . . , x
n
)
is a convex function on S, and for c 0, g(x
1
, x
2
, . . . , x
n
)
cf (x
1
, x
2
, . . . , x
n
) is a concave function on S.
14 Show that if y f (x) is a concave function on R
1
, then
z
f (
1
x)
is a convex function [assume that f (x) 0].
15 A function f (x
1
, x
2
, . . . , x
n
) is quasi-concave on a
convex set S R
n
if x S, x S, and 0 c 1 implies
f [cx (1 c)x] min[ f (x), f (x)]
Show that if f is concave on R
1
, then f is quasi-concave.
Which of the functions in Figure 19 is quasi-concave? Is a
quasi-concave function necessarily a concave function?
16 From Problem 12, it follows that the sum of concave
functions is concave. Is the sum of quasi-concave functions
necessarily quasi-concave?
17 Suppose a functions Hessian has both positive and
negative entries on its diagonal. Show that the function is
neither concave nor convex.
18 Show that if f (x) is a non-negative, increasing concave
function, then ln [ f (x)] is also a concave function.
19 Show that if a function f (x
1
, x
2
, . . . , x
n
) is quasi-
concave on a convex set S, then for any number a the set
S
a
all points satisfying f (x
1
, x
2
, . . . , x
n
) a is a convex set.
20 Show that Theorem 1 is untrue if f is a quasi-concave
function.
21 Suppose the constraints of an NLP are of the form
g
i
(x
1
, x
2
, . . . , x
n
) b
i
(i 1, 2, . . . m). Show that if each of
the g
i
is a convex function, then the NLPs feasible region
is convex.
Group C
22 If f (x
1
, x
2
) is a concave function on R
2
, show that for
any number a, the set of (x
1
, x
2
) satisfying f (x
1
, x
2
) a is
a convex set.
23 Let Z be a N(0, 1) random variable, and let F(x) be the
cumulative distribution function for Z. Show that on S
(, 0], F(x) is an increasing convex function, and on S
[0, ), F(x) is an increasing concave function.
24 Recall the Dakota LP discussed in Chapter 6. Let v(L,
FH, CH) be the maximum revenue that can be earned when
L sq board ft of lumber, FH nishing hours, and CH
carpentry hours are available.
a Show that v(L, FH, CH) is a concave function.
b Explain why this result shows that the value of each
additional available unit of a resource must be a nonin-
creasing function of the amount of the resource that is
available.
a b c
F I G U R E 19