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【凸优化-03】Convex Functions: Running average of convex functions

b91bff6ffdb5 2022-03-14 阅读 72

Let f(t) be a convex function and define g(t) to be the running average of f(t)

g ( t ) = 1 t ∫ 0 t f ( τ )   d τ g(t) = \frac{1}{t} \displaystyle\int_0^t f(\tau) ~d\tau g(t)=t10tf(τ) dτ
Then g is convex.

This is easy (not exactly) enough to prove just by differentiating twice.

但是如果 f ( x ) f(x) f(x)不可导的,好像用不了这个方法。

在 math.stackexchange 上看到有人想用convexity preserving operation证明:Alternate way to prove running average of a convex function is convex?

以及关于这个问题,想要一个几何方面的解释的:
Running average of a convex function is convex

(一)两次求导:

求导法1
求导法2

(二)一个不太懂的另一个方法?

方法2

举报

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