[Math] Convexity of quadratic functions

convex optimizationconvex-analysisoptimizationpositive-semidefinitequadratic programming

I am new to the field of optimization and keep encountering objective functions of the form

$$f(x) = \frac 12 x^T A x – b^T x + c$$

Just wanted to know the reasoning behind some properties of the function above.

  1. I know if $A$ is symmetric and positive semidefinite (PSD), then $f(x)$ is convex. Can $A$ be PSD and non-symmetric and $f(x)$ still be convex? How is being symmetric related to being convex? For example $$A = \begin{bmatrix} 1 & 1 \\-1 & 2\end{bmatrix}$$ is positive definite (PD) but not symmetric. Is $f(x)$ convex still? Most books list Hessian of the function being PSD to be a sufficient condition for $f$ to be a convex function.

  2. If $A$ is not symmetric and PSD, then does $f(x)$ still have a global minimum?

Best Answer

  1. If $A$ is not symmetric, $x^TAx = \frac12 x^T (A + A^T)x$, so the problem is equivalent.

  2. For convex functions, a local minimum is a global minimum, so yes, there still exists a global minimum.

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