[Math] How to Euclidean balls and Ellipsoids be convex sets

convex optimizationconvex-analysis

A convex set is one which contains the line segment between any two points in the set. How can one prove Euclidean balls and ellipsoids are convex sets?

Best Answer

If $a,b\in\mathbb{R}^+$ we have that $f(x,y)=ax^2+by^2$ is a convex function, as a sum of two convex functions. So, if $f(x_1,y_1)=f(x_2,y_2)=r^2$, for any $\lambda\in(0,1)$ we have: $$ f\left((1-\lambda)x_1+\lambda x_2,(1-\lambda)y_1+\lambda y_2\right)<r^2 $$ by Jensen's inequality. But the last line is equivalent to the open segment joining $(x_1,y_1),(x_2,y_2)$ to lie inside the ellipsoid.