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Quantitative Finance · शब्दावली

Convex set, convex function, convex optimisation problem क्या है?

अन्य नाम: convex set · convex function · convex optimisation problem

Definition 23.1 Quantitative Methods · अध्याय 23 — Convex Optimisation

A set C⊆RnC \subseteq \R^n is a convex set if it contains the segment between any two of its points. A function ff is a convex function if f(θx+(1−θ)y)≤θf(x)+(1−θ)f(y)f(\theta x + (1 - \theta)y) \le \theta f(x) + (1 - \theta)f(y) for θ∈[0,1]\theta \in [0, 1]. A convex optimisation problem minimises a convex function subject to convex inequality constraints gi(x)≤0g_i(x) \le 0 and affine equality constraints Ax=bAx = b.

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