Convex Analysis and Economic Theory Winter 2018

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Division of the Humanities and Social Sciences Ec 181 KC Border Convex Analysis and Economic Theory Winter 2018 Topic 0: Vector spaces 0.1 Basic notation Here are some of the fundamental sets and spaces that we shall use throughout these notes. The set of natural numbers, that is, {1, 2, 3,...}, is denoted N, the set of rational numbers is denoted Q, and the set of real numbers is denoted R. The set of extended real numbers, that is, R {, }, is denoted R. The m-dimensional the vector space of ordered lists of m real numbers is denoted R m. Similarly, R N denotes the set of all sequences of real numbers. The space l p of p-summable sequences is defined by l p = { (x 1, x 2,...) R N : x k p < }. k=1 The Euclidean inner product on R m or l 2 is denoted x y and is given by m x y = x j y j for R m and j=1 x j y j for l 2. The Euclidean inner product gives rise to the Euclidean norm which is ( mk=1 x 2 k) 1/2 for R m. j=1 x = x x, In general, the norm on l p (where p 1) is given by x p = ( k=1 x k p) 1/p. The space of bounded sequences, l = { (x 1, x 2,...) R N : sup x k < }, k is given the norm x = sup x k. k KC Border: for Ec 181, Winter 2018 src: VectorSpaces v. 2018.02.20::15.55

KC Border Vector spaces 0 2 I adopt the convention of denoting the i th unit coordinate vector by e i, regardless of the dimension of the underlying space. That is, the i th coordinate of e i is one and all the others are zero. Similarly, the unit vector, which has all its components equal to one, is denoted 1, regardless of the dimension of the space. (This includes infinite-dimensional sequence spaces.) Throughout these notes I adopt David Gale s [1] notational convention which does not distinguish between row and column vectors. This means that if A is an m n matrix, and x is a vector, and I write Ax, you infer that x is an n-dimensional column vector, and if I write ya, you infer that y is an m-dimensional row vector. Similarly, I could write xy instead of x y. The notation yax means that x is an n-dimensional column vector, y is an m-dimensional row vector, and yax is the scalar ya x = y Ax. 0.1.1 R m is an ordered vector space The usual order relation on the set R of real numbers is denoted (x y means that x is greater than or equal to y) or (x y means that y is greater than or equal to x). On the vector space R m, the set of ordered m-tuples of reals, we have the following partial orders. x y x i y i, i = 1,..., m x > y x i y i, i = 1,..., m, and x y x y x i > y i, i = 1,..., m. The notations x y, etc., are defined in a similar fashion. We say that a vector x is nonnegative if x 0. x is semipositive if x > 0. x is strictly positive if x 0. Finally, R m + = {x R m : x 0} is the nonnegative orthant of R m, and R m ++ = {x R m : x 0} is the strictly positive orthant of R m. I shall try to avoid using the adjective positive by itself, since to most mathematicians it means nonnegative, but to many non-mathematicians it means strictly positive. Let me call your attention to the following fact about nonnegative vectors. While the result is simple, and almost self-evident, it is used over and over again, so it is worth giving it a name. v. 2018.02.20::15.55 src: VectorSpaces KC Border: for Ec 181, Winter 2018

KC Border Vector spaces 0 3 0.1.1 The Nonnegativity Test For p R m, the following statements are equivalent: 1. p 0. 2. ( x 0 ) [ p x 0 ]. 3. ( α R ) ( x 0 ) [ p x α ]. Similarly, these statements are equivalent: 1. p 0. 2. ( x 0 ) [ p x 0 ]. 3. ( α R ) ( x 0 ) [ p x α ]. Proof : Clearly (1) = (2) = (3). To see that (3) = (1), consider x of the form x = λe i where λ > 0. Then p x = λp i, so by (3) we have that λp i α for every λ > 0. Dividing by λ > 0 gives p i α/λ. Letting λ yields p i 0. The equivalence of the primed statements is proven similarly. 0.2 Some geometry of vector spaces 0.2.1 Sum of sets We can think of vectors as being added tip-to-tail. (See Figure 0.2.1.) This lets us visualize the sum of two sets of vectors. 0.2.1 Definition Let A and B be sets in a vector space X. The sum of A and B is A + B = {x + y X : x A, y B}. (See Figure 0.2.2.) This is sometimes called the Minkowski sum of A and B. Note that for any set A, We also write the sum so that A + =. A + y = {x + y : x A}, A + B = A + y. y B Note that A + y = A + (y x) for any x A. Also, set addition is commutative and associative: A + B = B + A, (A + B) + C = A + (B + C). KC Border: for Ec 181, Winter 2018 src: VectorSpaces v. 2018.02.20::15.55

KC Border Vector spaces 0 4 x x + y A 0 y A + B B Figure 0.2.1. The sum of two vectors. Figure 0.2.2. Sum of two sets. 0.2.2 Example Let E = {(x, y) R 2 : y 1/x and x > 0} and F = {(x, y) R 2 : y 1/x and x < 0} Draw a picture. Note that while E and F are closed, their sum E + F = {(x, y) R 2 : y > 0} is not closed. Topic 20 discusses conditions under which the sum of closed sets is closed. 0.2.3 Exercise For the following pairs of sets, sketch the sets and their sums. 1. A = {x R 2 : x 1}, B = {x R 2 : x 2} 2. A = {(ξ, 1 ξ) : 0 ξ 1}, B = {x R 2 : x 1/2}. 3. A = {(ξ, 1 ξ) : 0 ξ 1}, B = {(ξ, η) : 1/3 η/ξ 2/3, ξ 0}. 4. A = {(ξ, η) : ξ 0, η = ξ/3}, B = {(ξ, η) : ξ 0, η = 2ξ/3}. 0.2.2 Lines, segments, and rays In this section, and indeed throughout these notes the expression (1 λ)x + λy or something like it occurs so frequently that it is a good idea to have a short-hand name for it. 0.2.4 Definition Given a vector space X, the affine combination function κ: X X R X is defined by κ(x, y, λ) = (1 λ)x + λy = x + λ(y x). When X is a topological vector space (tvs) (see Definition A.11.1 in the appendix), then κ is continuous. v. 2018.02.20::15.55 src: VectorSpaces KC Border: for Ec 181, Winter 2018

KC Border Vector spaces 0 5 2 x + 1y 3 3 1x + 4y = y + 1 (y x) 1 x + 2y y 3 3 3 3 3 1 x + 1y 2 2 x 4 x 1y = x + 1 (x y) 3 3 3 Figure 0.2.3. Points on the line through x and y. 0.2.5 Definition Given two points x and y in a vector space, the line segment joining them, denoted [x, y] is given by We also write [x, y] = {(1 λ)x + λy : 0 λ 1} = {x + λ(y x) : 0 λ 1}. [x, y) = {x + λ(y x) : 0 λ < 1} = [x, y] \ {y}, (x, y] = {x + λ(y x) : 0 < λ 1} = [x, y] \ {x}, and (x, y) = {x + λ(y x) : 0 < λ < 1} = [x, y] \ {x, y}. If x y, they determine a unique line, namely {(1 λ)x + λy : λ R} = {x + λ(y x) : λ R}. Any nonzero point x determines a ray, denoted x, by x = {λx : λ 0}. A half-line is the sum of a point and a ray, that is, a set of the form where y 0. {x + λy : λ 0} = x + y, 0.3 Linear functions Recall that a function f between vector spaces is linear if f(αx + βy) = αf(x) + βf(y). Linear functions between vector spaces are often referred to as linear transformations. We treat R as a one-dimensional vector space over R. Linear functions from a vector space to R are often called linear functionals, especially if the KC Border: for Ec 181, Winter 2018 src: VectorSpaces v. 2018.02.20::15.55

KC Border Vector spaces 0 6 vector space is infinite dimensional. The set of linear functions from X to Y, denoted L(X, Y ) is itself a vector space under the pointwise operations. The space L(X, R) is called the dual space of X, and is often denoted X. A function f : R n R m is linear if and only if there is some m n matrix M such that f(x) = Mx. As such it must be continuous. In particular, f : R m R is linear if and only if there exists some vector p R m such that f(x) = p x. (Let p be the vector whose i th coordinate is f(e i ).) Every linear function on R m is continuous. In other words, the dual space R m of R m can be identified with R m. This is a very special property of R m and a few infinite-dimensional vector spaces. When infinite-dimensional spaces are involved, there can be discontinuous linear transformations! Here is a simple example. 0.3.1 Example (Discontinuous linear functional) Let X be the set of real sequences that have a limit, and let l(x) denote the limit of the sequence x = (x 1, x 2,...). Then standard properties of the limit show that X is a linear space under termwise addition and scalar multiplication, and l: X R is a linear functional. Consider the norm on X defined by x = k=1 x k 2 k. (Since every sequence that converges to a limit is bounded, it is easily verified that this is indeed a norm.) The sequence (x 1, x 2,...) in X given by x n = ( 0,..., 0, 1, 1,...) }{{} n zeroes n satisfies x n = 2 n, so x n 0 (where 0 is the sequence of zeroes), but l(x n ) = 1 for all n. Since l(0) = 0, we see that l is not continuous. Moreover, the null space of l, that is, {x X : l(x) = 0} is a dense linear subspace of X. To see this let x = (x 1, x 2,...) belong to X and let ε > 0 be given. We shall find a point y X with l(y) = 0 and x y < ε. Let lim n x n = α. Pick n large enough so that α 2 n < ε, and define and note that l(y) = 0, and y = (x 1,..., x n, x n+1 α, x n+2 α,...). x y = k=n+1 α /2 k = α 2 n < ε. v. 2018.02.20::15.55 src: VectorSpaces KC Border: for Ec 181, Winter 2018

KC Border Vector spaces 0 7 0.4 Aside: The Summation Principle The following lemma is trivial, but sufficiently useful that I have decided to give it a name. 0.4.1 Theorem Let A 1,..., A n be nonempty subsets of a vector space X, and let x i A i for i = 1,..., n. Set x = x 1 + + x n. If p: X R is a linear function, then x maximizes p over A 1 + + A n if and only if for each i, x i maximizes p over A i. The proof is a simple application of the definitions, and the fact that summation preserves inequalities. Note that we can replace maximization by minimization in the statement. 0.4.2 Exercise Write out a proof of the Summation Principle. Geometrically, maximizing p over a set Y amount to finding the highest hyperplane orthogonal to p that touches Y. See Figure 0.4.1. Draw a better picture. y Y p Figure 0.4.1. Maximizing p over Y. References [1] D. Gale. 1989. Theory of linear economic models. Chicago: University of Chicago Press. Reprint of the 1960 edition published by McGraw-Hill. KC Border: for Ec 181, Winter 2018 src: VectorSpaces v. 2018.02.20::15.55