Consider the function f(x,y) = x^2 * exp(y). Its Hessian is -2 * x^2 * exp(2 * y) which is negative for any non-zero x, while f is convex.
What is the story about Hessian being positive for convex functions?
So, the wiki on convex functions says the following:
Based on this statement, your function f is not convex. The Hessian is negative semidefinite.More generally, a continuous, twice differentiable function of several variables is convex on a convex set if and only if its Hessian matrix is positive semidefinite on the interior of the convex set.
Your function certainly seems like it should be convex. However, it is not. The product of two convex functions is not necessarily convex. Counterexample: on the interval Both and are convex on that interval (indeed, for the whole real line).
If I were to produce a counterexample for your function, I would have to use two points whose x and y coordinates both differ, because obviously, is convex in for positive , and is convex in for positive . So if the function is not convex, the secret must lie with how the two variables interact.
Look at this plot of the function in Mathematica.
The flat regions really extend upward: this is Mathematica's way of chopping off the function. It's actually helpful in this circumstance. Here and You can see for yourself that if I take the two points and , and connect those two points with a line, the line would at some point pass under the graph of the function. Therefore, I claim this function is not convex. You would need to produce your own bona fide counterexample in order to provide a rigorous proof. But there it is.
Does this help?
Ok. Then show me why my counterexample doesn't work (why it doesn't show that the function is not convex).I do not agree, x^2 * exp(y) is convex.
Even if your g(x,y) is convex, that would not prove that f(x,y) is convex. The product of two convex functions can be convex. Example: . I'm saying that the product of two convex functions is not always convex. I have given you an irrefutable example of that in post # 5.
Therefore, showing that f(x,y) is the product of two convex functions is not enough to prove that f(x,y) is convex! You have to do more than that.
You would have to tell me which points in R^3 you want to connect. If these are points on the graph of f(x,y)=x^2*exp(y), then the segment will lie above the graph of f.
Tn the case of g(x,y)=exp(x+y) the Hessian is IDENTICALLY zero - it is like having the zecond derivative ALWAYS zero - then your function is linear.
I am waiting until you admit that the story with positive Hessian of a convex function is a lie.
Connect the two points and The line segment connecting the two is given by
for Pick Then the line segment at that point has the vector
The -coordinate is approximately .
We can read off the and coordinates corresponding to as and . Therefore, we compute
The line segment has a -value less than the function value at the point corresponding to . Therefore, the function is not convex. QED.
Which is why, when applying the multi-dimensional 2nd Derivative Test, you also have to test at your points, if you're doing extrema-finding. does change sign when the function changes sign. Wiki doesn't mention this on the convexity page, but this might also be a requirement when testing for convexity.
Is there any confusion remaining?