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Subdifferential of a Real-Valued Function on a Convex Subset of Rn\mathbb{R}^n

Defines the subdifferential of a real-valued function on a convex subset of Euclidean space at a point as the set of vectors whose associated affine function minorises the function and agrees with it at that point, and calls its elements subgradients.

Statement

Let nn be a natural number with 1≤n1\le n and let R\mathbb{R} be the real numbers with the order ≤\le of their ordered field structure. Regard Euclidean space Rn\mathbb{R}^{n} as a real vector space, with the sum of points and the scalar multiple, and write y−xy-x and q⋅zq\cdot z for the difference and dot product of points of Rn\mathbb{R}^{n}.

Let C⊆RnC\subseteq\mathbb{R}^{n} be convex, let f:C→Rf:C\to\mathbb{R}, and let x∈Cx\in C.

The subdifferential of ff at xx relative to CC is the subset of Rn\mathbb{R}^{n}

∂Cf(x)={ q∈Rn : f(y)≥f(x)+q⋅(y−x)  for every y∈C }.\partial_{C}f(x)=\bigl\{\,q\in\mathbb{R}^{n}\ :\ f(y)\ge f(x)+q\cdot(y-x)\ \text{ for every }y\in C\,\bigr\}.

An element qq of ∂Cf(x)\partial_{C}f(x) is called a subgradient of ff at xx relative to CC.

When the set CC is clear from the context the subdifferential is also written ∂f(x)\partial f(x).

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