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Existence and Uniqueness of the Proximal Minimiser of a Convex Function

For a convex function on Euclidean space and any point xx, the function z↦f(z)+12∥x−z∥2z\mapsto f(z)+\tfrac12\lVert x-z\rVert^2 attains its minimum at exactly one point.

Statement

We work in the setting of Product Measures and Lebesgue Measure on ℝⁿ: Standing Notation and Background, whose notation is fixed for every dimension and is used here with a natural number nn satisfying 1≤n1\le n: the real numbers, and the Euclidean norm ∥ ⋅ ∥\lVert\,\cdot\,\rVert, dot product, distance dEd_{E}, topology, the notions of open, closed, bounded and compact subsets, and the closed balls Bˉ(x,r)\bar{B}(x,r), are as fixed there.

Let f:Rn→Rf:\mathbb{R}^{n}\to\mathbb{R} be convex on Rn\mathbb{R}^{n}, which is a convex subset of itself, and let x∈Rnx\in\mathbb{R}^{n}. Define ϕx:Rn→R\phi_{x}:\mathbb{R}^{n}\to\mathbb{R} by

ϕx(z)=f(z)+12∥x−z∥2.\phi_{x}(z)=f(z)+\tfrac{1}{2}\lVert x-z\rVert^{2}.

Then the following holds.

1. (A unique minimiser) There is exactly one y∈Rny\in\mathbb{R}^{n} such that ϕx(y)≤ϕx(z)\phi_{x}(y)\le\phi_{x}(z) for every z∈Rnz\in\mathbb{R}^{n}.

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