Sums of increasing convex and increasing concave functions

DOI10.1016/0167-6377(86)90070-2MaRDI QIDQ581222zbMATH OpenOpenAlexFDO

Authors Dominique Thon, Lars Thorlund-Petersen

Publication date 1986

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6377(86)90070-2

zbMATH Keywords

complementary slacknessdifference of convex functionsmajorization

Mathematics Subject Classification ID

Representation and superposition of functions (26B40) Operations research and management science (90B99) Mathematical programming (90C99) Utility theory (91B16)

Review text

A necessary and sufficient condition is given for a function t(x) to be representable as a sum of an increasing convex function r(x) and an increasing concave function s(x). The representation is shown to be unique (i.e. \(r_ 1-r_ 2=s_ 1-s_ 2\) is an affine function for any two possible representations \((r_ 1\), \(r_ 2)\), \((s_ 1\), \(s_ 2))\) if a complementary slackness condition is required, which reduces to \(r(x)s(x)=0\) when both second derivatives of r(x) and s(x) exist. This function class has applications to the theory of majorization.

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Cites work

• Another Proof that Convex Functions are Locally Lipschitz
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• Inequalities: theory of majorization and its applications
• Stochastic dominance and Friedman-Savage utility functions

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