Properties of the Subdifferential

Oct 13, 2025 by wbrum.org 85 views

Introduction

In the realm of optimization, understanding the subdifferential of a function is crucial for analyzing its behavior and making informed decisions. The subdifferential of a function $f$ at a point $x$ is a set of all subgradients of $f$ at $x$ . In this article, we will delve into the concept of subdifferential and explore how to identify it for a specific function $f(x) = \| x\|_1 = \displaystyle\sum_{i=1}^n |x_i|$ for $x \in \mathbb{R}^n$ .

What is a Subdifferential?

The subdifferential of a function $f$ at a point $x$ is a set of all subgradients of $f$ at $x$ . A subgradient of $f$ at $x$ is a vector $g$ such that for all $y$ in the domain of $f$ , the following inequality holds:

f(y) \geq f(x) + g^T(y - x)

In other words, a subgradient of $f$ at $x$ is a vector that provides a lower bound on the function value at any point $y$ in the domain of $f$ , relative to the function value at $x$ .

Properties of the Subdifferential

The subdifferential of a function $f$ at a point $x$ has several important properties:

It is a closed convex set.
It is non-empty if and only if $f$ is subdifferentiable at $x$ .
It is a singleton if and only if $f$ is differentiable at $x$ .

Identifying the Subdifferential of $f(x) = \| x\|_1$

To identify the subdifferential of $f(x) = \| x\|_1 = \displaystyle\sum_{i=1}^n |x_i|$ for $x \in \mathbb{R}^n$ , we need to find all subgradients of $f$ at each point $x$ .

Case 1: $x = 0$

When $x = 0$ , the function value is $f(0) = 0$ . Any vector $g$ satisfies the subgradient inequality, so the subdifferential at $x = 0$ is the entire space $\mathbb{R}^n$ .

Case 2: $x \neq 0$

When $x \neq 0$ , the function value is $f(x) = \displaystyle\sum_{i=1}^n |x_i|$ . We can rewrite this as $f(x) = \displaystyle\sum_{i=1}^n x_i$ if $x_i \geq 0$ and $f(x) = \displaystyle\sum_{i=1}^n -x_i$ if $x_i < 0$ .

Let $I = \{i: x_i \geq 0\}$ and $J = \{i: x_i < 0\}$ . Then, we can write the function value as $f(x) = \displaystyle\sum_{i \in I} x_i - \displaystyle\sum_{j \in J} x_j$ .

A subgradient of $f$ at $x$ is a vector $g$ such that for all $y$ in the domain of $f$ , the following inequality holds:

f(y) \geq f(x) + g^T(y - x)

We can rewrite this as:

\displaystyle\sum_{i \in I} y_i - \displaystyle\sum_{j \in J} y_j \geq \displaystyle\sum_{i \in I} x_i - \displaystyle\sum_{j \in J} x_j + g^T(y - x)

Simplifying this, we get:

\displaystyle\sum_{i \in I} (y_i - x_i) - \displaystyle\sum_{j \in J} (y_j - x_j) \geq g^T(y - x)

This inequality holds for all $y$ in the domain of $f$ , so we can conclude that:

g_i = 1 \text{ if } i \in I \text{ and } g_j = -1 \text{ if } j \in J

Therefore, the subdifferential of $f$ at $x$ is the set of all vectors $g$ such that:

g_i = 1 \text{ if } i \in I \text{ and } g_j = -1 \text{ if } j \in J

Conclusion

In this article, we have identified the subdifferential of the function $f(x) = \| x\|_1 = \displaystyle\sum_{i=1}^n |x_i|$ for $x \in \mathbb{R}^n$ . We have shown that the subdifferential at $x = 0$ is the entire space $\mathbb{R}^n$ , and the subdifferential at $x \neq 0$ is the set of all vectors $g$ such that $g_i = 1$ if $i \in I$ and $g_j = -1$ if $j \in J$ , where $I$ and $J$ are the sets of indices of positive and negative components of $x$ , respectively.

References

Clarke, F. H. (2013). Optimization and Nonsmooth Analysis. SIAM.
Rockafellar, R. T. (1970). Convex Analysis. Princeton University Press.
Borwein, J. M., & Lewis, A. S. (2000). Convex Analysis and Nonlinear Optimization. Springer.

Q: What is the subdifferential of a function $f$ ?

A: The subdifferential of a function $f$ at a point $x$ is a set of all subgradients of $f$ at $x$ . A subgradient of $f$ at $x$ is a vector $g$ such that for all $y$ in the domain of $f$ , the following inequality holds:

f(y) \geq f(x) + g^T(y - x)

Q: What are the properties of the subdifferential of a function $f$ ?

A: The subdifferential of a function $f$ at a point $x$ has several important properties:

It is a closed convex set.
It is non-empty if and only if $f$ is subdifferentiable at $x$ .
It is a singleton if and only if $f$ is differentiable at $x$ .

Q: How do you identify the subdifferential of $f(x) = \| x\|_1 = \displaystyle\sum_{i=1}^n |x_i|$ for $x \in \mathbb{R}^n$ ?

A: To identify the subdifferential of $f(x) = \| x\|_1 = \displaystyle\sum_{i=1}^n |x_i|$ for $x \in \mathbb{R}^n$ , we need to find all subgradients of $f$ at each point $x$ . We can do this by considering two cases: $x = 0$ and $x \neq 0$ .

Q: What is the subdifferential of $f(x) = \| x\|_1 = \displaystyle\sum_{i=1}^n |x_i|$ at $x = 0$ ?

A: When $x = 0$ , the function value is $f(0) = 0$ . Any vector $g$ satisfies the subgradient inequality, so the subdifferential at $x = 0$ is the entire space $\mathbb{R}^n$ .

Q: What is the subdifferential of $f(x) = \| x\|_1 = \displaystyle\sum_{i=1}^n |x_i|$ at $x \neq 0$ ?

A: When $x \neq 0$ , the function value is $f(x) = \displaystyle\sum_{i=1}^n |x_i|$ . We can rewrite this as $f(x) = \displaystyle\sum_{i=1}^n x_i$ if $x_i \geq 0$ and $f(x) = \displaystyle\sum_{i=1}^n -x_i$ if $x_i < 0$ .

Let $I = \{i: x_i \geq 0\}$ and $J = \{i: x_i < 0\}$ . Then, we can write the function value as $f(x) = \displaystyle\sum_{i \in I} x_i - \displaystyle\sum_{j \in J} x_j$ .

A subgradient of $f$ at $x$ is a vector $g$ such that for all $y$ in the domain of $f$ , the following inequality holds:

f(y) \geq f(x) + g^T(y - x)

We can rewrite this as:

\displaystyle\sum_{i \in I} y_i - \displaystyle\sum_{j \in J} y_j \geq \displaystyle\sum_{i \in I} x_i - \displaystyle\sum_{j \in J} x_j + g^T(y - x)

Simplifying this, we get:

\displaystyle\sum_{i \in I} (y_i - x_i) - \displaystyle\sum_{j \in J} (y_j - x_j) \geq g^T(y - x)

This inequality holds for all $y$ in the domain of $f$ , so we can conclude that:

g_i = 1 \text{ if } i \in I \text{ and } g_j = -1 \text{ if } j \in J

Therefore, the subdifferential of $f$ at $x$ is the set of all vectors $g$ such that:

g_i = 1 \text{ if } i \in I \text{ and } g_j = -1 \text{ if } j \in J

Q: What are some common applications of the subdifferential of a function $f$ ?

A: The subdifferential of a function $f$ has several important applications in optimization and machine learning, including:

Convex optimization: The subdifferential of a function $f$ is used to analyze the convexity of $f$ and to find the optimal solution of a convex optimization problem.
Nonlinear programming: The subdifferential of a function $f$ is used to analyze the nonlinearity of $f$ and to find the optimal solution of a nonlinear programming problem.
Machine learning: The subdifferential of a function $f$ is used to analyze the behavior of $f$ and to find the optimal solution of a machine learning problem.

Q: How do you compute the subdifferential of a function $f$ in practice?

A: Computing the subdifferential of a function $f$ in practice can be challenging, especially for complex functions. However, there are several algorithms and techniques that can be used to compute the subdifferential of $f$ , including:

Subgradient methods: Subgradient methods are a class of algorithms that use the subdifferential of a function $f$ to find the optimal solution of a convex optimization problem.
Proximal gradient methods: Proximal gradient methods are a class of algorithms that use the subdifferential of a function $f$ to find the optimal solution of a convex optimization problem.
Convex optimization software: Convex optimization software, such as CVXPY and CVX, can be used to compute the subdifferential of a function $f$ and to find the optimal solution of a convex optimization problem.

Q: What are some common mistakes to avoid when computing the subdifferential of a function $f$ ?

A: When computing the subdifferential of a function $f$ , there are several common mistakes to avoid, including:

Not checking the convexity of $f$ : The subdifferential of a function $f$ is only defined for convex functions. Therefore, it is essential to check the convexity of $f$ before computing its subdifferential.
Not using a suitable algorithm: There are several algorithms that can be used to compute the subdifferential of a function $f$ . However, not all algorithms are suitable for all functions. Therefore, it is essential to choose a suitable algorithm for the specific function $f$ .
Not checking the accuracy of the subdifferential: The subdifferential of a function $f$ is a set of vectors. Therefore, it is essential to check the accuracy of the subdifferential before using it to find the optimal solution of a convex optimization problem.