SECTION 10

Continuity ef Convex Functions

The closure operation for convex functions alters a function "slightly"
to make it lower semi-continuous. We shall now describe some common
situations where a convex function/ is automatically upper semi-continuous,
so that cl f (or f itself to the extent that it agrees with cl/) is actually
continuous. Uniform continuity and equicontinuity will also be con-
sidered. In every case, a strong conclusion about continuity follows from
an elementary hypothesis, because of convexity.
A function/ on Rn is said to be continuous relative to a subset S of Rn if
the restriction off to S is a continuous function. Continuity relative to S
means, in other words, that, for x ES, f(y) has to approach /(x) as y
approaches x along S, but not necessarily as y approaches x from the
outside of S.
The following continuity theorem is the most important, although
stronger results will be stated in Theorems 10.2 and 10.4.
THEOREM 10.1. A convex function f on Rn is continuous relative to any
relatively open convex set C in its effective domain, in particular relative to
ri (dom/).
PROOF. The function g which agrees with f on C but is + oo everywhere
else has C as its effective domain. Replacing f by g if necessary, we can
reduce the theorem to the case where C = domf We can also assume
without loss of generality that C is n-dimensional (and hence open,
rather than merely relatively open). If f is improper, it is identically -oo
on C (Theorem 7.2), and continuity is trivial. Assume therefore that f is
proper, i.e. finite on C. We have (cl/)(x) = f(x) for x EC (Theorem 7.4),
so f is lower semi-continuous on C. To prove continuity, it suffices to
prove that the level sets {x lf(x) 2 a} are all closed, since that will imply
f is upper semi-continuous everywhere (Theorem 7.1). Since C = domf
is open, we have by Lemma 7.3 that
int (epi/) = {(x, µ)Iµ > /(x)}.
Therefore, for any a ER, {x lf(x) < a} is the projection on Rn of the (open
convex) intersection of int (epi/) and the half-space {(x, µ)Iµ <a} in

82
 §10. CONTINUITY OF CONVEX FUNCTIONS 83
Rn+i, implying that {x lf(x) < O'.} is open and its complement
{x lf(x) 2 O'.} is closed. I
COROLLARY 10.1.1. A convex function finite on all of Rn is necessarily
continuous.
One source of usefulness of this continuity result is the fact that con-
vexity is preserved by certain operations that could not usually be expected
to preserve continuity.
For example, let f be a real-valued function on Rn x T (where Tis an
arbitrary set), such that/(x, t) is convex as a function of x for each t and
bounded above as a function oft for each x. (This situation would arise,
say, if one had a finite convex function on Rn continuously dependent on
the time t over a certain closed interval T.) Then
h(x) =sup {f(x, t) It ET}
depends continuously on x. To deduce this from Corollary 10.1.1, one
only has to observe that h is finite everywhere by hypothesis and, being a
pointwise supremum of a collection of convex functions, h is convex.
As another interesting example, consider any convex function f finite
on all of Rn and any non-empty convex set C in Rn. For each x E Rn, let
h(x) be the infimum of/ over the translate C + x. We claim h(x) depends
continuously on x. In the first place,
h(x) = infz {f(x - z) + o(z I -C)} = (! D g)(x)
where g is the indicator function of -C. Thus his a convex function on Rn.
Since/ is finite everywhere, dom h =Rn. Therefore, either his identically
- oo or it is finite everywhere (Theorem 7.2). At all events, h is
continuous.
What can be said about continuity at relative boundary points of
effective domains? Here is an instructive example of what can go wrong.
On R 2 , let

{+
~~/U1 if ~1 > 0,
f(~i. ~2) = 0 if ~1 = 0, ~2 = 0,
oo otherwise.
As a matter of fact, f is the support function of the parabolic convex set

c = {(~1' ~2) I ~1 + (~~/2) ~ O},

whence its convexity. Observe that f is continuous everywhere, except at
(0, 0), where it is only lower semi-continuous. The limit of/( ~i. ~ 2 ) is O'.
as ( ~i. ~2 ) approaches (0, 0) along the parabolic path with ~ 1 = ~~/20'.; here
O'. can be any positive real number. However, the limit is 0 along any line
segment joining the origin to a point x in the open right half-plane; this
84 II: TOPOLOGICAL PROPERTIES

can be seen directly, but it also follows from Theorem 7.5. Trouble only
arises, it seems, when the origin is approached along a path "tangent"
to the boundary of domf When the path stays within a fixed simplex in
domf having the origin as one vertex, the limit is 0 = f(O, 0).
The example leads one to conjecture that a closed convex function is
necessarily continuous on any simplex in its effective domain. The con-
jecture is valid in the case where the simplex is a line segment, by Corollary
7.5.1. We shall show that an even stronger conjecture is actually valid in
general.
Let us agree to agree to call a subset S of Rn locally simplicial if for
each x ES there exists a finite collection of simplices Si, ... , Sm con-
tained in S such that, for some neighborhood U of x,
U n (Si U · · · U Sm) = U n S.
A locally simplicial set need not be convex or closed. The class of locally
simplicial sets includes, besides line segments and other simplices, all
polytopes and polyhedral convex sets. This will be verified later, in
Theorem 20.5. It also includes all relatively open convex sets.
In the proof below, we shall make use of the following intuitively obvious
fact. Let C be a simplex with vertices x 0 , Xi, . . . , xm, and let x E C. Then
C can be triangulated into simplices having x as a vertex, i.e. each y EC
belongs to a simplex whose vertices are x and m of them + 1 vertices of C.
(The argument can obviously be reduced to the case where x cannot be
expressed as a convex combination of fewer than m + 1 of the vertices of
C, i.e. the case where x E ri C. Each y EC lies on some line segment
joining x with a relative boundary point z of C. This z can be expressed as a
convex combination of m vertices of C, say Xi, ••. , xm. The points
x, Xi, ••• , Xm are affinely independent, and the simplex they generate
contains y.)
THEOREM 10.2. Let f be a convex function on Rn, and let S be any
locally simplicial subset of dom f Then f is upper semi-continuous relative
to S, so that if f is closed f is actually continuous relative to S.
PROOF. Let x ES, and let Si, ... , Sm be simplices in S such that some
neighborhood of x has the same intersection with Si U · · · U Sm as it
has with S. Each of the simplices S; which contains x can be triangulated
into finitely many other simplices, each having x as one vertex, as explained
above. Let the simplices obtained this way be Ti. . .. , Tk. Thus each Ti
has x as one of its vertices, and some neighborhood of x has the same
intersection with Ti U · · · U Tk as it has with S. If we can show that f
is upper semi-continuous at x relative to each of the sets Ti, it will
follow that f is upper semi-continuous at x relative to Ti u · · · u Tk,
 §10. CONTINUITY OF CONVEX FUNCTIONS 85
and hence that f is upper semi-continuous at x relative to S. Thus the
argument is reduced to showing that, if Tis a simplex contained in <lorn/
and xis a vertex of T, then/ is upper semi-continuous at x relative to T.
There is no loss of generality in supposing that T is n-dimensional. In
fact, applying an affine transformation if necessary, we can suppose that
x = 0 and that the vertices of T other than 0 are e 1 = (1, 0, ... , 0),
... , e,. = (0, ... , 0, 1). Then for any z = ai. ... ,
'n) in T we have

by the convexity off (This holds even though f might be improper; the
expression oo - oo cannot arise here because f nowhere has the value
+ oo on T.) The "Jim sup" of the left side of this inequality as z goes to
0 in T cannot exceed the "Jim sup" of the right side, which is f (0). Thus
f is upper semi-continuous at 0 relative to T. II
The uses of Theorem 10.2 are well demonstrated by the following
application to the problem of extensions.
THEOREM 10.3. Let C be a locally simplicial convex set, and let f be a
finite convex function on ri C which is bounded above on every bounded
subset ofri C. Then/ can be extended in one and only one way to a continuous
finite convex function on the whole of C.
PROOF. Set/(x) = + oo for x tf- ri C, and form elf The function elf
is convex, closed and proper, and it agrees with/ on ri C (Theorem 7.4),
moreover, elf is finite on the relative boundary of C by the boundedness
condition on f By Theorem 10.2, cl f is continuous on C. Thus the
restriction of cl/to C is a continuous finite convex extension of/. There can
be only one such extension, since C c cl (ri C). II
The extension in Theorem 10.3 can be effected, of course, by setting/(x)
(for a relative boundary point x of C) equal to the limit of f(y) as y
approaches x along any line segment joining x with a point of ri C.
As an example, consider the case where C is the non-negative orthant
of Rn (which is locally simplicial according to Theorem 20.5). The
interior of C is the positive orthant. Let/ be any finite convex function on
the positive orthant which is non-decreasing, in the sense that/ai. ... , ~n)
is a non-decreasing function of ~ 1 for j = I, ... , n. For each positive real
number A., we have

for all the vectors x = ( ~ 1 , • . . , ~n) such that 0 < ~ 1 ~ A. for all j.
Therefore f is bounded above on every bounded subset of the positive
orthant. [ t follows from Theorem 10.3 that f can be extended uniquely to
86 II: TOPOLOGICAL PROPERTIES

a finite continuous (non-decreasing) convex function on the whole non-

negative orthant.
A real-valued function f on a set S c R" will be called Lipschitzian
relative to S if there exists a real number a 2: 0 such that

lf(y) - /(x)I ~ 'l. ly - xi, 'VyE S, 'VxE S.

This condition implies in particular that/is uniformly continuous relative
to S.
The following theorem gives a significant refinement of Theorem IO.I.
THEOREM 10.4. Let f be a proper coni-ex function, and let S be any
closed bounded subset ofri (dom/). Then/ is Lipschitzian relative to S.
PROOF. There is no loss of generality if we suppose that domf is
n-dimensional in Rn, so that S is actually in the interior of dom f Let B
be the Euclidean unit ball. For each s > 0, S + sB is a closed bounded set
(the image of the compact set S x B under the continuous transformation
(x, u) ~ x + cu). The nest of sets

(S + sB) n (R" \int (dom/)), c > 0,

has an empty intersection, and hence one of the sets in the nest is empty.
Hence, for a certain s > 0,

S + sB c int (dom/).
By Theorem 10.1, f is continuous on S + sB. Since S + sB is a closed
bounded set, it follows that f is bounded on S + sB. Let a 1 and a 2 be
lower and upper bounds, respectively. Let x and y be any two distinct
points in S, and let
z = y + (s/ly - xl)(y - x).
Then z E S + sB and
y =(I - A)X +AZ, A = ly - xl/(c + ly - xi).
From the convexity off, we have
f(y) ~ (I - A)f(x) + }j(z) = /(x) + -1(/(z) - f(x))
and consequently

This inequality is valid for any x and yin S, so f is Lipschitzian relative to

s. 11
A finite convex function f on Rn is uniformly continuous, even Lip-
schitzian, relative to every bounded set by Theorem 10.4, but/ need not be
 §10. CONTINUITY OF CONVEX FUNCTIONS 87
uniformly continuous or Lipschitzian relative to R" as a whole. The
circumstances under which f has these additional properties will now be
described.
THEOREM 10.5. Letf be afinite convex function on Rn. In order that/
be uniformly continuous relative to Rn, it is necessary and sufficient that the
recession function JO+ off be finite everywhere. In this etient, f is actually
Lipschitzian relative to Rn.
PROOF. Suppose that f is uniformly continuous. Choose any s > 0.
o
There exists a > 0 such that lzl ~ implies o
f(x + z) - j(x) ~ s, Vx.

For this o, one has (jO+)(z) ~ s when lzl ~ o, by the first formula in
Theorem 8.5. Since JO+ is a positively homogeneous proper convex
function, this implies JO+ is finite everywhere.
Conversely, suppose JO+ is finite everywhere. Then JO+ is continuous
everywhere, according to Corollary 10.1.1, and hence
oo >a= sup {(JO+)(z) I lzl =I}
=sup {lz1- 1 (fO+)(z) I z-¥- O}.
It follows that

a ly - xi 2. (JO+)(y - x) 2.f(y) - f(x), Vx, Vy

(Corollary 8.5.1). Thus f is Lipschitzian and in particular uniformly
continuous relative to R". I
COROLLARY I 0.5.1. A finite convex function f is Lipschitzian relative to
R" if
Jim inf f ().y)/). < oo, Vy.
;.~oo

PROOF. The limit equals (JO+)(y) by Theorem 8.5.

COROLLARY I 0.5.2. Let g be any finite convex function Lipschitzian
relative to Rn (for instance, g(x) = a lxl + fJ, a > 0). Then every finite
convex function f such that f ~ g is likewise Lipschitzian relative to Rn.
PROOF. One has JO+ ~ gO+ when f ~ g. I
Theorem 10.5 will be dualized in Corollary 13.3.3.
We turn now to the continuity properties of collections of convex
functions and closely related properties of convergence.
Let u; I i EI} be a collection of real-valued functions on a subset s of
Rn. We shall say that {f; Ii
EI} is equi-Lipschitzian relative to S if there
exists a real number a 2_ 0 such that
lf;(y) - /;(x)I ~ a ly - xi, Vy ES, Vx ES, ViE I.
88 II: TOPOLOGICAL PROPERTIES

When this condition is satisfied, the collection is in particular uniformly

equicontinuous relative to S, i.e. for every s > 0 there exists a b > 0 such
that
IJ;(y) - /;(x)I ~ s, 'ViE l,

whenever y ES, x ES and ly - xi ~ b. The collection {f; I i EI} is said

to be pointwise bounded on S, of course, if the set of real numbers /;(x),
i EI, is bounded for each x E S. It is said to be uniformly bounded on S
if there exist real numbers a 1 and a 2 such that

Vx ES, 'ViE [.

THEOREM 10.6. Let C be a relath-ely open convex set, and let {f; I i EI}
be an arbitrary collection of convex functions finite and pointwise bounded
on C. Let S be any closed bounded subset of C. Then {f; I i E I} is uniformly
bounded on Sand equi-Lipschitzian relative to S.
The conclusion remains valid if the pointwise boundedness assumption is
weakened to the following pair of assumptions:
(a) There exists a subset C' of C such that conv (cl C') :::::> C and
sup {f;( x) I i EI} is finite for every x E C';
(b) There exists at least one x EC such that inf {f;(x) EI} is finite. Ii
PROOF. There is no loss of generality if we suppose that C is actually
open. Assuming (a) and (b), we shall show that {f; I i EI} is uniformly
bounded on every closed bounded subset of C. The equi-Lipschitzian
property will then follow by the proof of Theorem 10.4, since the Lip-
schitz constant a constructed in that proof depended only on the given
lower and upper bounds a 1 and a 2 • Let

f(x) =sup {f;(x) Ii EI}.

This f is a convex function, and by (a) we have, since cl dom/ contains
cl C' and hence conv cl C' and C,

domf :::::> int (cl (dom/)) :::::> int C = C.

(The first inclusion holds by Theorem 6.3, since domf is convex.) There-
fore /is continuous relative to C (Theorem IO. I). [n particular ,fis bounded
above on every closed bounded subset of C, i.e. {f; EI} is uniformlyIi
bounded from above on every closed bounded subset of C. To prove that
{f, I i EI} is also uniformly bounded from below on every closed bounded
subset of C, it is enough to construct a continuous real-valued function g
such that
f;(x) 2 g(x), 'VxEC, Vi E [.
 §10. CONTINUITY OF CONVEX FUNCTIONS 89
Making use of (b), select any point x EC such that
< {J1 = inf {f;(i) I i E /}.
- oo
Choose s > 0 so small that i + sB c C, where B is the Euclidean unit
ball, and let {J 2 be a positive upper bound to the values off on x + sB.
Given any x EC, x -¥- .\', we have i = (I - ,1).:: + AX for

z x + (s/I.\' -
= xl)(i - x),

A = s/(s + Ii - xi).

Since 0 <A< 1 and I= - ii= s, we have (for any iE /)

{J1 ~f;(i) ~ (I - .1)f;(z) + .1f;(x)
~ (I - -1){J2 + -1f,(x) ~ {J 2 + Af;(x)
and consequently

The quantity on the right depends continuously on x. The inequality is

valid for every x E C and every i EI, so the theorem is proved. II
THEOREM 10.7. Let C be a relath'ely open com·ex set in R", and let T
be any locally compact topological space (for instance, any open or closed
subset of Rm). Letf be a real-valued function on C X T such thatf(x, t) is
convex in x for each t E T and continuous in t for each x EC. Then f is
continuous on C X T, i.e.f(x, t) is jointly continuous in x and t.
The conclusion remains rnlid 1f the assumption about continuity in t is
weakened to the following: there exists a subset C' of C such that cl C' :::::> C
and f( x, ·) is a continuous function on T for each x E C'.
PROOF. Let (x 0 , t0 ) be any point of C x T. Let T 0 be any compact
neighborhood of t0 in T. For each x EC', the function f(x, ·) is con-
tinuous on T0 and hence bounded on T 0 • Thus{!(·, t) I t E T0} is a collection
of finite convex functions on C which is pointwise bounded on C'. It
follows from Theorem 10.6 that the collection·{!(·, t) It E T0} is equi-
Lipschitzian on closed bounded subsets of C and in particular equi-
o
continuous at x 0 • Given any s > 0, we can therefore find a > 0 such that

l/(x, t) - f(x 0 , t)I ~ s/4,

whenever Ix - x 0 ~ o. Let x 1 be a point of C' such that lx 1 - x0 ~ o.

1 1

Sincef(xi. ·)is continuous at t 0 , we can find a neighborhood V of t 0 in T 0

such that
Vt Ev.
90 II: TOPOLOGICAL PROPERTIES

For any (x, t) such that Ix - x 0 1 ~ oand t EV, we have

lf(x, t) - f(x 0 , t0 )1 ~ + lf(x t) - /(xi. t)I
lf(x, t) - f(x 0 , t)I 0,

+ lf(xi. t) - /(x1, to)I + lf(x1, to) - f(xo, to)I

~ (s/4) + (s/4) + (s/4) + (s/4) = s.

This shows that/ is continuous at (x 0 , t 0 ). II

THEOREM 10.8. Let C be a relatively open convex set, and letf1 ,f2 , • •• •
be a sequence of finite convex functions on C. Suppose that the sequence
converges pointwise on a dense subset of C, i.e. that there exists a subset
C' of C such that cl C' :::::> C and, for each x EC', the limit of f 1 (x),
/ 2 (x), ... , exists and is finite. The limit then exists for every x EC, and the

function f, where
f(x) = limf;(x),
i-+oo

is finite and convex on C. Moreover the sequence / 1 , /2 , ••• , converges to f

uniformly on each closed bounded subset of C.
PROOF. There is no loss of generality if we assume C to be open. The
collection {f; I i = 1, 2, ... } is pointwise bounded on C', and hence by
Theorem 10.6 it is equi-Lipschitzian on each closed bounded subset of C.
Let S be any closed bounded subset of C. Let S' be a closed bounded
subset of C such that int S' :::::> S. (The argument which establishes the
existence of S' is given at the beginning of the proof of Theorem 10.4.)
There exists a real number a > 0 such that
lf;(y) - /;(x)I ~ a ly - xi, Vy ES', Vx ES', Vi.
Given any s > 0, there exists a finite subset C~ of C' n S' such that each
point of S lies within the distance s/3a of at least one point of C~. Since
C~ is finite and the functions/; converge pointwise on C~, there exists an
integer i 0 such that
lf;(z) - /i(z)I ~ s/3, V:: EC~.

Given any x ES, let z be one of the points of C~ such that I:: - xi ~ s/3a.
Then, for every i 2 i0 and j 2 i 0 , we have
lf;(x) - / 1(x)I ~ lf;(x) - /;(z)I + If;(::) - Ji(::)I + I~(::) - Ji(x)I
~a Ix - zl + (s/3) + I:: - xi ~ s.
'Y.

This proves that, given any s > 0, there exists an integer i 0 such that
lf;(x) - /i(x)I ~ s, Vx ES.
It follows that, for each x ES, the real numbers/1(x),f2 (x), ... , form a
 §10. CONTINUITY OF CONVEX FUNCTIONS 91
Cauchy sequence, so that the limit f(x) exists and is finite. Moreover,
given any s > 0, there exists an integer i 0 such that
lf,(x) - f(x)I = Jim lf;(x) - jj(x)I ~ s, Vx ES,
j-oo

Thus the functions f; converge to f uniformly on S. Since S was any closed

bounded subset of C, we may conclude in particular that f exists through-
out C. Of course, the convexity inequality
/;((! - Jc)x + Jcy) ~ (I - Jc)f;(x) + Jcf;(y)
is preserved for each x EC, y EC and A E [O, l] as i ~ oo, so f is
convex. II
COROLLARY 10.8.1. Let f be a finite convex function on a relatively open
convex set C. Let fi.f2 , ••• , be a sequence offinite convex functions on C
such that
Jim sup J;(x) ~ f (x), Vx EC.
i-oo

Then, for each closed bounded subset S of C and each c > 0, there exists
an index i 0 such that
f;(x) ~f(x) + s, Vx ES.

PROOF. Let g;(x) = max {j~(x),f(x)}. The sequence of finite convex

functions g; converges pointwise to f on C, and hence it converges uni-
formly to f on S. II
THEOREM 10.9. Let C be a relativeZv open convex set, and letf1 ,j;_, ... ,
be a sequence offinite convex functions on C. Suppose that the real number
sequence f 1 (x),f;.(x), ... , is bounded for each x EC (or merely for each
x EC', where C' is a dense subset of C). It is then possible to select a
subsequence of f 1 ,f2 , ••• , which converges uniformly on closed bounded
subsets of C to some finite convex function f
PROOF. A basic fact is needed: if C' is any subset of Rn, there exists a
countable subset C" of C' such that cl C" :::::> C'. (Outline of proof: let Q1
be the collection of all closed (Euclidean) balls in Rn whose centers have
rational coordinates and whose radii are rational. Let Q be the sub-
collection consisting of the balls in Q1 which have a non-empty intersec-
tion with C'. Form C" by selecting a point of D n C' for each DE Q.)
WeapplythisfacttoasubsetC'ofCsuch thatclC' :::::> Cand{f;(x) Ii=
1, 2, ... ,} is bounded for every x EC'. The C" we obtain has these same
properties, and it is countable as well. fn view of Theorem 10.8, all we
need to show is that there is a subsequence of fi.h., ... , converging
pointwise on C". Let x 1 , x 2 , ••• , be the elements of C" arranged in a
92 II: TOPOLOGICAL PROPERTIES

sequence. The real number sequence {f;(xi) I i = I, 2, ... } is bounded,

and consequently it has at least one convergent subsequence. Thus we can
find a real number cxi and an infinite subset Ii of {I, 2, ... }, such that the
values of the functions/; in the subsequence corresponding to Ii converge
at Xi to cxi. Next, since {f;(x 2) I i E Ii} is bounded, we can find a real number
a 2 and an infinite subset I 2 of Ii, not containing the first (i.e. least) integer
in Ii such that the values of the functions f; in the subsequence correspond-
ing to I 2 converge at x 2 to a 2 (as well as converge at Xi to cxi). Then we can
find a real number a 3 and an infinite subset I 3 of I 2 , not containing the
first integer in I 2 , such thatf;(x 3 ) for i E I 3 converges to a 3 , etc. Continuing
in this way, we get an Ii and a; for each xi. Let I be the infinite set consisting
of the first integer in Ii. the first integer in I 2 , etc. The sequence of real
numbers f;(xi), i EI, converges to a 1 for each j. Thus the sequence of
functions f;, i EI, converges pointwise on C". II