Logarithmically concave function

In

for all x,y ∈ dom f and 0 < θ < 1. If f is strictly positive, this is equivalent to saying that the logarithm of the function, log ∘ f, is concave; that is,

${\displaystyle \log f(\theta x+(1-\theta )y)\geq \theta \log f(x)+(1-\theta )\log f(y)}$

for all x,y ∈ dom f and 0 < θ < 1.

Examples of log-concave functions are the 0-1 indicator functions of convex sets (which requires the more flexible definition), and the Gaussian function.

Similarly, a function is

${\displaystyle f(\theta x+(1-\theta )y)\leq f(x)^{\theta }f(y)^{1-\theta }}$

for all x,y ∈ dom f and 0 < θ < 1.

Properties

• A log-concave function is also
  quasi-concave. This follows from the fact that the logarithm is monotone implying that the superlevel sets of this function are convex.^[1]
• Every concave function that is nonnegative on its domain is log-concave. However, the reverse does not necessarily hold. An example is the Gaussian function f(x) = exp(−x²/2) which is log-concave since log f(x) = −x²/2 is a concave function of x. But f is not concave since the second derivative is positive for |x| > 1:

${\displaystyle f''(x)=e^{-{\frac {x^{2}}{2}}}(x^{2}-1)\nleq 0}$

• From above two points, concavity ${\displaystyle \Rightarrow }$ log-concavity ${\displaystyle \Rightarrow }$
  quasiconcavity
  .
• A twice differentiable, nonnegative function with a convex domain is log-concave if and only if for all x satisfying f(x) > 0,

${\displaystyle f(x)\nabla ^{2}f(x)\preceq \nabla f(x)\nabla f(x)^{T}}$,^[1]

i.e.

${\displaystyle f(x)\nabla ^{2}f(x)-\nabla f(x)\nabla f(x)^{T}}$ is

negative semi-definite

. For functions of one variable, this condition simplifies to

${\displaystyle f(x)f''(x)\leq (f'(x))^{2}}$

Operations preserving log-concavity

• Products: The product of log-concave functions is also log-concave. Indeed, if f and g are log-concave functions, then log f and log g are concave by definition. Therefore

${\displaystyle \log \,f(x)+\log \,g(x)=\log(f(x)g(x))}$

is concave, and hence also f g is log-concave.

• Marginals: if f(x,y) : R^n+m → R is log-concave, then

${\displaystyle g(x)=\int f(x,y)dy}$

is log-concave (see Prékopa–Leindler inequality).

• This implies that convolution preserves log-concavity, since h(x,y) = f(x-y) g(y) is log-concave if f and g are log-concave, and therefore

${\displaystyle (f*g)(x)=\int f(x-y)g(y)dy=\int h(x,y)dy}$

is log-concave.

Log-concave distributions

Log-concave distributions are necessary for a number of algorithms, e.g.

• The normal distribution and multivariate normal distributions.
• The exponential distribution.
• The
  uniform distribution over any convex set
  .
• The logistic distribution.
• The
  extreme value distribution
  .
• The Laplace distribution.
• The chi distribution.
• The hyperbolic secant distribution.
• The Wishart distribution, where n >= p + 1.^[4]
• The Dirichlet distribution, where all parameters are >= 1.^[4]
• The gamma distribution if the shape parameter is >= 1.
• The
  chi-square distribution
  if the number of degrees of freedom is >= 2.
• The beta distribution if both shape parameters are >= 1.
• The Weibull distribution if the shape parameter is >= 1.

Note that all of the parameter restrictions have the same basic source: The exponent of non-negative quantity must be non-negative in order for the function to be log-concave.

The following distributions are non-log-concave for all parameters:

• The Student's t-distribution.
• The Cauchy distribution.
• The Pareto distribution.
• The log-normal distribution.
• The F-distribution.

Note that the cumulative distribution function (CDF) of all log-concave distributions is also log-concave. However, some non-log-concave distributions also have log-concave CDF's:

• The log-normal distribution.
• The Pareto distribution.
• The Weibull distribution when the shape parameter < 1.
• The gamma distribution when the shape parameter < 1.

The following are among the properties of log-concave distributions:

• If a density is log-concave, so is its cumulative distribution function (CDF).
• If a multivariate density is log-concave, so is the
  marginal density
  over any subset of variables.
• The sum of two independent log-concave random variables is log-concave. This follows from the fact that the convolution of two log-concave functions is log-concave.
• The product of two log-concave functions is log-concave. This means that
  conditional distributions
  derived from the product of other distributions.
• If a density is log-concave, so is its survival function.^[3]
• If a density is log-concave, it has a monotone
  hazard rate (MHR), and is a regular distribution
  since the derivative of the logarithm of the survival function is the negative hazard rate, and by concavity is monotone i.e.

• logarithmically concave sequence
• logarithmically concave measure
• logarithmically convex function
• convex function

Notes