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Logarithmically concave function

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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.
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Every concave function that is nonnegative on its domain is log-concave. However, the reverse does not necessarily hold. An example is the
1305: 2001: 1690:(CDF) of all log-concave distributions is also log-concave. However, some non-log-concave distributions also have log-concave CDF's: 2209: 2180: 2151: 2124: 1976: 1547: 867: 593: 1922: 1791: 1728: 1687: 1533: 2089: 1932: 1927: 1376: 2236: 1794:
since the derivative of the logarithm of the survival function is the negative hazard rate, and by concavity is monotone i.e.
1586: 1096: 2119:. Wiley Series in Probability and Mathematical Statistics. Chichester: John Wiley \& Sons, Ltd. pp. ix+238 pp. 1769: 1502: 1651: 1765: 1565: 1756:, which always has a shape parameter ≥ 1) will be log-concave. This property is heavily used in general-purpose 1753: 974: 2241: 2204:. Mathematics in Science and Engineering. Vol. 187. Boston, MA: Academic Press, Inc. pp. xiv+467 pp. 1773: 1540: 1521: 962: 1745:
is log-concave. This follows from the fact that the convolution of two log-concave functions is log-concave.
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A twice differentiable, nonnegative function with a convex domain is log-concave if and only if for all
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Products: The product of log-concave functions is also log-concave. Indeed, if
2052: 1551: 517:. This follows from the fact that the logarithm is monotone implying that the 372: 57: 518: 195: 2014: 472:{\displaystyle f(\theta x+(1-\theta )y)\leq f(x)^{\theta }f(y)^{1-\theta }} 156:{\displaystyle f(\theta x+(1-\theta )y)\geq f(x)^{\theta }f(y)^{1-\theta }} 1964: 1748:
The product of two log-concave functions is log-concave. This means that
2082:"Logarithmic concave measures with application to stochastic programming" 1501:
Log-concave distributions are necessary for a number of algorithms, e.g.
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of convex sets (which requires the more flexible definition), and the
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The following are among the properties of log-concave distributions:
844:{\displaystyle f(x)\nabla ^{2}f(x)\preceq \nabla f(x)\nabla f(x)^{T}} 1752:
densities formed by multiplying two probability densities (e.g. the
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The following distributions are non-log-concave for all parameters:
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Grechuk, Bogdan; Molyboha, Anton; Zabarankin, Michael (May 2009).
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which is decreasing as it is the derivative of a concave function.
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Convex functions, partial orderings, and statistical applications
948:{\displaystyle f(x)\nabla ^{2}f(x)-\nabla f(x)\nabla f(x)^{T}} 675:{\displaystyle f''(x)=e^{-{\frac {x^{2}}{2}}}(x^{2}-1)\nleq 0} 2171:
Pfanzagl, Johann; with the assistance of R. Hamböker (1994).
965:. For functions of one variable, this condition simplifies to 578:
is not concave since the second derivative is positive for |
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is strictly positive, this is equivalent to saying that the
1994:"Maximum Entropy Principle with General Deviation Measures" 2117:
Information and exponential families in statistical theory
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Pečarić, Josip E.; Proschan, Frank; Tong, Y. L. (1992).
1479:{\displaystyle (f*g)(x)=\int f(x-y)g(y)dy=\int h(x,y)dy} 1177:{\displaystyle \log \,f(x)+\log \,g(x)=\log(f(x)g(x))} 1806: 1379: 1245: 1099: 977: 870: 766: 717: 697: 596: 385: 218: 69: 1734:
If a multivariate density is log-concave, so is the
1505:. Every distribution with log-concave density is a 1902: 1478: 1290: 1176: 1042: 947: 843: 723: 703: 674: 471: 323: 155: 2142:Dharmadhikari, Sudhakar; Joag-Dev, Kumar (1988). 1971:. Cambridge University Press. pp. 104–108. 1776:derived from the product of other distributions. 1786:If a density is log-concave, it has a monotone 2034:"Log-Concave Probability and Its Applications" 359:Examples of log-concave functions are the 0-1 8: 1625:if the number of degrees of freedom is ≥ 2, 1043:{\displaystyle f(x)f''(x)\leq (f'(x))^{2}} 2072: 2070: 1862: 1807: 1805: 1378: 1244: 1122: 1103: 1098: 1034: 976: 939: 887: 869: 835: 783: 765: 716: 696: 651: 631: 625: 621: 595: 457: 438: 384: 217: 141: 122: 68: 2144:Unimodality, convexity, and applications 1507:maximum entropy probability distribution 1949: 1779:If a density is log-concave, so is its 1741:The sum of two independent log-concave 1727:If a density is log-concave, so is its 376:if it satisfies the reverse inequality 2032:Bagnoli, Mark; Bergstrom, Ted (2005). 1965:"Log-concave and log-convex functions" 1632:if both shape parameters are ≥ 1, and 60:, and if it satisfies the inequality 7: 2026: 2024: 1955: 1953: 1712:when the shape parameter < 1, and 1087:are concave by definition. Therefore 1056:Operations preserving log-concavity 2002:Mathematics of Operations Research 1291:{\displaystyle g(x)=\int f(x,y)dy} 923: 908: 884: 819: 804: 780: 14: 1534:multivariate normal distributions 1524:are log-concave. Some examples: 1923:logarithmically concave sequence 1768:, which are thereby able to use 1729:cumulative distribution function 1719:when the shape parameter < 1. 1688:cumulative distribution function 1073:are log-concave functions, then 2090:Acta Scientiarum Mathematicarum 1963:; Vandenberghe, Lieven (2004). 1933:logarithmically convex function 1928:logarithmically concave measure 1317:preserves log-concavity, since 513:A log-concave function is also 1894: 1888: 1874: 1868: 1848: 1842: 1639:if the shape parameter is ≥ 1. 1618:if the shape parameter is ≥ 1, 1587:hyperbolic secant distribution 1520:. As it happens, many common 1467: 1455: 1437: 1431: 1425: 1413: 1401: 1395: 1392: 1380: 1367:are log-concave, and therefore 1279: 1267: 1255: 1249: 1171: 1168: 1162: 1156: 1150: 1144: 1132: 1126: 1113: 1107: 1031: 1027: 1021: 1010: 1004: 998: 987: 981: 936: 929: 920: 914: 902: 896: 880: 874: 832: 825: 816: 810: 798: 792: 776: 770: 718: 698: 663: 644: 611: 605: 454: 447: 435: 428: 419: 413: 401: 389: 318: 312: 300: 288: 282: 276: 258: 252: 240: 228: 138: 131: 119: 112: 103: 97: 85: 73: 1: 2173:Parametric Statistical Theory 1738:over any subset of variables. 16:Type of mathematical function 1611:, if all parameters are ≥ 1, 724:{\displaystyle \Rightarrow } 704:{\displaystyle \Rightarrow } 521:of this function are convex. 1770:adaptive rejection sampling 1503:adaptive rejection sampling 1306:Prékopa–Leindler inequality 1190:is concave, and hence also 546:which is log-concave since 2258: 1566:extreme value distribution 2053:10.1007/s00199-004-0514-4 1774:conditional distributions 1754:normal-gamma distribution 1522:probability distributions 1497:Log-concave distributions 566:is a concave function of 370:Similarly, a function is 1652:Student's t-distribution 1541:exponential distribution 1772:over a wide variety of 1696:log-normal distribution 1673:log-normal distribution 1623:chi-square distribution 688:From above two points, 46:logarithmically concave 2113:Barndorff-Nielsen, Ole 2015:10.1287/moor.1090.0377 1904: 1609:Dirichlet distribution 1515:Deviation risk measure 1480: 1292: 1178: 1044: 963:negative semi-definite 949: 845: 725: 705: 676: 473: 325: 157: 2237:Mathematical analysis 2175:. Walter de Gruyter. 1905: 1559:logistic distribution 1481: 1293: 1179: 1045: 950: 846: 726: 706: 677: 474: 326: 158: 1804: 1792:regular distribution 1710:Weibull distribution 1637:Weibull distribution 1594:Wishart distribution 1573:Laplace distribution 1548:uniform distribution 1509:with specified mean 1377: 1304:is log-concave (see 1243: 1233:is log-concave, then 1097: 975: 868: 764: 715: 695: 594: 383: 216: 67: 1969:Convex Optimization 1703:Pareto distribution 1666:Pareto distribution 1659:Cauchy distribution 1530:normal distribution 1228: →  584:| > 1: 361:indicator functions 1900: 1717:gamma distribution 1616:gamma distribution 1476: 1355:is log-concave if 1313:This implies that 1288: 1174: 1040: 945: 841: 752:) > 0 721: 701: 672: 469: 321: 153: 52:for short) if its 1898: 1820: 1781:survival function 1760:programs such as 1630:beta distribution 640: 526:Gaussian function 502: < 1 498:0 <  365:Gaussian function 354: < 1 350:0 <  198:of the function, 186: < 1 182:0 <  2249: 2223: 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2084: 2078:Prékopa, András 2076: 2075: 2068: 2041:Economic Theory 2036: 2031: 2029: 2022: 1996: 1991: 1990: 1986: 1979: 1959: 1958: 1951: 1946: 1938:convex function 1919: 1878: 1864: 1832: 1828: 1812: 1802: 1801: 1499: 1492:is log-concave. 1375: 1374: 1362: 1356: 1333: 1318: 1241: 1240: 1224: 1209: 1200:is log-concave. 1191: 1095: 1094: 1081: 1074: 1068: 1062: 1058: 1030: 1013: 990: 973: 972: 935: 883: 866: 865: 831: 779: 762: 761: 744: 738: 713: 712: 693: 692: 647: 627: 617: 597: 592: 591: 579: 573: 567: 559: 547: 539: 528: 519:superlevel sets 510: 497: 483: 453: 434: 381: 380: 349: 335: 214: 213: 199: 189: 181: 167: 137: 118: 65: 64: 42: 28: 21:convex analysis 17: 12: 11: 5: 2255: 2253: 2245: 2244: 2239: 2229: 2228: 2225: 2224: 2210: 2196: 2195: 2181: 2167: 2166: 2152: 2139: 2125: 2107: 2104: 2101: 2100: 2066: 2047:(2): 445–469. 2020: 2009:(2): 445–467. 1984: 1977: 1948: 1947: 1945: 1942: 1941: 1940: 1935: 1930: 1925: 1918: 1915: 1914: 1913: 1912: 1911: 1896: 1893: 1890: 1887: 1884: 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1029: 1026: 1023: 1019: 1016: 1012: 1009: 1006: 1003: 1000: 996: 993: 989: 986: 983: 980: 967: 966: 959: 958: 957: 956: 942: 938: 934: 931: 928: 925: 922: 919: 916: 913: 910: 907: 904: 901: 898: 895: 890: 886: 882: 879: 876: 873: 860: 859: 855: 854: 853: 852: 838: 834: 830: 827: 824: 821: 818: 815: 812: 809: 806: 803: 800: 797: 794: 791: 786: 782: 778: 775: 772: 769: 756: 755: 735: 732:quasiconcavity 720: 711:log-concavity 700: 685: 684: 683: 682: 671: 668: 665: 662: 659: 654: 650: 646: 639: 634: 630: 624: 620: 616: 613: 610: 607: 603: 600: 586: 585: 522: 509: 506: 480: 479: 466: 463: 460: 456: 452: 449: 446: 441: 437: 433: 430: 427: 424: 421: 418: 415: 412: 409: 406: 403: 400: 397: 394: 391: 388: 332: 331: 320: 317: 314: 311: 308: 305: 302: 299: 296: 293: 290: 287: 284: 281: 278: 275: 272: 269: 266: 263: 260: 257: 254: 251: 248: 245: 242: 239: 236: 233: 230: 227: 224: 221: 164: 163: 150: 147: 144: 140: 136: 133: 130: 125: 121: 117: 114: 111: 108: 105: 102: 99: 96: 93: 90: 87: 84: 81: 78: 75: 72: 40: 15: 13: 10: 9: 6: 4: 3: 2: 2254: 2243: 2240: 2238: 2235: 2234: 2232: 2221: 2217: 2213: 2211:0-12-549250-2 2207: 2203: 2198: 2197: 2192: 2188: 2184: 2182:3-11-013863-8 2178: 2174: 2169: 2168: 2163: 2159: 2155: 2153:0-12-214690-5 2149: 2145: 2140: 2136: 2132: 2128: 2126:0-471-99545-2 2122: 2118: 2114: 2110: 2109: 2105: 2096: 2092: 2091: 2083: 2079: 2073: 2071: 2067: 2062: 2058: 2054: 2050: 2046: 2042: 2035: 2027: 2025: 2021: 2016: 2012: 2008: 2004: 2003: 1995: 1988: 1985: 1980: 1978:0-521-83378-7 1974: 1970: 1966: 1962: 1961:Boyd, Stephen 1956: 1954: 1950: 1943: 1939: 1936: 1934: 1931: 1929: 1926: 1924: 1921: 1920: 1916: 1891: 1885: 1882: 1879: 1871: 1865: 1859: 1856: 1852: 1845: 1839: 1836: 1833: 1829: 1825: 1822: 1816: 1813: 1809: 1800: 1799: 1798: 1797: 1793: 1789: 1785: 1782: 1778: 1775: 1771: 1767: 1763: 1759: 1755: 1751: 1747: 1744: 1740: 1737: 1733: 1730: 1726: 1725: 1724: 1718: 1714: 1711: 1707: 1704: 1700: 1697: 1693: 1692: 1691: 1689: 1681: 1677: 1674: 1670: 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911: 905: 899: 893: 888: 877: 871: 864: 863: 862: 861: 857: 856: 836: 828: 822: 813: 807: 801: 795: 789: 784: 773: 767: 760: 759: 758: 757: 751: 747: 741: 736: 733: 691: 687: 686: 669: 666: 660: 657: 652: 648: 637: 632: 628: 622: 618: 614: 608: 601: 598: 590: 589: 588: 587: 582: 576: 570: 563: 558: =  555: 551: 543: 538: =  535: 531: 527: 523: 520: 516: 515:quasi-concave 512: 511: 507: 505: 501: 494: 490: 486: 464: 461: 458: 450: 444: 439: 431: 425: 422: 416: 410: 407: 404: 398: 395: 392: 386: 379: 378: 377: 375: 374: 368: 366: 362: 357: 353: 346: 342: 338: 315: 309: 306: 303: 297: 294: 291: 285: 279: 273: 270: 267: 264: 261: 255: 249: 246: 243: 237: 234: 231: 225: 222: 219: 212: 211: 210: 208: 203: 197: 192: 185: 178: 174: 170: 148: 145: 142: 134: 128: 123: 115: 109: 106: 100: 94: 91: 88: 82: 79: 76: 70: 63: 62: 61: 59: 55: 51: 47: 39: 35: 31: 26: 22: 2201: 2172: 2143: 2116: 2094: 2088: 2044: 2040: 2006: 2000: 1987: 1968: 1722: 1685: 1645: 1642: 1601: 1597: 1517: 1510: 1500: 1363: 1357: 1350: 1346: 1342: 1338: 1334: 1327: 1323: 1319: 1229: 1225: 1218: 1214: 1210: 1196: 1192: 1083: 1076: 1069: 1063: 749: 745: 739: 580: 574: 568: 561: 553: 549: 541: 533: 529: 499: 492: 488: 484: 481: 371: 369: 358: 351: 344: 340: 336: 333: 201: 190: 183: 176: 172: 168: 165: 49: 45: 37: 33: 29: 25:non-negative 18: 1788:hazard rate 1315:convolution 743:satisfying 540:exp(− 209:; that is, 50:log-concave 2231:Categories 2106:References 1552:convex set 508:Properties 373:log-convex 58:convex set 1883:− 1860:− 1837:− 1826:⁡ 1550:over any 1450:∫ 1420:− 1408:∫ 1387:∗ 1262:∫ 1206:Marginals 1142:⁡ 1082:log  1075:log  1008:≤ 924:∇ 909:∇ 906:− 885:∇ 820:∇ 805:∇ 802:⪯ 781:∇ 719:⇒ 699:⇒ 690:concavity 667:≰ 658:− 623:− 465:θ 462:− 440:θ 423:≤ 411:θ 408:− 393:θ 307:⁡ 298:θ 295:− 271:⁡ 265:θ 262:≥ 250:θ 247:− 232:θ 223:⁡ 196:logarithm 149:θ 146:− 124:θ 107:≥ 95:θ 92:− 77:θ 27:function 2115:(1978). 2080:(1971). 1917:See also 1018:′ 995:″ 602:″ 482:for all 334:for all 166:for all 32: : 2220:1162312 2191:1291393 2162:0954608 2135:0489333 2061:1046688 1345:)  560:− 207:concave 2218:  2208:  2189:  2179:  2160:  2150:  2133:  2123:  2059:  1975:  1731:(CDF). 1195:  572:. But 500:θ 491:∈ dom 352:θ 343:∈ dom 200:log ∘ 184:θ 175:∈ dom 54:domain 2085:(PDF) 2057:S2CID 2037:(PDF) 1997:(PDF) 1944:Notes 1750:joint 1675:, and 1596:, if 1208:: if 205:, is 188:. If 56:is a 2206:ISBN 2177:ISBN 2148:ISBN 2121:ISBN 2030:See 1973:ISBN 1766:JAGS 1764:and 1762:BUGS 1715:the 1708:the 1701:the 1694:the 1678:the 1671:the 1664:the 1657:the 1650:the 1635:the 1628:the 1621:the 1614:the 1607:the 1604:+ 1, 1592:the 1585:the 1578:the 1571:the 1564:the 1557:the 1546:the 1539:the 1532:and 1528:the 1513:and 1361:and 1080:and 1067:and 858:i.e. 548:log 496:and 348:and 180:and 48:(or 23:, a 2049:doi 2011:doi 1823:log 1139:log 1120:log 1101:log 544:/2) 304:log 268:log 220:log 44:is 19:In 2233:: 2216:MR 2214:. 2187:MR 2185:. 2158:MR 2156:. 2131:MR 2129:. 2095:32 2093:. 2087:. 2069:^ 2055:. 2045:26 2043:. 2039:. 2023:^ 2007:34 2005:. 1999:. 1967:. 1952:^ 1600:≥ 1308:). 955:is 564:/2 504:. 367:. 356:. 36:→ 2222:. 2193:. 2164:. 2137:. 2063:. 2051:: 2017:. 2013:: 1981:. 1895:) 1892:x 1889:( 1886:F 1880:1 1875:) 1872:x 1869:( 1866:f 1857:= 1853:) 1849:) 1846:x 1843:( 1840:F 1834:1 1830:( 1817:x 1814:d 1810:d 1783:. 1705:, 1698:, 1682:. 1668:, 1661:, 1654:, 1602:p 1598:n 1589:, 1582:, 1575:, 1568:, 1561:, 1554:, 1543:, 1536:, 1518:D 1511:μ 1474:y 1471:d 1468:) 1465:y 1462:, 1459:x 1456:( 1453:h 1447:= 1444:y 1441:d 1438:) 1435:y 1432:( 1429:g 1426:) 1423:y 1417:x 1414:( 1411:f 1405:= 1402:) 1399:x 1396:( 1393:) 1390:g 1384:f 1381:( 1364:g 1358:f 1353:) 1351:y 1349:( 1347:g 1343:y 1341:- 1339:x 1337:( 1335:f 1330:) 1328:y 1326:, 1324:x 1322:( 1320:h 1286:y 1283:d 1280:) 1277:y 1274:, 1271:x 1268:( 1265:f 1259:= 1256:) 1253:x 1250:( 1247:g 1230:R 1226:R 1221:) 1219:y 1217:, 1215:x 1213:( 1211:f 1197:g 1193:f 1172:) 1169:) 1166:x 1163:( 1160:g 1157:) 1154:x 1151:( 1148:f 1145:( 1136:= 1133:) 1130:x 1127:( 1124:g 1117:+ 1114:) 1111:x 1108:( 1105:f 1084:g 1077:f 1070:g 1064:f 1036:2 1032:) 1028:) 1025:x 1022:( 1015:f 1011:( 1005:) 1002:x 999:( 992:f 988:) 985:x 982:( 979:f 941:T 937:) 933:x 930:( 927:f 921:) 918:x 915:( 912:f 903:) 900:x 897:( 894:f 889:2 881:) 878:x 875:( 872:f 851:, 837:T 833:) 829:x 826:( 823:f 817:) 814:x 811:( 808:f 799:) 796:x 793:( 790:f 785:2 777:) 774:x 771:( 768:f 754:, 750:x 748:( 746:f 740:x 734:. 670:0 664:) 661:1 653:2 649:x 645:( 638:2 633:2 629:x 619:e 615:= 612:) 609:x 606:( 599:f 581:x 575:f 569:x 562:x 556:) 554:x 552:( 550:f 542:x 536:) 534:x 532:( 530:f 493:f 489:y 487:, 485:x 459:1 455:) 451:y 448:( 445:f 436:) 432:x 429:( 426:f 420:) 417:y 414:) 405:1 402:( 399:+ 396:x 390:( 387:f 345:f 341:y 339:, 337:x 319:) 316:y 313:( 310:f 301:) 292:1 289:( 286:+ 283:) 280:x 277:( 274:f 259:) 256:y 253:) 244:1 241:( 238:+ 235:x 229:( 226:f 202:f 191:f 177:f 173:y 171:, 169:x 143:1 139:) 135:y 132:( 129:f 120:) 116:x 113:( 110:f 104:) 101:y 98:) 89:1 86:( 83:+ 80:x 74:( 71:f 41:+ 38:R 34:R 30:f

Index

convex analysis
non-negative
domain
convex set
logarithm
concave
indicator functions
Gaussian function
log-convex
quasi-concave
superlevel sets
Gaussian function
concavity
quasiconcavity
negative semi-definite
Marginals
Prékopa–Leindler inequality
convolution
adaptive rejection sampling
maximum entropy probability distribution
Deviation risk measure
probability distributions
normal distribution
multivariate normal distributions
exponential distribution
uniform distribution
convex set
logistic distribution
extreme value distribution
Laplace distribution

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