Math Camp
Lecture 2: Real Analysis in
In economics, we often want to maximize a function subject to constraints: Here is the objective function and is the feasible set: the set of choices satisfying the constraints. There is little point in trying to solve this problem if no solution exists. This lecture develops the machinery to guarantee that a solution exists, in .
1 Distance and sequences
We begin by defining Euclidean distance in . Note that there are other ways to measure and define distance, even in . We opt to only use Euclidean distance for most of this class.
Definition 1.1 (Inner product, norm, and distance). For ,
the inner product (also known as the dot product) of and is
the (Euclidean) norm (or length) of is
the distance between and is
For example, has and , and the distance between and is as well. In the norm is the absolute value, so .
The inner product and the norm are related by the Cauchy–Schwarz inequality:
Theorem 1.2 (Cauchy–Schwarz). For every , and hence .
Proof (optional). If , both sides of the first inequality vanish.
Next suppose , so that . For every , consider a vector . By Definition 1.1, . Hence, we have Next, choose so that Multiplying it by gives the first inequality in Theorem 1.2. Taking square roots gives the second inequality in Theorem 1.2, since by Definition 1.1. ◻
Here are some useful properties of the norm.
Theorem 1.3 (Norm properties). For and ,
, and if and only if (positivity),
(homogeneity),
(triangle inequality).
Proof. Parts (1) and (2) follow from Definition 1.1. The triangle inequality is shown as follows: where the first inequality uses the Cauchy–Schwarz inequality. Taking square roots gives the triangle inequality. ◻
Read in terms of the distance function , the three norm properties say that the distance behaves as a distance should: for all , Here, nonnegativity is part (1) applied to ; symmetry is part (2) with ; and the triangle inequality is part (3) applied to . A function satisfying these three conditions is called a metric.
Equipped with a concept of distance, we can name the set of points lying within a given distance of a point.
Definition 1.4 (Open ball). For and , the open ball with center and radius is
Definition 1.5 (Interior points, open sets, and limit points).
Let .
A point is an interior point of if for some . The set of all interior points of is its interior, written .
The set is open if every point of is an interior point.
A point is a limit point of if every ball contains a point of different from ; equivalently,
For example, let and take . The number is positive and , so is open. The endpoints of are not interior points, and therefore The limit-point condition says that points of different from can be found arbitrarily close to ; the point need not itself belong to .
Geometrically, in the ball is the interval , and in it is the disk of radius around without its bounding circle.
Definition 1.6 (Sequence and convergence). A sequence in is a list with . It converges to , and is its limit, written , if for every there is such that A sequence that has no limit in diverges.
In the notation of Definition 1.4, the condition says that every ball , however small its radius, contains all terms of the sequence from some index on.
We check the definition on two sequences in .
Example 1.7 (Convergence and divergence).
The sequence converges to . Let and take an integer . Then every satisfies which is the implication Definition 1.6 requires of . Since was arbitrary, .
The sequence diverges. Let be a candidate limit and take . By part (3) of Theorem 1.3, so at least one of the two numbers is at least . The values and both occur at arbitrarily large indices, so every admits some with , and the implication in Definition 1.6 fails for . Since was arbitrary, no limit exists.
A subsequence is exactly what is sounds like: a sequence drawn from another sequence by skipping some terms.
Definition 1.8 (Subsequence). If is a strictly increasing sequence of indices, then is a subsequence of .
Here are some useful properties of sequences and their limits.
Theorem 1.9 (Basic limit facts). Let be a sequence in .
If and , then .
If , then is bounded: there is with for every .
The convergence holds if and only if in for every coordinate .
If , then every subsequence of also converges to .
Proof (optional). Uniqueness. Let . By Definition 1.6 there is with for , and with for . Fix one and write ; parts (2) and (3) of Theorem 1.3 give So the nonnegative number lies below every positive , hence equals , and part (1) of Theorem 1.3 gives .
Boundedness. Left as an exercise: Definition 1.6 with leaves all but finitely many terms in , and a bound is the largest of and the norms of those remaining terms.
Coordinates. Write . Since is one of the squares summed in Definition 1.1, and since that sum is at most , taking square roots gives Let . If , the left inequality lets any that Definition 1.6 supplies for serve the coordinate sequence as well. Conversely, if every coordinate converges, choose for each an index beyond which ; then makes the right-hand sum, and hence , smaller than .
Subsequences. The indices of a subsequence satisfy : this holds at because indices are natural numbers, and forces . Now let and take the that Definition 1.6 supplies for . Every has , and therefore . ◻
Limits also respect the arithmetic of , one operation at a time.
Theorem 1.10 (Algebra of limits). Suppose and in , and and in . Then
,
,
,
,
,
, provided and for every ,
, provided coordinatewise for every .
Its proof is left as an exercise; the claims follow from part (3) of Theorem 1.3, which gives , from Theorem 1.2, and from the coordinatewise criterion in part (3) of Theorem 1.9, together with the boundedness supplied by part (2).
2 Suprema and compactness
We first develop two ingredients for existence arguments: a way to describe the limiting upper value of a set, and a condition that makes sequences behave well inside a feasible set.
2.1 Suprema and maximizing sequences
Definition 2.1 (Bounds and extrema). Let be nonempty.
A number is an upper bound of if and is bounded above if it has an upper bound.
The supremum, or least upper bound, of , written , is an upper bound of satisfying
A number is the maximum of , written , if
Lower bounds, bounded below, the infimum, or greatest lower bound, , and the minimum are defined by reversing every inequality above.
If a maximum exists, it is automatically the supremum. Conversely, if the supremum exists and belongs to , it is the maximum. Thus and then the two numbers are equal.
For example, the upper bounds of are precisely the numbers at least , so Neither bound belongs to the interval, so it has neither a maximum nor a minimum. The interval has the same supremum and infimum, but it contains both; hence and .
Definition 2.1 does not guarantee that a supremum exists; it is possible for a set to have upper bounds but no least one. For instance, the set of rational numbers with is bounded above by , but it has no least upper bound in . When dealing with , we make a fundamental assumption that every nonempty set that is bounded above has a supremum. This is known as the completeness property of the real numbers.
Axiom 2.2 (Completeness of ). Every nonempty subset of that is bounded above has a supremum in .
Note the role of both hypotheses of the axiom. First, the set is nonempty but not bounded above, so it has no supremum. Second, the empty set is bounded above by every real number, but it has no least upper bound.
2.2 Closed, bounded, and compact sets
Our existence argument will turn a sequence of feasible points into a candidate solution. For this to work, some subsequence must converge and its limit must remain in the feasible set. Compactness guarantees both.
Definition 2.3 (Closed, bounded, and compact sets). A set is
closed if and imply ;
bounded if there is such that for every ;
compact if every sequence in has a subsequence converging to some point of .
There are two failures to remember: runs off to infinity in , while converges to a point missing from . Compactness rules out both.
In Euclidean space these conditions are related by a fundamental result that we use without proof.
Theorem 2.4 (Heine–Borel). A set is compact if and only if it is closed and bounded.
Thus every closed interval is compact, whereas and are not. The empty set is compact, so compactness alone does not supply a feasible point.
3 Continuity and existence
3.1 Continuity
So far, a limit has described the behavior of a sequence. We will also need to describe the behavior of a function as its input approaches a point.
Definition 3.1 (Limit of a function). Let , let , let be a limit point of , and let . We write if, for every sequence in such that , we have .
In Euclidean space this sequential definition is equivalent to the familiar – condition: for every there is such that
The restriction is deliberate: a function limit depends on values near , not on the value at . The point need not be in the domain. For example, if for , then Theorem 1.10 gives , even though is not defined.
For functions of one real variable, suppose is approached by points of from the indicated side. The notation denotes the right-hand limit and left-hand limit, respectively. The first applies Definition 3.1 to ; the second applies it to . If the two-sided limit exists, then every one-sided limit that is defined exists and equals it.
Definition 3.2 (Continuity). Let , let , and let . The function is continuous at if, whenever and , we have The function is continuous on , or simply continuous, if it is continuous at every point of .
At a limit point , Definition 3.2 is equivalent to Equivalently, for every there is such that, for every , We will continue to use the sequential formulation because it fits our existence argument. In Lecture 4, the same function-limit notation will define derivatives: a difference quotient is evaluated only for , while approaches .
Here are the rules that let us build continuous functions out of simpler ones.
Theorem 3.3 (Operations preserving continuity). Let .
If are continuous and , then , , and are continuous on , and the quotient is continuous on the subset of on which .
A composition of continuous functions is continuous.
Its proof is left as an exercise. Part (1) follows from Definition 3.2 applied to an arbitrary sequence , together with Theorem 1.10; part (2) follows from Definition 3.2 applied twice.
For example, constant functions and the identity function are continuous on by Definition 3.2. Part (1) then makes every polynomial continuous on , and every rational function continuous off the zeros of its denominator, such as on . Taking as known that is continuous on and on , part (2) gives combinations: is continuous on , and so is , since stays positive.
3.2 The Weierstrass theorem
We are now ready to show existence. First, let us formalize what a solution to an optimization problem is.
Definition 3.4 (Maximizers and minimizers). Let be nonempty and let . The set of maximizers of on is The set of minimizers is defined by reversing the inequality.
The main existence result is the Weierstrass theorem, which we can now state and prove.
Theorem 3.5 (Weierstrass). Let be nonempty and compact, and let be continuous. Then attains a maximum and a minimum on ; equivalently,
Proof (optional). We first prove that has a maximizer; the minimizer will follow at the end.
Step 1: show that the attainable values are bounded above. Suppose they were not. Then for each there would be with . By Definition 2.3, some subsequence satisfies , and Definition 3.2 gives . Thus is bounded by part (2) of Theorem 1.9. But , so for every , making the same sequence unbounded. This contradiction proves that is bounded above.
Step 2: construct feasible points whose values approach the best possible value. The set is nonempty because is nonempty. By Step 1 it is also bounded above, so completeness gives the real number . For each , the smaller number cannot be an upper bound of . Hence there is with Since by part (1) of Example 1.7, this proves . The sequence is called a maximizing sequence.
Step 3: obtain a feasible candidate for the maximizer. Compactness of gives a subsequence and a point such that . The membership is important: the candidate remains feasible.
Step 4: prove that the candidate is a maximizer. Continuity gives . On the other hand, because , its subsequence also satisfies by part (4) of Theorem 1.9. Limits are unique, so . Since is an upper bound of , we have for every . Therefore is a maximizer in the sense of Definition 3.4.
Step 5: obtain a minimizer. The function is continuous by part (1) of Theorem 3.3. Applying Steps 1–4 to gives a point that maximizes , which is exactly a point that minimizes . ◻
Note that failure of any one of the three hypotheses — nonemptiness, compactness, or continuity — can lead to a function that does not attain its maximum or minimum.
Example 3.6 (One failed hypothesis at a time). None of the following problems has a maximizer, and in each one exactly one hypothesis of Theorem 3.5 fails.
In , let on The feasible set is empty, so has no maximizer.
and . The domain is bounded but not closed, since lies in and converges to , so again it is not compact. Here , while for every .
, which is compact, and What fails is continuity, and only at : the sequence lies in and converges to , while , which Definition 3.2 forbids. Again is not attained.
That said, a maximum might exist even if one of the hypotheses of Theorem 3.5 fails. In that case, one must prove existence by other means, such as by finding a candidate and verifying that it is indeed a maximizer.
3.3 Intermediate values and fixed points
While we need linear algebra to meaningfully study functions in , we can already prove some useful results about continuous functions in . The intermediate value theorem says that a continuous function on an interval takes on every value between its values at the endpoints.
Theorem 3.7 (Intermediate value theorem). Let be continuous. If then there is such that .
Proof (optional). Assume first that , and let Then contains and is bounded above by , so exists by Axiom 2.2 and satisfies . We show that .
. For each , the number is smaller than and therefore not an upper bound of , so we may pick with Then , since by part (1) of Example 1.7, and Definition 3.2 gives . Each lies in , so for every , and part (7) of Theorem 1.10 carries the inequality to the limit: .
. If , this is the hypothesis . If , no point of lies in , so on . The points lie in as soon as , and , so Definition 3.2 gives . Part (7) of Theorem 1.10 again carries to the limit, giving .
This proves . In the remaining case , apply what we have just proved to , continuous by part (1) of Theorem 3.3, and to the value : this produces a point with , that is, . ◻
From that, we obtain our first fixed point theorem in for free.
Theorem 3.8 (Brouwer in ). Let . Every continuous function has a fixed point: there is such that .
Proof. Let , continuous on by part (1) of Theorem 3.3. Since takes its values in , we have and , so Hence , and Theorem 3.7 applied to with gives with , which means . ◻