# Maximising a partly concave and partly convex function

Let $$f: \mathbb{R} \rightarrow \mathbb{R}$$ be a twice differentiable and strictly increasing function. Suppose that we are searching for the numbers $$x_1$$, ..., $$x_n$$ that maximise

$$\sum_{i=0}^{n}{f(x_i)}$$

subject to the constraints that $$\sum_{i=0}^{n}{x_i}=\bar{x}$$ and $$x_i \geq 0$$ for all $$i$$.

If $$f$$ is strictly concave everywhere, it is optimal to set $$x_i = x_j$$ for every $$i$$ and $$j$$ (so that $$x_i^* = \bar{x}/n$$ for all $$i$$). If $$f$$ is strictly convex everwhere, it is optimal to set $$x_i=\bar{x}$$ and $$x_j=0$$ for some arbitrary $$i$$ and all $$j\neq i$$. However, I am interested in the 'mixed' case where $$f$$ has at least one convex portion but is ultimately concave.

Specifically, suppose that $$f$$ is strictly concave for all $$x \geq \hat{x}$$. Does this imply that $$x_i^* = x_j^*$$ provided that $$\bar{x}$$ is 'large enough'? If so, what precisely is the assumption that we need to make about $$\bar{x}$$? If not, are there some additional assumptions we can make to ensure that $$x_i^* = x_j^*$$?

Edit 1: It has been pointed out that $$f′(x_i^*)=f′(x_j^*)$$ whenever $$x_i^*>0$$ and $$x_j^*>0$$. This might be a useful step towards an answer.

Edit 2: It has occurred to me that we will probably need to assume something like $$f'(x) \rightarrow 0$$ as $$x \rightarrow \infty$$ in order to ensure that $$x_i^* = x_j^*$$.

• Can you assume that $f$ is quasiconcave? – Herr K. Jul 15 '19 at 19:03
• I think so. My understanding is that any monotone function is quasi-concave. Since $f$ is monotonically increasing, this would imply that it is quasi-concave. – user17900 Jul 15 '19 at 21:50
• I guess a sufficient condition would be $f''(\bar x/n)<0$. – Herr K. Jul 15 '19 at 23:03
• Thanks for the idea - but why would this be sufficient? – user17900 Jul 16 '19 at 16:17
• So to clarify: while $f$ is quasi-concave, the objective function $\sum_{i=0}^{n}{f(x_i)}$ need not be quasi-concave -- at least, unless we place some restriction on $\bar{x}$ (and perhaps make additional assumptions). – user17900 Jul 17 '19 at 16:31

If $$f$$ is strictly convex everywhere, it is optimal to set $$x_i =\overline x$$ and $$x_j =0$$ for some arbitrary $$i$$ and all $$j\ne i$$.

I assume from this that the $$x_i$$ are constrained to be non-negative?

Using the Lagrange multiplier technique with Lagrangian $$L=\sum_i f(x_i)-\lambda (\sum_i x_i-\overline x)$$, we can conclude that the stationary points occur when $$\frac{\mathrm{d} f}{\mathrm{d}x}\big{|}_{x_i}=\lambda$$. Furthermore, if some of the $$x_i$$ are assigned to be zero then we can use the same Lagrange multiplier technique on all of the remaining unassigned $$x_i$$.

Hence we can deduce that $$\sum f(x_i)$$ is maximised when, at all of the $$x_i$$ which do not satisfy $$x_i=0$$, $$f(x)$$ has the same derivative.

As an example, consider the case when $$f(x)=(x-1)^3$$ and $$n=2$$. If there is a maximum with $$x_1$$ and $$x_2$$ both non-zero, then it must be the case that $$\frac{\mathrm{d}f}{\mathrm{d}x}=3(x-1)^2$$ is the same at $$x_1$$ and $$x_2$$.

For $$x_1$$ and $$x_2$$ to be distinct we would have to have $$x_1=1+\sqrt a, \ x_2=1-\sqrt a$$ for some constant $$a$$. Therefore, it $$\overline x \ne 2$$, then at the maximum either $$x_1=x_2$$ or $$x_1=0$$ and $$x_2=\overline x$$. On the other hand, if $$\overline x=2$$ then, for any $$0\le a \le 1$$, there is a maximum with $$x_1=1+\sqrt a, \ x_2=1-\sqrt a$$ and $$\sum_i f(x_i)=0$$.

Finally, there is one point that I would like to make about eventually concave functions. The function graphed below contains a section which is strictly convex but very close to being a horizontal line followed by a section which is strictly concave but is very close to being a straight line. Even for rather large $$\overline x$$, the maxima will satisfy $$x_i=\overline x$$ and $$x_j=0$$ for $$j \ne i$$.

• Thanks for the answer. 1) Yes, I did want to constrain the $x_i$ to be non-negative - apologies for forgetting to state this! 2) I completely agree that the derivatives must be the same in the interior, i.e. $f'(x_i)=f'(x_j)$ whenever it is optimal to set $x_i>0$ and $x_j>0$. 3) I am a bit confused about your example $f(x)=(x−1)^3$ -- this function is first concave then convex, whereas I am looking at the reverse case! 4) More generally, can you think of a sufficient condition to ensure that $x_i=x_j$ at the optimum? – user17900 Jul 16 '19 at 12:21