# Lipschitz constant of piecewise linear (vector valued) functions

Suppose we have a collection of sets ${\{\Omega_i \subset \mathbb{R}^{n}\}_{i=1}^d}$ and a set of ${d}$ linear functions ${\{f_i(x) = A_ix +c_i\mid x\in \Omega_i, i=1,\dots, d\}}$ where each ${\Omega_i}$ being closed polyhedrons in ${\mathbb{R}^{n}}$, i.e., ${\Omega_i = \{x\mid a_{i_j}^Tx + b_{i_j} \leq 0,\forall j\leq k(i)\}}$ for some ${a_{i_j} \in \mathbb{R}^{n},b_{i_j}\in \mathbb{R},k(i)\in \mathbb{N}}$, and ${A_i\in \mathbb{R}^{m\times n}}$ and ${c_i \in \mathbb{R}^{m}}$. Moreover, for any ${i\not =j}$, and ${x\in \Omega_i \cap \Omega_j}$, we have ${f_i(x) = f_j(x)}$. Then we can define function ${f}$ on ${\Omega =\cup_{i=1}^d \Omega_i}$ such that

$\displaystyle f(x) = f_i(x) \quad \text{if} \; x\in \Omega_i.$

We further assume $\Omega$ is convex. We now state a theorem concerning the Lipschitz constant of ${f}$.

Theorem 1 Under the above setting, given arbitrary norms ${\|\cdot\|_\alpha,\|\cdot\|_\beta }$, ${f}$ is ${\max_{i\leq d}\{\|A_i\|_{\alpha,\beta}\}}$-Lipschitz continuous with respect to ${\|\cdot\|_\alpha}$ and ${\|\cdot \|_\beta }$, i.e., for all ${x_1,x_2 \in \Omega}$,

\displaystyle \begin{aligned} \| f(x_2) - f(x_1)\|_\alpha \leq \max_{i\leq d}\{\|A_i\|_{\alpha,\beta }\}\|x_2-x_1\|_\beta . \end{aligned} \ \ \ \ \ (1)

Here ${\|A_i\|}$ is ${\|A_i\|_{\alpha,\beta } = \max_{\|x\|_\beta \leq 1}\|A_ix\|_{\alpha}}.$

Proof: By letting ${g(t) = x_1 + t(x_2 - x_1)}$, ${L = \max_{i\leq d}\{\|A_i\|_{\alpha,\beta }\}\|x_2-x_1\|_\beta }$ and ${h= f\circ g}$. we see the inequality (1) is equivalent to

\displaystyle \begin{aligned} \|h(1)- h(0)\|_\alpha \leq L. \end{aligned} \ \ \ \ \ (2)

Using the property that ${f}$ is well-defined on ${\Omega_i\cap \Omega_j}$ for any ${i,j}$, we have that there exists ${0=t_0\leq \dots \leq t_l\leq \dots \leq t_K\leq t_{K+1}=1, l=1,\dots,K}$ and corresponding ${i_1,\dots ,i_K}$ such that

\displaystyle \begin{aligned} h(t_l)= A_{i_l}x^{(l)}+c_{i_l} = A_{i_{l-1}}x^{(l)}+c_{i_{l-1}} \end{aligned} \ \ \ \ \ (3)

for all ${1\leq l\leq K}$ where ${x^{(l)} = g(t_l)}$. We also let ${x^{(0)} =g(t_0) =x_1}$ and ${x^{(K+1)}=g(t_{{K+1}}) =x_2}$. These ${x_l}$s have the property that

\displaystyle \begin{aligned} \sum_{l=0}^{K}\|x_{i_{l+1}} -x_{i_l}\|_\beta = \sum_{l=0}^{K}(t_{l+1}-t_l)\|x_2 -x_1\|_\beta = \|x_2-x_1\|_\beta . \end{aligned} \ \ \ \ \ (4)

Thus we can bound the term ${\|h(1)- h(0)\|_\alpha }$ by

\displaystyle \begin{aligned} \|h(1) - h(0)\|_\alpha &\leq \sum_{l=0}^{K} \|h(t_{l+1}) -h(t_{l})\|_\alpha \\ & \leq \sum_{l=0}^{K} \|A_{i_{l+1}}x_{l+1} +c_{i_{l+1}} - A_{i_l}x_{l} -c_{i_l}\|_\alpha \\ &\overset{(i)}{\leq } \sum_{l=0}^{K-1} \|A_{i_{l}}x_{l+1} +c_{i_{l}} - A_{i_l}x_{l} -c_{i_l}\|_\alpha \\ & = \sum_{l=0}^{K} \|A_{i_{l}}x_{l+1} - A_{i_l}x_{l} \|_\alpha \\ &\overset{(ii)}{\leq}\sum_{l=0}^{K}\|A_{i_l}\|_{\alpha,\beta } \|x_{l+1}-x_{l}\|_\beta \\ & \leq \max_{i}\{\|A_i\|_{\alpha,\beta },i\leq d\}\sum_{l=0}^{K} \|x_{l+1}-x_{l}\|_\beta \\ & \overset{(iii)}{\leq}\max_{i}\{\|A_i\|_{\alpha,\beta },i\leq d\} \|x_2-x_1\|_\beta \\ & = L, \end{aligned} \ \ \ \ \ (5)

where ${(i)}$ is due to inequality (3), ${(ii)}$ is due to the definition of operator norm and ${(iii)}$ is using equality (4). This proves inequality (1). $\Box$

## 2 thoughts on “Lipschitz constant of piecewise linear (vector valued) functions”

1. Chao Huang

Is there any textbook that introduce this theorem? I need a real-valued version of this theorem to cite.

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• ding1ijun

I really don’t know. Perhaps too obvious for pure mathematicians.

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