ScalingStacks

Proof. [05CY]

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Proof.

First, we check the very existence of the partial Legendre transform. Consider the following Jacobian and Hessian matrices:

(22) ∂(yi,yp)∂(s,t)=(∂2K∂sj​∂si∂2K∂tq​∂si0𝟙)=(VB0𝟙),Hess⁡K⁡(s,t)=(VBBt−W).\frac{\partial(y_{i},y_{p})}{\partial(s,t)}=\left(\begin{array}[]{cc}\frac{\partial^{2}K}{\partial s_{j}\partial s_{i}}&\frac{\partial^{2}K}{\partial t_{q}\partial s_{i}}\\ 0&\mathbbm{1}\end{array}\right)=\left(\begin{array}[]{cc}V&B\\ 0&\mathbbm{1}\end{array}\right),\quad\operatorname{Hess}K(s,t)=\left(\begin{array}[]{cc}V&B\\ {}^{t}B&-W\end{array}\right).

Then

(23) ∂(s,t)∂(yi,yp)=(V−1−V−1​B0𝟙),Hess⁡Ψ⁡(y)=(V−1−V−1​Bt(−V−1B)W+Bt​V−1​B).\frac{\partial(s,t)}{\partial(y_{i},y_{p})}=\left(\begin{array}[]{cc}V^{-1}&-V^{-1}B\\ 0&\mathbbm{1}\end{array}\right),\quad\operatorname{Hess}\Psi(y)=\left(\begin{array}[]{cc}V^{-1}&-V^{-1}B\\ {}^{t}(-V^{-1}B)&W+{{}^{t}B}V^{-1}B\end{array}\right).

This shows that if both VV and WW are symmetric and positive definite, then Hess⁡Ψ\operatorname{Hess}\Psi is also a symmetric positive definite matrix, so there exists (locally) a convex function Ψ\Psi – the partial Legendre transform.

On the other hand the inverse of a non-degenerate 2×22\times 2 block matrix with detA≠0\det A\neq 0 and detD≠0\det D\neq 0 is:

(24) (ABCD)−1=((A−B​D−1​C)−1(−A+B​D−1​C)−1​B​D−1(−D+C​A−1​B)−1​C​A−1(D−C​A−1​B)−1),\left(\begin{array}[]{cc}A&B\\ C&D\end{array}\right)^{-1}=\left(\begin{array}[]{cc}(A-BD^{-1}C)^{-1}&(-A+BD^{-1}C)^{-1}BD^{-1}\\ (-D+CA^{-1}B)^{-1}CA^{-1}&(D-CA^{-1}B)^{-1}\end{array}\right),

which implies that

(25) det(ABCD)=1⟺detA−1=det(D−CA−1B).\det\left(\begin{array}[]{cc}A&B\\ C&D\end{array}\right)=1\quad\Longleftrightarrow\quad\det A^{-1}=\det(D-CA^{-1}B).

Applied to Hess⁡Ψ\operatorname{Hess}\Psi the last observation shows that Ψ\Psi is a local Monge-Ampère solution if and only if detV=detW\det V=\det W. ∎

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