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The function f(x) is defined on the interval [a, b]. The difference pxf(x) takes a maximum at x'. Thus, f*(p) = px' − f(x').

In mathematics and physics, the Legendre transformation, named after Adrien-Marie Legendre, is an involutive transformation on the real-valued convex functions of one real variable. It is commonly used in classical mechanics to derive the Hamiltonian formalism out of the Lagrangian formalism and in thermodynamics to derive the thermodynamic potentials, as well as in the solution of differential equations of several variables.

For sufficiently smooth functions on the real line, the Legendre transform f* of a function f can be specified, up to an additive constant, by the condition that the functions' first derivatives are inverse functions of each other. This can be expressed in Euler's derivative notation as

or, equivalently, as and in Lagrange's notation.

The generalization of the Legendre transformation to affine spaces and non-convex functions is known as the convex conjugate (also called the Legendre–Fenchel transformation), which can be used to construct a function's convex hull.

Contents

DefinitionEdit

Let I ⊂ ℝ be an interval, and f : I → ℝ a convex function; then its Legendre transform is the function f* : I* → ℝ defined by

 

where   is the supremum, and the domain   is

 

The transform is always well-defined when f(x) is convex.

The generalization to convex functions f : X → ℝ on a convex set X ⊂ ℝn is straightforward: f * : X* → ℝ has domain

 

and is defined by

 

where   denotes the dot product of x* and x.

The function f * is called the convex conjugate function of f. For historical reasons (rooted in analytic mechanics), the conjugate variable is often denoted p, instead of x*. If the convex function f is defined on the whole line and is everywhere differentiable, then

 

can be interpreted as the negative of the y-intercept of the tangent line to the graph of f that has slope p.

The Legendre transformation is an application of the duality relationship between points and lines. The functional relationship specified by f can be represented equally well as a set of (x, y) points, or as a set of tangent lines specified by their slope and intercept values.

Understanding the transform in terms of derivativesEdit

For differentiable convex functions   on the real line with an invertible first derivative, the Legendre transform   can be specified, up to an additive constant, by the condition that the functions' first derivatives are inverse functions of each other.

To see this, first note that if   is differentiable and   is a critical point of the function of  , then the supremum is achieved at   (by convexity). Therefore,  .

Suppose that   is invertible and let   denote its inverse. Then for each  , the point   is the unique critical point of  . Indeed,   and so  . Hence we have   for each  . By differentiating with respect to   we find

 

Since   this simplifies to  . In other words,   and   are inverses.

In general, if   is an inverse of  , then   and so integration provides a constant   so that  .

In practical terms, given f(x), the parametric plot of xf '(x) − f(x) versus f '(x) amounts to the graph of g(p) versus p.

In some cases (e.g. thermodynamic potentials, below), a non-standard requirement is used, amounting to an alternative definition of f * with a minus sign,

 

PropertiesEdit

  • The Legendre transform of a convex function is convex.
Let us show this for the case of a doubly differentiable f with a non zero (and hence positive, due to convexity) double derivative.
For a fixed p, let x maximize pxf(x). Then f *(p) = pxf(x), noting that x depends on p. Thus,
 
The derivative of f is itself differentiable with a positive derivative and hence strictly monotonic and invertible.
Thus x = g(p) where  , meaning that g is defined so that  .
Note that g is also differentiable with the following derivative,
 
Thus f *(p) = pg(p) − f(g(p)) is the composition of differentiable functions, hence differentiable.
Applying the product rule and the chain rule yields
 
giving
 
so f * is convex.
  • It follows that the Legendre transformation is an involution, i.e., f ** = f:
By using the above equalities for g(p), f *(p) and its derivative,
 

ExamplesEdit

Example 1Edit

 
ex is plotted in red and its Legendre transform in dashed blue.

The exponential function

    has  

as a Legendre transform, since their respective first derivatives ex and ln p are inverse functions of each other.

This example illustrates how the respective domains of a function and its Legendre transform need not agree.

Example 2Edit

Let f(x) = cx2 defined on ℝ, where c > 0 is a fixed constant.

For x* fixed, the function of x, x*xf(x) = x*xcx2 has the first derivative x* – 2cx and second derivative −2c; there is one stationary point at x = x*/2c, which is always a maximum.

Thus, I* = ℝ and

 

The first derivatives of f, 2cx, and of f *, x*/(2c), are inverse functions to each other. Clearly, furthermore,

 

namely f ** = f.

Example 3Edit

Let f(x) = x2 for xI = [2, 3].

For x* fixed, x*xf(x) is continuous on I compact, hence it always takes a finite maximum on it; it follows that I* = ℝ.

The stationary point at x = x*/2 is in the domain [2, 3] if and only if 4 ≤ x* ≤ 6, otherwise the maximum is taken either at x = 2, or x = 3. It follows that

 

Example 4Edit

The function f(x) = cx is convex, for every x (strict convexity is not required for the Legendre transformation to be well defined). Clearly x*xf(x) = (x* − c)x is never bounded from above as a function of x, unless x* − c = 0. Hence f* is defined on I* = {c} and f*(c) = 0.

One may check involutivity: of course x*xf*(x*) is always bounded as a function of x* ∈ {c}, hence I ** = ℝ. Then, for all x one has

 

and hence f **(x) = cx = f(x).

Example 5: several variablesEdit

Let

 

be defined on X = ℝn, where A is a real, positive definite matrix.

Then f is convex, and

 

has gradient p − 2Ax and Hessian −2A, which is negative; hence the stationary point x = A−1p/2 is a maximum.

We have X* = ℝn, and

 

Behavior of differentials under Legendre transformsEdit

The Legendre transform is linked to integration by parts,   pdx = d(px) − xdp.

Let f be a function of two independent variables x and y, with the differential

 

Assume that it is convex in x for all y, so that one may perform the Legendre transform in x, with p the variable conjugate to x. Since the new independent variable is p, the differentials dx and dy devolve to dp and dy, i.e., we build another function with its differential expressed in terms of the new basis dp and dy.

We thus consider the function g(p, y) = fpx so that

 
 
 

The function -g(p, y) is the Legendre transform of f(x, y), where only the independent variable x has been supplanted by p. This is widely used in thermodynamics, as illustrated below.

ApplicationsEdit

Hamilton–Lagrange mechanicsEdit

A Legendre transform is used in classical mechanics to derive the Hamiltonian formulation from the Lagrangian formulation, and conversely. A typical Lagrangian has the form

 

where   are coordinates on Rn × Rn, M is a positive real matrix, and

 

For every q fixed,   is a convex function of  , while   plays the role of a constant.

Hence the Legendre transform of   as a function of v is the Hamiltonian function,

 .

In a more general setting,   are local coordinates on the tangent bundle   of a manifold  . For each q,   is a convex function of the tangent space Vq. The Legendre transform gives the Hamiltonian   as a function of the coordinates (p, q) of the cotangent bundle  ; the inner product used to define the Legendre transform is inherited from the pertinent canonical symplectic structure. In this abstract setting, the Legendre transformation corresponds to the tautological one-form.

ThermodynamicsEdit

The strategy behind the use of Legendre transforms in thermodynamics is to shift from a function that depends on a variable to a new (conjugate) function that depends on a new variable, the conjugate of the original one. The new variable is the partial derivative of the original function with respect to the original variable. The new function is the difference between the original function and the product of the old and new variables. Typically, this transformation is useful because it shifts the dependence of, e.g., the energy from an extensive variable to its conjugate intensive variable, which can usually be controlled more easily in a physical experiment.

For example, the internal energy is an explicit function of the extensive variables entropy, volume, and chemical composition

 

which has a total differential

 

By using the (non-standard) Legendre transform of the internal energy, U, with respect to volume, V, it is possible to define the enthalpy as

 

which is an explicit function of the pressure, P. The enthalpy contains all of the same information as the internal energy, but is often easier to work with in situations where the pressure is constant.

It is likewise possible to shift the dependence of the energy from the extensive variable of entropy, S, to the (often more convenient) intensive variable T, resulting in the Helmholtz and Gibbs free energies. The Helmholtz free energy, A, and Gibbs energy, G, are obtained by performing Legendre transforms of the internal energy and enthalpy, respectively,

 
 

The Helmholtz free energy is often the most useful thermodynamic potential when temperature and volume are held constant, while the Gibbs energy is often the most useful when temperature and pressure are held constant.

An example – variable capacitorEdit

As another example from physics, consider a parallel-plate capacitor, in which the plates can move relative to one another. Such a capacitor would allow transfer of the electric energy which is stored in the capacitor into external mechanical work, done by the force acting on the plates. One may think of the electric charge as analogous to the "charge" of a gas in a cylinder, with the resulting mechanical force exerted on a piston.

Compute the force on the plates as a function of x, the distance which separates them. To find the force, compute the potential energy, and then apply the definition of force as the gradient of the potential energy function.

The energy stored in a capacitor of capacitance C(x) and charge Q is

 

where the dependence on the area of the plates, the dielectric constant of the material between the plates, and the separation x are abstracted away as the capacitance C(x). (For a parallel plate capacitor, this is proportional to the area of the plates and inversely proportional to the separation.)

The force F between the plates due to the electric field is then

 

If the capacitor is not connected to any circuit, then the charges on the plates remain constant as they move, and the force is the negative gradient of the electrostatic energy

 

However, suppose, instead, that the voltage between the plates V is maintained constant by connection to a battery, which is a reservoir for charge at constant potential difference; now the charge is variable instead of the voltage, its Legendre conjugate. To find the force, first compute the non-standard Legendre transform,

 

The force now becomes the negative gradient of this Legendre transform, still pointing in the same direction,

 

The two conjugate energies happen to stand opposite to each other, only because of the linearity of the capacitance—except now Q is no longer a constant. They reflect the two different pathways of storing energy into the capacitor, resulting in, for instance, the same "pull" between a capacitor's plates.

Probability theoryEdit

In large deviations theory, the rate function is defined as the Legendre transformation of the logarithm of the moment generating function of a random variable. An important application of the rate function is in the calculation of tail probabilities of sums of i.i.d. random variables.

MicroeconomicsEdit

Legendre transformation arises naturally in microeconomics in the process of finding the supply S(P) of some product given a fixed price P on the market knowing the cost function C(Q), i.e. the cost for the producer to make/mine/etc. Q units of the given product.

A simple theory explains the shape of the supply curve based solely on the cost function. Let us suppose the market price for a one unit of our product is P. For a company selling this good, the best strategy is to adjust the production Q so that its profit is maximized. We can maximize the profit

 

by differentiating with respect to Q and solving

 

Qopt represents the optimal quantity Q of goods that the producer is willing to supply, which is indeed the supply itself:

 .

If we consider the maximal profit as a function of price,  , we see that it is the Legendre transform of the cost function  .

Geometric interpretationEdit

For a strictly convex function, the Legendre transformation can be interpreted as a mapping between the graph of the function and the family of tangents of the graph. (For a function of one variable, the tangents are well-defined at all but at most countably many points, since a convex function is differentiable at all but at most countably many points.)

The equation of a line with slope p and y-intercept b is given by y = px + b. For this line to be tangent to the graph of a function f at the point (x0, f(x0)) requires

 

and

 

The function  is strictly monotone as the derivative of a strictly convex function. The second equation can be solved for  , allowing elimination of x0 from the first, and solving for the y-intercept b of the tangent as a function of its slope p,

 

Here,   denotes the Legendre transform of f.

The family of tangents of the graph of f parameterized by p is therefore given by

 

or, written implicitly, by the solutions of the equation

 

The graph of the original function can be reconstructed from this family of lines as the envelope of this family by demanding

 

Eliminating p from these two equations gives

 

Identifying y with f(x) and recognizing the right side of the preceding equation as the Legendre transform of f*, yields

 

Legendre transformation in more than one dimensionEdit

For a differentiable real-valued function on an open subset U of Rn the Legendre conjugate of the pair (U, f) is defined to be the pair (V, g), where V is the image of U under the gradient mapping Df, and g is the function on V given by the formula

 

where

 

is the scalar product on Rn. The multidimensional transform can be interpreted as an encoding of the convex hull of the function's epigraph in terms of its supporting hyperplanes.[1]

Alternatively, if X is a vector space and Y is its dual vector space, then for each point x of X and y of Y, there is a natural identification of the cotangent spaces T*Xx with Y and T*Yy with X. If f is a real differentiable function over X, then its exterior derivative, df, is a section of the cotangent bundle T*X and as such, we can construct a map from X to Y. Similarly, if g is a real differentiable function over Y, then dg defines a map from Y to X. If both maps happen to be inverses of each other, we say we have a Legendre transform. The notion of the tautological one-form is commonly used in this setting.

When the function is not differentiable, the Legendre transform can still be extended, and is known as the Legendre-Fenchel transformation. In this more general setting, a few properties are lost: for example, the Legendre transform is no longer its own inverse (unless there are extra assumptions, like convexity).

Legendre transformation on manifoldsEdit

Let M be a smooth manifold, and let TM denote its tangent bundle. Let L : TMR be a smooth function, which we will refer to as the Lagrangian. The Legendre transformation of L is its fiber derivative. This is a morphism of vector bundles FL : TMT*M defined as follows. Suppose that n = dim M and that UM is a chart. Then U × Rn is a chart on TM, and for any point (x, v) in this chart, the fiber derivative (and hence also the Legendre transformation) of L is defined by

 

The associated energy function is the function E : TMR defined by

 

where the angle brackets denote the natural pairing of a tangent and cotangent vector. The Legendre transform can be further generalized to a function from a vector bundle over M to its dual bundle.[2]

Further propertiesEdit

Scaling propertiesEdit

The Legendre transformation has the following scaling properties: For a > 0,

 
 

It follows that if a function is homogeneous of degree r then its image under the Legendre transformation is a homogeneous function of degree s, where 1/r + 1/s = 1. (Since f(x) = xr/r, with r > 1, implies f*(p) = ps/s.) Thus, the only monomial whose degree is invariant under Legendre transform is the quadratic.

Behavior under translationEdit

 
 

Behavior under inversionEdit

 

Behavior under linear transformationsEdit

Let A : RnRm be a linear transformation. For any convex function f on Rn, one has

 

where A* is the adjoint operator of A defined by

 

and Af is the push-forward of f along A

 

A closed convex function f is symmetric with respect to a given set G of orthogonal linear transformations,

 

if and only if f* is symmetric with respect to G.

Infimal convolutionEdit

The infimal convolution of two functions f and g is defined as

 

Let f1, ..., fm be proper convex functions on Rn. Then

 

Fenchel's inequalityEdit

For any function f and its convex conjugate f * Fenchel's inequality (also known as the Fenchel–Young inequality) holds for every xX and pX*, i.e., independent x, p pairs,

 

See alsoEdit

ReferencesEdit

  1. ^ http://maze5.net/?page_id=733
  2. ^ Marsden, Jerrod E., and Ratiu, Tudor, Introduction to Mechanics and Symmetry: A Basic Exposition of Classical Mechanical Systems, Springer-Verlag, 1999, ISBN 978-0-387-98643-2, doi 10.1007/978-0-387-21792-5.

Further readingEdit

External linksEdit