The problem of optimal smoothing for convex functions

Abstract

A procedure is described for smoothing a convex function which not only preserves its convexity, but also, under suitable conditions, leaves the function unchanged over nearly all the regions where it is already smooth. The method is based on a convolution followed by a gluing. Controlling the Hessian of the resulting function is the key to this process, and it is shown that it can be done successfully provided that the original function is strictly convex over the boundary of the smooth regions.