(Convex) Level Sets Integration

Abstract

The paper addresses the problem of recovering a pseudoconvex function from the normal cones to its level sets that we call the convex level sets integration problem. An important application is the revealed preference problem. Our main result can be described as integrating a maximally cyclically pseudoconvex multivalued map that sends vectors or “bundles” of a Euclidean space to convex sets in that space. That is, we are seeking a pseudoconvex (real) function such that the normal cone at each boundary point of each of its lower level sets contains the set value of the multivalued map at the same point. This raises the question of uniqueness of that function up to rescaling. Even after normalizing the function long an orienting direction, we give a counterexample to its uniqueness. We are, however, able to show uniqueness under a condition motivated by the classical theory of ordinary differential equations.