The Legendre transform

f((1− t)x1 + tx2) ≤ (1− t)f(x1) + tf(x2), x1, x2 ∈ C, 0 ≤ t ≤ 1, then f : X → R is convex. Proof. Let (x1, α1), (x2, α2) ∈ epi f and 0 ≤ t ≤ 1. The fact that the pairs (xi, αi) belong to epi f means in particular that f(xi) < ∞, and hence that xi ∈ C, as otherwise we would have f(xi) =∞. But (1− t)(x1, α1) + t(x2, α2) = ((1− t)x1 + tx2, (1− t)α1 + tα2), and, as x1, x2 ∈ C, f((1− t)x1 + tx2) ≤ (1− t)f(x1) + tf(x2) ≤ (1− t)α1 + tα2, showing that (1 − t)(x1, α1) + t(x2, α2) ∈ epi f , and hence that f : X → R is convex.