From RB Wiki

A convex set is one such that the segment between any two points of the set still belongs to the set. In other words, if [math]x,y \in S[/math] and [math]\lambda \in [0,1][/math], then [math]\lambda x + (1-\lambda) y \in S[/math]. A convex function [math]f[/math] is such that [math]f(\lambda x + (1-\lambda) y) \leq \lambda f(x) + (1-\lambda) f(y)[/math]</math>. Put differently, the image of the average is below the average of the images.

Convexity play a central role in optimization, because optimization of convex functions over convex sets can be done efficiently, for instance using (variants of) gradient descents. Yet, weirdly, though neural networks learning is not a convex problem, it has become the most successful approach for machine learning.

Examples of convex optimization

MSE linear regression, cross-entropy, SVM, logistic regression.

Neural networks and convexity

JHG18 showed that, in the infinite-width limit, neural networks could be regarded as a convex optimization of neural networks in the functional space ZettaBytes19.

On another note, the recent discovery of double descent ZBHRV17 NKBYBS19 suggest that overparameterized neural networks are better at learning and generalization. The learning of overparameterized neural networks then seems "nearly convex" ZCZG18 ZYZLT19 ZLS19 DLLWZ19.