Why is max min less than min max?

I couldn’t find a simple proof of this supposedly simple fact after searching online for quite some time. It took me more time than I expected to finally convince myself, hence it seems worthwhile noting the proof.

Statement: Given a function f(x,y)

f: R \times R \longmapsto R

And given subsets S_x and S_y of R

\displaystyle\max_{\substack{x \in S_x}} \min_{\substack{y \in S_y}} f(x,y) \leq \min_{\substack{y \in S_y}} \max_{\substack{x \in S_x}} f(x,y)

Proof: Let

\displaystyle g(x) = \min_{\substack{y \in S_y}} f(x,y)

Thus, for any x, g(x) is the minimum value of f(x,y) over all values of y \in S_y. Also let g_y(x) be the value of y that is associated with that minimum value of f(x,y). Note there can be multiple such values in which case we can pick any one of them, e.g., the smallest.

\displaystyle g_y(x) = argmin_{\substack{y \in S_y}} f(x,y)

This means

\displaystyle \min_{\substack{y \in S_y}} f(x,y) = f(x, g_y(x))

Similarly, define h(x) and h_x(y) to be the maximum value of f(x,y) over all x \in S_x and the value of x that gives that maximum value.

\displaystyle h(y) = \max_{\substack{x \in S_x}} f(x,y)

\displaystyle h_x(y) = argmax_{\substack{x \in S_x}} f(x,y)

This means

\displaystyle \max_{\substack{x \in S_x}} f(x,y) = f(h_x(y), y)

Claim 1: \forall y f(x, g_y(x)) \leq f(x,y)

This follows from the fact that

\displaystyle \min_{\substack{y \in S_y}} f(x,y) = f(x, g_y(x))

Claim 2: \forall x f(x, y) \leq f(h_x(y),y)

Again, this follows from the fact that

\displaystyle \max_{\substack{x \in S_x}} f(x,y) = f(h_x(y), y)

Claim 3: \forall x \forall y f(x, g_y(x)) \leq f(h_x(y),y)

Given any x and y, by claim 1

f(x, g_y(x)) \leq f(x,y)

And by claim 2

f(x, y) \leq f(h_x(y),y)

Thus, by claim 3

\displaystyle\max_{\substack{x \in S_x}} f(x, g_y(x)) \leq \min_{\substack{y \in S_y}} f(h_x(y),y)

The picture below is purely for illustration and might help visualize the proof of claim 3.



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