Convexity of Log-Sum-Exp Consider a matrix $A \in \mathbb{R}^{m \times n}$. Let $a_i^T$ be the $i^{th}$ row of $A$. Define $f(x) = \log \left( \sum \limits_{i = 1}^m \exp(a_i^Tx) \right)$ for $x \in \mathbb{R}^n$. I'm looking to show that $f$ is convex in its domain.

In particular, I'm hoping to use the second order characterization of convexity and show that $\nabla^2 f(x) \succcurlyeq 0$. I've written the gradient down as the $n$-dimensional vector $\nabla f(x)$, where the $j^{th}$ element (for $1 \leq j \leq n$) is given by $\frac{\sum \limits_{i = 1}^m a_{ij} \exp (a_i^Tx)}{\sum \limits_{i = 1}^m \exp (a_i^Tx)}$. However, I'm having trouble writing down the Hessian from this. I think it should be relatively easy then to show that for any non-zero $v \in \mathbb{R}^n$, $v^T\nabla^2f(x)v \geq 0$. How would I go about completing this proof?
I don't think proving its Hessian matrix is PSD to show the convexity of log-sum-exp function is a proper way. Analyzing the convexity of composite function may be more effective. 

However, I still try to compute the Hessian matrix here. Let us reformulate the function
\begin{equation}
f(x) = \log(I^T \exp(Ax)),
\end{equation}
where $I \in \mathbb{R}^n$ is an all-one vector.
Then the gradient of $f$ is 
\begin{equation}
\nabla f(x) = \frac{A^T \left(\exp(Ax) \circ I \right)}{I^T \exp(Ax)} = \frac{A^T \exp(Ax)}{I^T \exp(Ax)},
\end{equation}
which is actually the OP computed result.

And the Hessian matrix of $f$ is
\begin{equation}
\nabla^2 f(x) = \frac{A^T \operatorname{Diag}(\exp(Ax))A}{(I^T \exp(Ax))^2}.
\end{equation}
Due to $\operatorname{Diag}(\exp(Ax)) \ge 0$, the hessian matrix is PSD.
I don't think proving its Hessian matrix is PSD to show the convexity of log-sum-exp function is a proper way. Analyzing the convexity of composite function may be more effective. 

However, I still try to compute the Hessian matrix here. Let us reformulate the function
\begin{equation}
f(x) = \log(I^T \exp(Ax)),
\end{equation}
where $I \in \mathbb{R}^n$ is an all-one vector.
Then the gradient of $f$ is 
\begin{equation}
\nabla f(x) = \frac{A^T \left(\exp(Ax) \circ I \right)}{I^T \exp(Ax)} = \frac{A^T \exp(Ax)}{I^T \exp(Ax)},
\end{equation}
which is actually the OP computed result.

And the Hessian matrix of $f$ is
\begin{equation}
\nabla^2 f(x) = \frac{A^T \operatorname{Diag}(\exp(Ax))A}{(I^T \exp(Ax))^2}.
\end{equation}
Due to $\operatorname{Diag}(\exp(Ax)) \ge 0$, the hessian matrix is PSD.