Jensen's inequality


In mathematics, Jensen's inequality, named after the Danish mathematician Johan Jensen, relates the value of a convex function of an integral to the integral of the convex function. It was proved by Jensen in 1906. Given its generality, the inequality appears in many forms depending on the context, some of which are presented below. In its simplest form the inequality states that the convex transformation of a mean is less than or equal to the mean applied after convex transformation; it is a simple corollary that the opposite is true of concave transformations.
Jensen's inequality generalizes the statement that the secant line of a convex function lies above the graph of the function, which is Jensen's inequality for two points: the secant line consists of weighted means of the convex function,
while the graph of the function is the convex function of the weighted means,
Thus, Jensen's inequality is
In the context of probability theory, it is generally stated in the following form: if X is a random variable and is a convex function, then
The difference between the two sides of the inequality,, is called the Jensen gap.

Statements

The classical form of Jensen's inequality involves several numbers and weights. The inequality can be stated quite generally using either the language of measure theory or probability. In the probabilistic setting, the inequality can be further generalized to its full strength.

Finite form

For a real convex function, numbers in its domain, and positive weights, Jensen's inequality can be stated as:
and the inequality is reversed if is concave, which is
Equality holds if and only if or is linear on a domain containing.
As a particular case, if the weights are all equal, then and become
For instance, the function Logarithm| is concave, so substituting in the previous formula establishes the familiar arithmetic-mean/geometric-mean inequality:
A common application has as a function of another variable , that is,. All of this carries directly over to the general continuous case: the weights are replaced by a non-negative integrable function, such as a probability distribution, and the summations are replaced by integrals.

Measure-theoretic and probabilistic form

Let be a probability space, such that. If is a real-valued function that is -integrable, and if is a convex function on the real line, then:
In real analysis, we may require an estimate on
where, and is a non-negative Lebesgue-integrable function. In this case, the Lebesgue measure of need not be unity. However, by integration by substitution, the interval can be rescaled so that it has measure unity. Then Jensen's inequality can be applied to get
The same result can be equivalently stated in a probability theory setting, by a simple change of notation. Let be a probability space, X an integrable real-valued random variable and a convex function. Then:
In this probability setting, the measure is intended as a probability, the integral with respect to as an expected value, and the function as a random variable X.
Notice that the equality holds if and only if X is constant or if is Borel-almost surely linear.

General inequality in a probabilistic setting

More generally, let T be a real topological vector space, and X a T-valued integrable random variable. In this general setting, integrable means that there exists an element in T, such that for any element z in the dual space of T:, and. Then, for any measurable convex function and any sub-σ-algebra of :
Here stands for the expectation conditioned to the σ-algebra. This general statement reduces to the previous ones when the topological vector space is the real axis, and is the trivial -algebra .

A sharpened and generalized form

Let X be a one-dimensional random variable with mean and variance. Let be a twice differentiable function, and define the function
Then
In particular, when is convex, then, and the standard form of Jensen's inequality immediately follows.

Proofs

Jensen's inequality can be proved in several ways, and three different proofs corresponding to the different statements above will be offered. Before embarking on these mathematical derivations, however, it is worth analyzing an intuitive graphical argument based on the probabilistic case where is a real number. Assuming a hypothetical distribution of values, one can immediately identify the position of and its image in the graph. Noticing that for convex mappings the corresponding distribution of values is increasingly "stretched out" for increasing values of, it is easy to see that the distribution of is broader in the interval corresponding to and narrower in for any ; in particular, this is also true for. Consequently, in this picture the expectation of will always shift upwards with respect to the position of. A similar reasoning holds if the distribution of covers a decreasing portion of the convex function, or both a decreasing and an increasing portion of it. This "proves" the inequality, i.e.
with equality when is not strictly convex, e.g. when it is a straight line, or when follows a degenerate distribution.
The proofs below formalize this intuitive notion.

Proof 1 (finite form)

If and are two arbitrary nonnegative real numbers such that then convexity of implies
This can be easily generalized: if are nonnegative real numbers such that, then
for any. This finite form of the Jensen's inequality can be proved by induction: by convexity hypotheses, the statement is true for n = 2. Suppose it is true also for some n, one needs to prove it for. At least one of the is strictly positive, say ; therefore by convexity inequality:
Since
one can apply the induction hypotheses to the last term in the previous formula to obtain the result, namely the finite form of the Jensen's inequality.
In order to obtain the general inequality from this finite form, one needs to use a density argument. The finite form can be rewritten as:
where μn is a measure given by an arbitrary convex combination of Dirac deltas:
Since convex functions are continuous, and since convex combinations of Dirac deltas are weakly dense in the set of probability measures, the general statement is obtained simply by a limiting procedure.

Proof 2 (measure-theoretic form)

Let g be a real-valued μ-integrable function on a probability space Ω, and let be a convex function on the real numbers. Since is convex, at each real number we have a nonempty set of subderivatives, which may be thought of as lines touching the graph of at, but which are at or below the graph of at all points.
Now, if we define
because of the existence of subderivatives for convex functions, we may choose a and b such that
for all real and
But then we have that
for all. Since we have a probability measure, the integral is monotone with so that
as desired.

Proof 3 (general inequality in a probabilistic setting)

Let X be an integrable random variable that takes values in a real topological vector space T. Since is convex, for any, the quantity
is decreasing as approaches 0+. In particular, the subdifferential of evaluated at in the direction is well-defined by
It is easily seen that the subdifferential is linear in and, since the infimum taken in the right-hand side of the previous formula is smaller than the value of the same term for, one gets
In particular, for an arbitrary sub--algebra we can evaluate the last inequality when to obtain
Now, if we take the expectation conditioned to on both sides of the previous expression, we get the result since:
by the linearity of the subdifferential in the y variable, and the following well-known property of the conditional expectation:

Applications and special cases

Form involving a probability density function

Suppose is a measurable subset of the real line and f is a non-negative function such that
In probabilistic language, f is a probability density function.
Then Jensen's inequality becomes the following statement about convex integrals:
If g is any real-valued measurable function and is convex over the range of g, then
If g = x, then this form of the inequality reduces to a commonly used special case:

Example: even moment">moment (mathematics)">moments of a random variable

If g = x2n, and X is a random variable, then g is convex as
and so
In particular, if some even moment 2n of X is finite, X has a finite mean. An extension of this argument shows X has finite moments of every order dividing n.

Alternative finite form

Let and take to be the counting measure on, then the general form reduces to a statement about sums:
provided that and
There is also an infinite discrete form.

Statistical physics

Jensen's inequality is of particular importance in statistical physics when the convex function is an exponential, giving:
where the expected values are with respect to some probability distribution in the random variable.
The proof in this case is very simple. The desired inequality follows directly, by writing
and then applying the inequality to the final exponential.

Information theory

If is the true probability density for, and is another density, then applying Jensen's inequality for the random variable and the convex function gives
Therefore:
a result called Gibbs' inequality.
It shows that the average message length is minimised when codes are assigned on the basis of the true probabilities p rather than any other distribution q. The quantity that is non-negative is called the Kullback–Leibler divergence of q from p.
Since is a strictly convex function for, it follows that equality holds when equals almost everywhere.

Rao–Blackwell theorem

If L is a convex function and a sub-sigma-algebra, then, from the conditional version of Jensen's inequality, we get
So if δ is some estimator of an unobserved parameter θ given a vector of observables X; and if T is a sufficient statistic for θ; then an improved estimator, in the sense of having a smaller expected loss L, can be obtained by calculating
the expected value of δ with respect to θ, taken over all possible vectors of observations X compatible with the same value of T as that observed. Further, because T is a sufficient statistics, does not depend on θ, hence, becomes a statistics.
This result is known as the Rao–Blackwell theorem.