Log sum inequality


The log sum inequality is used for proving theorems in information theory.

Statement

Let and be nonnegative numbers. Denote the sum of all s by and the sum of all s by. The log sum inequality states that
with equality if and only if are equal for all, in other words for all.

Proof

Notice that after setting we have
where the inequality follows from Jensen's inequality since,, and is convex.

Generalizations

The inequality remains valid for provided that and.
The proof above holds for any function such that is convex, such as all continuous non-decreasing functions. Generalizations to non-decreasing functions other than the logarithm is given in Csiszár, 2004.

Applications

The log sum inequality can be used to prove inequalities in information theory. Gibbs' inequality states that the Kullback-Leibler divergence is non-negative, and equal to zero precisely if its arguments are equal. One proof uses the log sum inequality.
with equality if and only if for all i.
The inequality can also prove convexity of Kullback-Leibler divergence.