PRML 公式1.118推导

虽然文中详细的说明了利用Jensen不等式证明。但是可能有的同学还是不清楚。下面给出推导过程：

已知 :

$$\begin{equation} \begin{aligned} f(\mathbb E[x]) &\leq \mathbb E [f(x)] \\ f(\mathbb E[\frac{q(x)}{p(x)}]) &\leq \mathbb E [f(\frac{q(x)}{p(x)})] \end{aligned} \end{equation}$$
其中 $f(x) = - \ln x$
则：
$$\begin{equation} \begin{aligned} f(\mathbb E[\frac{q(x)}{p(x)}]) &\leq \mathbb E [f(\frac{q(x)}{p(x)})] \\ -\ln \int p(x) \frac{q(x)}{p(x)} dx &\leq \int p(x) \cdot -\ln\frac{q(x)}{p(x)}dx \\ -\ln \int q(x) dx &\leq -\int p(x) \ln\frac{q(x)}{p(x)}dx \\ - \ln 1 &\leq -\int p(x) \ln\frac{q(x)}{p(x)}dx \\ 0&\leq -\int p(x) \ln\frac{q(x)}{p(x)}dx \end{aligned} \end{equation}$$