最初的Jensen不等式:
f
(
x
+
y
2
)
≤
f
(
x
)
+
f
(
y
)
2
f(\frac{x+y}{2})\leq\frac{f(x)+f(y)}{2}
f(2x+y)≤2f(x)+f(y)
也可表示为:
f
(
θ
x
+
(
1
−
θ
)
y
)
≤
θ
f
(
x
)
+
(
1
−
θ
)
f
(
y
)
f(\theta x+(1-\theta)y)\leq \theta f(x)+(1-\theta)f(y)
f(θx+(1−θ)y)≤θf(x)+(1−θ)f(y)
Jensen不等式扩展:
1、线性组合:
f
(
θ
1
x
1
+
.
.
.
+
θ
k
x
k
)
≤
θ
1
f
(
x
1
)
+
.
.
.
θ
k
f
(
x
k
)
f(\theta_1x_1+...+\theta_k x_k)\leq \theta_1f(x_1)+...\theta_k f(x_k)
f(θ1x1+...+θkxk)≤θ1f(x1)+...θkf(xk)
2、积分:
f
(
∫
S
p
(
x
)
x
d
x
)
≤
∫
S
f
(
x
)
p
(
x
)
d
x
f(\int_S p(x)xdx)\leq\int_S f(x)p(x)dx
f(∫Sp(x)xdx)≤∫Sf(x)p(x)dx
3、期望:
f
(
E
x
)
≤
E
f
(
x
)
f(\mathrm{E}x)\leq\mathrm{E}f(x)
f(Ex)≤Ef(x)
Holder不等式
对于
p
>
1
,
1
p
+
1
q
=
1
p>1,\frac{1}{p}+\frac{1}{q}=1
p>1,p1+q1=1,以及
x
,
y
∈
R
n
x,y\in \mathbb{R^{n}}
x,y∈Rn,有
∑
i
=
1
n
x
i
y
i
≤
(
∑
i
=
1
n
∣
x
i
∣
p
)
1
p
(
∑
i
=
1
n
∣
y
i
∣
q
)
1
q
\sum^{n}_{i=1}x_iy_i\leq(\sum^{n}_{i=1}|x_i|^{p})^{\frac{1}{p}} (\sum^{n}_{i=1}|y_i|^{q})^{\frac{1}{q}}
i=1∑nxiyi≤(i=1∑n∣xi∣p)p1(i=1∑n∣yi∣q)q1