Holder不等式

Holder不等式

标量形式

$p\ge 1$

设$a_i,b_i>0$
$p,q\ge 1,\frac{1}{p}+\frac{1}{q}=1$
有${\sum }_{i=1}^n{a}_i{b}_i\le ({\sum }_{i=1}^n{a}_i^p{)}^{\frac{1}{p}}({\sum }_{i=1}^n{b}_i^q{)}^{\frac{1}{q}}$
当且仅当$\frac{a_i}{{\sum }_{i=1}^n{a}_i^p}=\frac{b_i}{{\sum }_{i=1}^n{b}_i^q}(i=1,2,..n)$ 时取等

证明：
当$a_i=0$或$b_i=0$时，显然成立

当$a_i$不全为$0$，$b_i$不全为$0$

设$A=\frac{a_i}{({\sum }_{i=1}^n{a}_i^p{)}^{\frac{1}{p}}},B=\frac{b_i}{({\sum }_{i=1}^n{b}_i^q{)}^{\frac{1}{q}}}$
由Young不等式
$$\begin{array}{rl}AB& \le \frac{A^p}{p}+\frac{B^q}{q}\\ \frac{a_i{b}_i}{({\sum }_{i=1}^n{a}_i^p{)}^{\frac{1}{p}}({\sum }_{i=1}^n{b}_i^q{)}^{\frac{1}{q}}}& \le \frac{1}{p}\frac{a_i^p}{{\sum }_{i=1}^n{a}_i^p}+\frac{1}{q}\frac{b_i^q}{{\sum }_{i=1}^n{b}_i^q}\\ \sum _{i=1}^n\frac{a_i{b}_i}{({\sum }_{i=1}^n{a}_i^p{)}^{\frac{1}{p}}({\sum }_{i=1}^n{b}_i^q{)}^{\frac{1}{q}}}& \le \sum _{i=1}^n(\frac{1}{p}\frac{a_i^p}{{\sum }_{i=1}^n{a}_i^p}+\frac{1}{q}\frac{b_i^q}{{\sum }_{i=1}^n{b}_i^q})\\ \frac{{\sum }_{i=1}^n{a}_i{b}_i}{({\sum }_{i=1}^n{a}_i^p{)}^{\frac{1}{p}}({\sum }_{i=1}^n{b}_i^q{)}^{\frac{1}{q}}}& \le (\frac{1}{p}\frac{{\sum }_{i=1}^n{a}_i^p}{{\sum }_{i=1}^n{a}_i^p}+\frac{1}{q}\frac{{\sum }_{i=1}^n{b}_i^q}{{\sum }_{i=1}^n{b}_i^q})\\ \sum _{i=1}^n{a}_i{b}_i& \le (\sum _{i=1}^n{a}_i^p{)}^{\frac{1}{p}}(\sum _{i=1}^n{b}_i^q{)}^{\frac{1}{q}}\end{array}$$

0<p<1

设$a_i,b_i>0$
$0<p<1,\frac{1}{p}+\frac{1}{q}=1$
有${\sum }_{i=1}^n{a}_i{b}_i\ge ({\sum }_{i=1}^n{a}_i^p{)}^{\frac{1}{p}}({\sum }_{i=1}^n{b}_i^q{)}^{\frac{1}{q}}$
当且仅当$a_1{b}_1^{-\frac{q}{p}}=a_2{b}_2^{-\frac{q}{p}}=\cdots =a_n{b}_n^{-\frac{q}{p}}$ 时取等

证明：
$0<p<1\Rightarrow \frac{1}{p}>1,q<0\Rightarrow 1-\frac{1}{q}>0$
$y=x^p$
$y^{\prime \prime }=p(p-1)x^{p-2}<0(x>0)$
由Jensen不等式
$$\begin{array}{rl}(\frac{{\sum }_{i=1}^n{p}_i{x}_i}{{\sum }_{i=1}^n{p}_i}{)}^p& \ge \frac{{\sum }_{i=1}^n{p}_i{x}_i^p}{{\sum }_{i=1}^n{p}_i}\\ \sum _{i=1}^n{p}_i{x}_i& \ge (\sum _{i=1}^n{p}_i{x}_i^p{)}^{\frac{1}{p}}(\sum _{i=1}^n{p}_i{)}^{\frac{p-1}{p}}\\ \sum _{i=1}^n{p}_i{x}_i& \ge (\sum _{i=1}^n{p}_i{x}_i^p{)}^{\frac{1}{p}}(\sum _{i=1}^n{p}_i{)}^{\frac{1}{q}}\end{array}$$
$$\{\begin{array}{l}{p}_i{x}_i^p=a_i^p\\ p_i=b_i^q\end{array}\Rightarrow \{\begin{array}{l}{p}_i=b_i^q\\ x_i=a_i{b}_i^{-\frac{q}{p}}\end{array}$$
$$\sum _{i=1}^n{a}_i{b}_i\ge (\sum _{i=1}^n{a}_i^p{)}^{\frac{1}{p}}(\sum _{i=1}^n{b}_i^q{)}^{\frac{1}{q}}$$

积分形式

p>1

当$p,q>1,\frac{1}{p}+\frac{1}{q}=1$时,有
${\int }_a^b\left|f(x)g(x)\right|\mathrm{d}x\le ({\int }_a^b{\left|f(x)\right|}^p\mathrm{d}x{)}^{\frac{1}{p}}({\int }_a^b{\left|g(x)\right|}^q\mathrm{d}x{)}^{\frac{1}{q}}$
积分形式证明：
设$A=\frac{|f(x)|}{({\int }_a^b{|f(x)|}^p\mathrm{d}x{)}^{\frac{1}{p}}},B=\frac{|g(x)|}{({\int }_a^b{|g(x)|}^q\mathrm{d}x{)}^{\frac{1}{q}}}$
与上面差不多，把求和换成积分