Jensen inequality

E87727

Jensen's inequality is a fundamental result in convex analysis and probability theory that relates the value of a convex (or concave) function of an expectation to the expectation of the function, providing bounds that underlie many other inequalities and convergence results.

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Predicate Object
instanceOf mathematical inequality
result in convex analysis
result in probability theory
appliesTo concave functions
convex functions
coreStatement For a concave function φ and random variable X, φ(E[X]) ≥ E[φ(X)]
For a convex function φ and random variable X, φ(E[X]) ≤ E[φ(X)]
equalityCondition convex function is affine on the support of the random variable
random variable is almost surely constant
field convex analysis
measure theory
probability theory
real analysis
generalizationOf Cauchy–Schwarz inequality in some formulations
inequality between arithmetic and geometric means
inequality between arithmetic and harmonic means
hasVariant conditional Jensen's inequality
matrix Jensen inequality
operator Jensen inequality
holdsFor continuous distributions
discrete distributions
finite sums
integrals
probability measures
implies E[|X|^p] ≥ |E[X]|^p for p ≥ 1
log E[X] ≥ E[log X] for positive X and concave log
namedAfter Johan Jensen
relatedTo Kullback–Leibler divergence
surface form: Gibbs' inequality

Karamata's inequality
Young's inequality
convex combination
epigraph of a convex function
majorization theory
supporting hyperplane
relates expectation of a function
expectation of a random variable
function of an expectation
requires convexity of the function on the range of the random variable
integrable random variable
timePeriod early 20th century
usedFor Hölder-type inequalities
Jensen–Shannon divergence properties
Kullback–Leibler divergence
surface form: Kullback–Leibler divergence inequalities

Minkowski inequality proofs
bounding expectations
bounding moments of random variables
convex optimization analysis
deriving other inequalities
entropy bounds
evidence lower bound (ELBO) derivation
information theory inequalities
machine learning generalization bounds
proving convergence results
proving law of large numbers variants
risk measures in finance
variational inference

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Referenced by (11)

Full triples — surface form annotated when it differs from this entity's canonical label.

Minkowski inequality relatedTo Jensen inequality
Ulam stability appliesTo Jensen inequality
this entity surface form: Jensen functional equation
Hölder inequality relatedTo Jensen inequality
Lyapunov inequality relatedTo Jensen inequality
Cauchy–Schwarz inequality relatedTo Jensen inequality
Cauchy functional equation relatedTo Jensen inequality
Johan Jensen knownFor Jensen inequality
this entity surface form: Jensen's inequality
Johan Jensen hasNotableEponym Jensen inequality
this entity surface form: Jensen's inequality
Johan Jensen hasEponymousConcept Jensen inequality
this entity surface form: Jensen's inequality
Karamata's inequality generalizes Jensen inequality
this entity surface form: Jensen's inequality
Young's inequality hasProofMethod Jensen inequality
this entity surface form: Jensen's inequality