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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Generate an image of Jensen inequality (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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Statements (56)

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 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 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 functional equation ⓘ
linked to: Jensen inequality
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's inequality ⓘ
linked to: Jensen inequality
Johan Jensen → hasNotableEponym → Jensen's inequality ⓘ
linked to: Jensen inequality
Johan Jensen → hasEponymousConcept → Jensen's inequality ⓘ
linked to: Jensen inequality
Karamata's inequality → generalizes → Jensen's inequality ⓘ
linked to: Jensen inequality
Young's inequality → hasProofMethod → Jensen's inequality ⓘ
linked to: Jensen inequality