Jensen's inequality for integrals #
THIS FILE IS SYNCHRONIZED WITH MATHLIB4. Any changes to this file require a corresponding PR to mathlib4.
In this file we prove several forms of Jensen's inequality for integrals.
-
for convex sets:
convex.average_mem
,convex.set_average_mem
,convex.integral_mem
; -
for convex functions:
convex.on.average_mem_epigraph
,convex_on.map_average_le
,convex_on.set_average_mem_epigraph
,convex_on.map_set_average_le
,convex_on.map_integral_le
; -
for strictly convex sets:
strict_convex.ae_eq_const_or_average_mem_interior
; -
for a closed ball in a strictly convex normed space:
ae_eq_const_or_norm_integral_lt_of_norm_le_const
; -
for strictly convex functions:
strict_convex_on.ae_eq_const_or_map_average_lt
.
TODO #
- Use a typeclass for strict convexity of a closed ball.
Tags #
convex, integral, center mass, average value, Jensen's inequality
Non-strict Jensen's inequality #
If μ
is a probability measure on α
, s
is a convex closed set in E
, and f
is an
integrable function sending μ
-a.e. points to s
, then the expected value of f
belongs to s
:
∫ x, f x ∂μ ∈ s
. See also convex.sum_mem
for a finite sum version of this lemma.
If μ
is a non-zero finite measure on α
, s
is a convex closed set in E
, and f
is an
integrable function sending μ
-a.e. points to s
, then the average value of f
belongs to s
:
⨍ x, f x ∂μ ∈ s
. See also convex.center_mass_mem
for a finite sum version of this lemma.
If μ
is a non-zero finite measure on α
, s
is a convex closed set in E
, and f
is an
integrable function sending μ
-a.e. points to s
, then the average value of f
belongs to s
:
⨍ x, f x ∂μ ∈ s
. See also convex.center_mass_mem
for a finite sum version of this lemma.
If μ
is a non-zero finite measure on α
, s
is a convex set in E
, and f
is an integrable
function sending μ
-a.e. points to s
, then the average value of f
belongs to closure s
:
⨍ x, f x ∂μ ∈ s
. See also convex.center_mass_mem
for a finite sum version of this lemma.
Jensen's inequality: if a function g : E → ℝ
is convex and continuous on a convex closed
set s
, μ
is a finite non-zero measure on α
, and f : α → E
is a function sending
μ
-a.e. points to s
, then the value of g
at the average value of f
is less than or equal to
the average value of g ∘ f
provided that both f
and g ∘ f
are integrable. See also
convex_on.map_center_mass_le
for a finite sum version of this lemma.
Jensen's inequality: if a function g : E → ℝ
is concave and continuous on a convex closed
set s
, μ
is a finite non-zero measure on α
, and f : α → E
is a function sending
μ
-a.e. points to s
, then the average value of g ∘ f
is less than or equal to the value of g
at the average value of f
provided that both f
and g ∘ f
are integrable. See also
concave_on.le_map_center_mass
for a finite sum version of this lemma.
Jensen's inequality: if a function g : E → ℝ
is convex and continuous on a convex closed
set s
, μ
is a finite non-zero measure on α
, and f : α → E
is a function sending
μ
-a.e. points of a set t
to s
, then the value of g
at the average value of f
over t
is
less than or equal to the average value of g ∘ f
over t
provided that both f
and g ∘ f
are
integrable.
Jensen's inequality: if a function g : E → ℝ
is concave and continuous on a convex closed
set s
, μ
is a finite non-zero measure on α
, and f : α → E
is a function sending
μ
-a.e. points of a set t
to s
, then the average value of g ∘ f
over t
is less than or
equal to the value of g
at the average value of f
over t
provided that both f
and g ∘ f
are integrable.
Jensen's inequality: if a function g : E → ℝ
is convex and continuous on a convex closed
set s
, μ
is a finite non-zero measure on α
, and f : α → E
is a function sending
μ
-a.e. points of a set t
to s
, then the value of g
at the average value of f
over t
is
less than or equal to the average value of g ∘ f
over t
provided that both f
and g ∘ f
are
integrable.
Jensen's inequality: if a function g : E → ℝ
is concave and continuous on a convex closed
set s
, μ
is a finite non-zero measure on α
, and f : α → E
is a function sending
μ
-a.e. points of a set t
to s
, then the average value of g ∘ f
over t
is less than or
equal to the value of g
at the average value of f
over t
provided that both f
and g ∘ f
are integrable.
Jensen's inequality: if a function g : E → ℝ
is convex and continuous on a convex closed
set s
, μ
is a probability measure on α
, and f : α → E
is a function sending μ
-a.e. points
to s
, then the value of g
at the expected value of f
is less than or equal to the expected
value of g ∘ f
provided that both f
and g ∘ f
are integrable. See also
convex_on.map_center_mass_le
for a finite sum version of this lemma.
Jensen's inequality: if a function g : E → ℝ
is concave and continuous on a convex closed
set s
, μ
is a probability measure on α
, and f : α → E
is a function sending μ
-a.e. points
to s
, then the expected value of g ∘ f
is less than or equal to the value of g
at the expected
value of f
provided that both f
and g ∘ f
are integrable.
Strict Jensen's inequality #
If f : α → E
is an integrable function, then either it is a.e. equal to the constant
⨍ x, f x ∂μ
or there exists a measurable set such that μ t ≠ 0
, μ tᶜ ≠ 0
, and the average
values of f
over t
and tᶜ
are different.
If an integrable function f : α → E
takes values in a convex set s
and for some set t
of
positive measure, the average value of f
over t
belongs to the interior of s
, then the average
of f
over the whole space belongs to the interior of s
.
If an integrable function f : α → E
takes values in a strictly convex closed set s
, then
either it is a.e. equal to its average value, or its average value belongs to the interior of
s
.
Jensen's inequality, strict version: if an integrable function f : α → E
takes values in a
convex closed set s
, and g : E → ℝ
is continuous and strictly convex on s
, then
either f
is a.e. equal to its average value, or g (⨍ x, f x ∂μ) < ⨍ x, g (f x) ∂μ
.
Jensen's inequality, strict version: if an integrable function f : α → E
takes values in a
convex closed set s
, and g : E → ℝ
is continuous and strictly concave on s
, then
either f
is a.e. equal to its average value, or ⨍ x, g (f x) ∂μ < g (⨍ x, f x ∂μ)
.
If E
is a strictly convex normed space and f : α → E
is a function such that ‖f x‖ ≤ C
a.e., then either this function is a.e. equal to its average value, or the norm of its average value
is strictly less than C
.
If E
is a strictly convex normed space and f : α → E
is a function such that ‖f x‖ ≤ C
a.e., then either this function is a.e. equal to its average value, or the norm of its integral is
strictly less than (μ univ).to_real * C
.
If E
is a strictly convex normed space and f : α → E
is a function such that ‖f x‖ ≤ C
a.e. on a set t
of finite measure, then either this function is a.e. equal to its average value on
t
, or the norm of its integral over t
is strictly less than (μ t).to_real * C
.