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\chapter{Applications of Jensen's inequality} | ||
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In this chapter, $h$ denotes the function $h(x) := x \log \frac{1}{x}$ for $x \in [0,1]$. | ||
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\begin{lemma}[Concavity]\label{concave} | ||
\lean{Real.strictConcaveOn_negMulLog}\leanok | ||
$h$ is strictly concave on $[0,1]$. | ||
\end{lemma} | ||
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\begin{proof} \leanok Check that $h'$ is strictly monotone decreasing. | ||
\end{proof} | ||
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\begin{lemma}[Jensen]\label{jensen} | ||
\lean{Real.sum_negMulLog_le} \leanok | ||
If $S$ is a finite set, and $\sum_{s \in S} w_s = 1$ for some non-negative $w_s$, and $p_s \in [0,1]$ for all $s \in S$, then | ||
$$ \sum_{s \in S} w_s h(p_s) \leq h(\sum_{s \in S} w_s p_s).$$ | ||
\end{lemma} | ||
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\begin{proof} \uses{concave}\leanok Apply Jensen and Lemma \ref{concave}. | ||
\end{proof} | ||
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\begin{lemma}[Converse Jensen]\label{converse-jensen} | ||
\lean{Real.sum_negMulLog_eq}\leanok | ||
If equality holds in the above lemma, then $p_s = \sum_{s \in S} w_s h(p_s)$ whenever $w_s \neq 0$. | ||
\end{lemma} | ||
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\begin{proof} \uses{concave}\leanok Need some converse form of Jensen, not sure if it is already in Mathlib. May also wish to state it as an if and only if. | ||
\end{proof} |
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