Jensen’s inequality

For a convex function ff and points 𝐱(1),,𝐱(t)\mathbf{x}^{(1)},…,\mathbf{x}^{(t)}, f(1t𝐱(1)+...+1t𝐱(t))1tf\left(\frac{1}{t}\cdot\mathbf{x}^{(1)}+...+\frac{1}{t}\cdot\mathbf{x}^{(t)}\right) \leq \frac{1}{t}\cdot

More generally, deriving from Variance and Expectation, 𝔼[f(X)]f(𝔼[X])\mathbb{E}[f(X)] \geq f(\mathbb{E}[X])


For concave function,


References:

  1. https://www.probabilitycourse.com/chapter6/6_2_5_jensen's_inequality.php
  2. https://mathworld.wolfram.com/JensensInequality.html