TheoremBase

Jensen's Inequality for Finite Convex Combinations in Rn\mathbb{R}^n

A convex function evaluated at a convex combination of finitely many points is at most the same convex combination of its values.

Statement

In the setting of Convex Functions on Rn\mathbb{R}^n: Standing Notation, let C⊆RnC\subseteq\mathbb{R}^{n} be convex and let f:C→Rf:C\to\mathbb{R} be convex. Let N∈NN\in\mathbb{N}, let x1,…,xN∈Cx_{1},\dots,x_{N}\in C, and let t∈ΔNt\in\Delta_{N} be convex weights, so that the convex combination ∑k=1Ntkxk\sum_{k=1}^{N}t_{k}x_{k} lies in CC by Convex Combinations: Small Cases, Splitting Off the Last Point, Dropping a Zero Weight, Joining Two Combinations, and Membership in Convex Sets (vi).

Jensen's inequality.

f(∑k=1Ntkxk)≤∑k=1Ntkf(xk).f\Bigl(\sum_{k=1}^{N}t_{k}x_{k}\Bigr)\le\sum_{k=1}^{N}t_{k}f(x_{k}).

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