TheoremBase

Jensen's Inequality for Finite Convex Combinations

Statement

Let nn and NN be natural numbers with 1≤n1\le n and 1≤N1\le N, let R\mathbb{R} be the real numbers with the order ≤\le of its ordered field structure, and let [N][N] be the initial segment determined by NN. Let CC be a convex subset of Euclidean space Rn\mathbb{R}^n, regarded as a real vector space by Euclidean Space Rn\mathbb{R}^n is a Real Vector Space, and let f:C→Rf:C\to\mathbb{R} be convex on CC.

Let x:[N]→Rnx:[N]\to\mathbb{R}^n take all of its values in CC and let tt be a system of convex weights of length NN. The convex combination ∑k=1Ntkxk\sum_{k=1}^{N}t_kx_k lies in CC by claim 3 of Small Cases, Reduction, and Membership for Convex Combinations, and

f(∑k=1Ntkxk)≤∑k=1Ntk f(xk),f\Bigl(\sum_{k=1}^{N}t_kx_k\Bigr)\le\sum_{k=1}^{N}t_k\,f(x_k),

the sum on the right being a finite sum in the field R\mathbb{R}.

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