Let x_1, ... x_n be real numbers and t_1, ... t_n be nonnegative numbers summing to 1.
A trivial consequence of Jensen's inequality is that
exp(t_1 x_1 + ... + t_n x_n) <= t_1 exp(x_1) + ... + t_n exp(x_n).
I claim that in the other direction, we have the following:
t_1 exp(x_1) + ... + t_n exp(x_n) <= exp( diam(x) + t_1 x_1 + ... + t_n x_n)
where diam(x) = max_i x_i - min_i x_i is the diameter of {x_1, ..., x_n}.
Any proof ideas? (Unlike my previous goof-ups, I can actually prove this one.)
Monday, June 1, 2009
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