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  • Print publication year: 2007
  • Online publication date: July 2010

4 - Convexity, and Jensen's inequality


Convex sets and convex functions

Many important inequalities depend upon convexity. In this chapter, we shall establish Jensen's inequality, the most fundamental of these inequalities, in various forms.

A subset C of a real or complex vector space E is convex if whenever x and y are in C and 0 ≤ θ ≤ 1 then (1 − θ)x + θyC. This says that the real line segment [x, y] is contained in C. Convexity is a real property: in the complex case, we are restricting attention to the underlying real space. Convexity is an affine property, but we shall restrict our attention to vector spaces rather than to affine spaces.

Proposition 4.1.1A subset C of a vector space E is convex if and only if whenever x1, …, xnC and p1, …, pn are positive numbers with p1 + … + pn = 1 then p1x1 + … + pnxnC.

Proof The condition is certainly sufficient. We prove necessity by induction on n. The result is trivially true when n = 1, and is true for n = 2, as this reduces to the definition of convexity. Suppose that the result is true for n − 1, and that x1, …, xn and p1, …, pn are as above.