The Australian Journal of Mathematical Analysis and Applications

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ISSN 1449-5910  


Paper Information

Paper Title:

Bounds on the Jensen Gap, and Implications for Mean-Concentrated Distributions


Xiang Gao, Meera Sitharam, Adrian E. Roitberg

Department of Chemistry, and Department of Computer & Information Science & Engineering,
University of Florida,
Gainesville, FL 32611,


This paper gives upper and lower bounds on the gap in Jensen's inequality, i.e., the difference between the expected value of a function of a random variable and the value of the function at the expected value of the random variable. The bounds depend only on growth properties of the function and specific moments of the random variable. The bounds are particularly useful for distributions that are concentrated around the mean, a commonly occurring scenario such as the average of i.i.d. samples and in statistical mechanics.

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