A Reverse Jensen Inequality Result with Application to Mutual Information Estimation

Research output: Contribution to book/Conference proceedings/Anthology/ReportConference contributionContributedpeer-review

Contributors

  • Gerhard Wunder - , Free University of Berlin (Author)
  • Benedikt Gros - , Free University of Berlin (Author)
  • Rick Fritschek - , Free University of Berlin (Author)
  • Rafael F. Schaefer - , University of Siegen (Author)

Abstract

The Jensen inequality is a widely used tool in a multitude of fields, such as for example information theory and machine learning. It can be also used to derive other standard inequalities such as the inequality of arithmetic and geometric means or the Hölder inequality. In a probabilistic setting, the Jensen inequality describes the relationship between a convex function and the expected value. In this work, we want to look at the probabilistic setting from the reverse direction of the inequality. We show that under minimal constraints and with a proper scaling, the Jensen inequality can be reversed. We believe that the resulting tool can be helpful for many applications and provide a variational estimation of mutual information, where the reverse inequality leads to a new estimator with superior training behavior compared to current estimators.

Details

Original languageEnglish
Title of host publication2021 IEEE Information Theory Workshop, ITW 2021 - Proceedings
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages1-6
ISBN (electronic)978-1-6654-0312-2
Publication statusPublished - 2021
Peer-reviewedYes
Externally publishedYes

Conference

Title2021 IEEE Information Theory Workshop, ITW 2021
Duration17 - 21 October 2021
CityVirtual, Online
CountryJapan

External IDs

ORCID /0000-0002-1702-9075/work/165878274