Hlder's inequality

Hlder's inequality
In mathematical analysis Hlder's inequality, named after Otto Hlder, is a fundamental inequality between integrals and an indispensable tool for the study of Lp spaces. Let (S, , ) be a measure space and let 1 p, q with 1/p+ 1/q=1. Then, for all measurable real- or complex-valued functions f and g onS,

The numbers p and q above are said to be Hlder conjugates of each other. The special case p= q=2 gives a form of the CauchySchwarz inequality. Hlder's inequality holds even if ||fg ||1 is infinite, the right-hand side also being infinite in that case. In particular, if f is in Lp() and g is in Lq(), then fg is in L1(). For 1 < p, q < and f Lp() and g Lq(), Hlder's inequality becomes an equality if and only if |f |p and |g |q are linearly dependent in L1(), meaning that there exist real numbers ,0, not both of them zero, such that |f |p = |g |q -almost everywhere. Hlder's inequality is used to prove the Minkowski inequality, which is the triangle inequality in the space Lp(), and also to establish that Lq() is the dual space ofLp() for 1p<. Hlder's inequality was first found by L. J. Rogers(1888), and discovered independently by Hlder (1889).

Remarks
Conventions
The brief statement of Hlder's inequality uses some conventions. In the definition of Hlder conjugates, 1/ means zero. If 1 p, q < , then ||f ||p and ||g ||q stand for the (possibly infinite) expressions and If p = , then ||f || stands for the essential supremum of |f |, similarly for ||g ||. The notation ||f ||p with 1 p is a slight abuse, because in general it is only a norm of f if ||f ||p is finite and f is considered as equivalence class of -almost everywhere equal functions. If fLp() and gLq(), then the notation is adequate. On the right-hand side of Hlder's inequality, 0 times as well as times 0 means0. Multiplying a>0 with gives.

Estimates for integrable products

As above, let f and g denote measurable real- or complex-valued functions defined onS. If ||fg ||1 is finite, then the products of f with g and its complex conjugate function, respectively, are -integrable, the estimates

and the similar one for fg hold, and Hlder's inequality can be applied to the right-hand side. In particular, if f and g are in the Hilbert space L2(), then Hlder's inequality for p= q=2 implies

Hlder's inequality where the angle brackets refer to the inner product of L2(). This is also called CauchySchwarz inequality, but requires for its statement that ||f||2 and ||g||2 are finite to make sure that the inner product of f and g is well defined. We may recover the original inequality (for the case p=2) by using the functions |f| and |g| in place of f and g.

Generalization for probability measures

If (S, , ) is a probability space, then 1 p, q just need to satisfy 1/p+ 1/q1, rather than being Hlder conjugates. A combination of Hlder's inequality and Jensen's inequality implies that

for all measurable real- or complex-valued functions f and g onS,

Notable special cases

For the following cases assume that p and q are in the open interval (1, ) with 1/p+ 1/q=1.

Counting measure
In the case of n-dimensional Euclidean space, when the set S is {1, , n} with the counting measure, we have

If S=N with the counting measure, then we get Hlder's inequality for sequence spaces:

Lebesgue measure
If S is a measurable subset of Rn with the Lebesgue measure, and f and g are measurable real- or complex-valued functions onS, then Hlder inequality is

Probability measure
For the probability space , let E denote the expectation operator. For real- or complex-valued random variables X and Y on, Hlder's inequality reads

Let 0 < r < s and define p = s / r. Then q = p / (p1) is the Hlder conjugate ofp. Applying Hlder's inequality to the random variables |X |r and 1, we obtain In particular, if the sth absolute moment is finite, then the rth absolute moment is finite, too. (This also follows from Jensen's inequality.)

Hlder's inequality

Product measure
For two -finite measure spaces (S1, 1, 1) and (S2, 2, 2) define the product measure space by where S is the Cartesian product of S1 and S2, the -algebra arises as product -algebra of 1 and 2, and denotes the product measure of 1 and2. Then Tonelli's theorem allows us to rewrite Hlder's inequality using iterated integrals: Iff and g are -measurable real- or complex-valued functions on the Cartesian productS, then

This can be generalized to more than two -finite measure spaces.

Vector-valued functions
Let (S, , ) denote a -finite measure space and suppose that f = (f1, , fn) and g = (g1, , gn) are -measurable functions on S, taking values in the n-dimensional real- or complex Euclidean space. By taking the product with the counting measure on {1, , n}, we can rewrite the above product measure version of Hlder's inequality in the form

If the two integrals on the right-hand side are finite, then equality holds if and only if there exist real numbers ,0, not both of them zero, such that for -almost all x in S. This finite-dimensional version generalizes to functions f and g taking values in a sequence space.

Proof of Hlder's inequality

There are several proofs of Hlder's inequality; the main idea in the following is Young's inequality. If ||f ||p = 0, then f is zero -almost everywhere, and the product fg is zero -almost everywhere, hence the left-hand side of Hlder's inequality is zero. The same is true if ||g ||q=0. Therefore, we may assume ||f ||p>0 and ||g ||q>0 in the following. If ||f ||p = or ||g ||q=, then the right-hand side of Hlder's inequality is infinite. Therefore, we may assume that ||f ||p and ||g ||q are in (0, ). If p = and q = 1, then |fg | ||f || |g | almost everywhere and Hlder's inequality follows from the monotonicity of the Lebesgue integral. Similarly for p=1 and q=. Therefore, we may also assume p, q (1, ). Dividing f and g by ||f ||p and ||g ||q, respectively, we can assume that We now use Young's inequality, which states that

for all nonnegative a and b, where equality is achieved if and only if a p = b q. Hence

Hlder's inequality Integrating both sides gives

which proves the claim. Under the assumptions p (1, ) and ||f ||p = ||g ||q = 1, equality holds if and only if |f |p = |g |q almost everywhere. More generally, if ||f ||p and ||g ||q are in (0, ), then Hlder's inequality becomes an equality if and only if there exist real numbers ,>0, namely and such that -almost everywhere(*). The case ||f ||p = 0 corresponds to =0 in (*). The case ||g ||q=0 corresponds to =0 in (*).

Extremal equality
Statement
Assume that 1 p< and let q denote the Hlder conjugate. Then, for every Lp(),

where max indicates that there actually is a g maximizing the right-hand side. When p= and if each set A in the -field with (A)= contains a subset B with 0< (B)< (which is true in particular when is -finite), then

Remarks and examples

The equality for p= fails whenever there exists a set A in the -field with (A)= that has no subset B with 0< (B)< (the simplest example is the -field containing just the empty set and S, and the measure with (S)= ). Then the indicator function 1A satisfies ||1A||= 1, but every g L1() has to be -almost everywhere constant on A, because it is -measurable, and this constant has to be zero, because g is -integrable. Therefore, the above supremum for the indicator function 1A is zero and the extremal equality fails. For p= , the supremum is in general not attained. As an example, let S denote the natural numbers (without zero), the power set of S, and the counting measure. Define (n)= (n1)/n for every natural number n. Then ||||= 1. For g L1() with 0< ||g ||1 1, let m denote the smallest natural number with g(m) 0. Then

Hlder's inequality

Applications
The extremal equality is one of the ways for proving the triangle inequality ||1+ 2||p ||1||p+ ||2||p for all 1 and 2 in Lp(), see Minkowski inequality. Hlder's inequality implies that every Lp() defines a bounded (or continuous) linear functional on Lq() by the formula

The extremal equality (when true) shows that the norm of this functional as element of the continuous dual space Lq() coincides with the norm of in Lp() (see also the Lp-space article).

Generalization of Hlder's inequality

Assume that r (0, ) and p1, , pn (0, ] such that

Then, for all measurable real- or complex-valued functions f1, , fn defined on S,

In particular,

Note: For r (0, 1), contrary to the notation, ||.||r is in general not a norm, because it doesn't satisfy the triangle inequality.

Interpolation
Let p1, , pn (0, ] and let 1, , n (0, 1) denote weights with 1+ + n =1. Define p as the weighted harmonic mean, i.e.,

Given a measurable real- or complex-valued functions f on S, define

Then by the above generalization of Hlder's inequality,

In particular, taking 1= and 2=1-, in the case n=2, we obtain the interpolation result for (0, 1) and

Hlder's inequality

Reverse Hlder inequality

Assume that p (1, ) and that the measure space (S, , ) satisfies (S)>0. Then, for all measurable real- or complex-valued functions f and g on S such that g(s)0 for -almost all sS,

If ||fg ||1 < and ||g ||1/(p 1) > 0, then the reverse Hlder inequality is an equality if and only if there exists an 0 such that -almost everywhere. Note: ||f ||1/p and ||g ||1/(p 1) are not norms, these expressions are just compact notation for and

Conditional Hlder inequality

Let be a probability space, a sub--algebra, and p, q (1, ) Hlder conjugates, meaning that 1/p+1/q=1. Then, for all real- or complex-valued random variables X and Y on,

Remarks: If a non-negative random variable Z has infinite expected value, then its conditional expectation is defined by

On the right-hand side of the conditional Hlder inequality, 0 times as well as times 0 means0. Multiplying a>0 with gives.

References
Hardy, G. H.; Littlewood, J. E.; Plya, G. (1934), Inequalities, Cambridge University Press, pp.XII+314, ISBN0-521-35880-9, JFM60.0169.01, Zbl0010.10703. Hlder, O. (1889), "Ueber einen Mittelwertsatz" [1] (in German), Nachrichten von der Knigl. Gesellschaft der Wissenschaften und der Georg-Augusts-Universitt zu Gttingen, Band 1889 (2): 3847, JFM21.0260.07. Available at Digi Zeitschriften [2]. Kuptsov, L. P. (2001), "Hlder inequality" [3], in Hazewinkel, Michiel, Encyclopedia of Mathematics, Springer, ISBN978-1-55608-010-4. Rogers, L. J. (February 1888), "An extension of a certain theorem in inequalities" [4], Messenger of Mathematics, New Series XVII (10): 145150, JFM20.0254.02, archived from the original [5] on August 21, 2007.

Hlder's inequality

External links
Kuttler, Kenneth (2007), An introduction to linear algebra [6], Online e-book in PDF format, Brigham Young University. Lohwater, Arthur (1982) (PDF), Introduction to Inequalities [7].

References
[1] [2] [3] [4] [5] [6] [7] http:/ / resolver. sub. uni-goettingen. de/ purl?GDZPPN00252421X http:/ / www. digizeitschriften. de/ index. php?id=64& L=2 http:/ / www. encyclopediaofmath. org/ index. php?title=H/ h047514 http:/ / www. archive. org/ stream/ messengermathem01unkngoog#page/ n183/ mode/ 1up http:/ / www. archive. org/ details/ messengermathem01unkngoog http:/ / www. math. byu. edu/ ~klkuttle/ Linearalgebra. pdf http:/ / www. mediafire. com/ ?1mw1tkgozzu

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