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Hölder's inequality
In mathematical analysis, Hölder's inequality, named after Otto Hölder, is a fundamental inequality between integrals and an indispensable
tool for the study of L p spaces.

Hölder's inequality — Let (S, Σ, μ) be a measure space and let p, q ∈ [1, ∞] with 1/p + 1/q = 1. Then for all measurable
real- or complex-valued functions f and g on S ,

If, in addition, p, q ∈ (1, ∞) and f ∈ L p(μ) and g ∈ L q(μ), then Hölder's inequality becomes an equality if and only if |f  |p and |g|q
are linearly dependent in L 1(μ), meaning that there exist real numbers α, β ≥ 0, not both of them zero, such that α|f |p = β |g|q μ -
almost everywhere.

The numbers p and q above are said to be Hölder conjugates of each other. The special case p = q = 2 gives a form of the Cauchy–Schwarz
inequality.[1 ] Hölder's inequality holds even if ‖fg ‖1 is infinite, the right-hand side also being infinite in that case. Conversely, if f is in L p(μ) and
g is in Lq(μ), then the pointwise product fg is in L1(μ).

Hölder's inequality is used to prove the Minkowski inequality, which is the triangle inequality in the space L p(μ), and also to establish that
Lq(μ) is the dual space of Lp(μ) for p ∈ [1, ∞).
Hölder's inequality (in a slightly different form) was first found by Leonard James Rogers (1888). Inspired by Rogers' work, Hölder (1889) gave
another proof as part of a work developing the concept of convex and concave functions and introducing Jensen's inequality,[2] which was in
turn named for work of Johan Jensen building on Hölder's work.[3]

Remarks

Conventions

The brief statement of Hölder's inequality uses some conventions.

In the definition of Hölder conjugates, 1/∞ means zero.

If p, q ∈ [1, ∞), then ‖f  ‖p and ‖g ‖q stand for the (possibly infinite) expressions

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 μ -almost everywhere equal functions. If f ∈ L p(μ) and g ∈ L q(μ), then the notation is adequate.
On the right-hand side of Hölder's inequality, 0 × ∞ as well as ∞ × 0 means 0. Multiplying a > 0 with ∞ gives ∞.

Estimates for integrable products

As above, let f and g denote measurable real- or complex-valued functions defined on S . If ‖fg ‖1 is finite, then the pointwise products of f with g
and its complex conjugate function are μ -integrable, the estimate

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

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where the angle brackets refer to the inner product of L2(μ) . This is also called Cauchy–Schwarz 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, Σ, μ) is a probability space, then p, q ∈ [1, ∞] just need to satisfy 1/p + 1/q ≤ 1, rather than being Hölder conjugates. A combination of
Hölder's inequality and Jensen's inequality implies that

for all measurable real- or complex-valued functions f and g on S .

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

For the n -dimensional Euclidean space, when the set S is {1, ..., n} with the counting measure, we have

Often the following practical form of this is used, for any :

For more than two sums, the following generalisation (Chen (2015)) holds, with real positive exponents and :

Equality holds iff .

If S = N with the counting measure, then we get Hölder'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 on  S , then Hölder
inequality is

Probability measure

For the probability space let denote the expectation operator. For real- or complex-valued random variables and on
Hölder's inequality reads

Let and define Then is the Hölder conjugate of Applying Hölder's inequality to the random variables
and we obtain

In particular, if the sth absolute moment is finite, then the r th absolute moment is finite, too. (This also follows from Jensen's inequality.)

Product measure

For two σ-finite measure spaces (S 1, Σ1, μ 1) and (S 2, Σ2, μ 2) define the product measure space by

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where S is the Cartesian product of S 1 and S 2, the σ-algebra Σ arises as product σ-algebra of Σ1 and Σ2, and μ denotes the product measure of
μ1 and μ2. Then Tonelli's theorem allows us to rewrite Hölder's inequality using iterated integrals: If  f and g are Σ-measurable real- or
complex-valued functions on the Cartesian product S , then

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

Vector-valued functions

Let (S, Σ, μ) denote a σ-finite measure space and suppose that f = (f1, ..., fn) and g = (g 1, ..., g n) are Σ-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 Hölder'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 α, β ≥ 0, not both of them zero,
such that

for μ -almost all x in S .

This finite-dimensional version generalizes to functions f and g taking values in a normed space which could be for example a sequence space or
an inner product space.

Proof of Hölder's inequality

There are several proofs of Hölder's inequality; the main idea in the following is Young's inequality for products.

Proof

If ‖f  ‖p = 0, then f is zero μ -almost everywhere, and the product fg is zero μ -almost everywhere, hence the left-hand side of
Hölder'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 Hölder'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 Hölder's inequality follows from the monotonicity of the
Lebesgue integral. Similarly for p = 1 and q = ∞ . Therefore, we may 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 for products, which states that whenever are in (1,∞) with

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

Integrating both sides gives

which proves the claim.

Under the assumptions p ∈ (1, ∞) and ‖f  ‖p = ‖g ‖q, equality holds if and only if |f  |p = |g |q almost everywhere. More generally, if
‖f  ‖p and ‖g ‖q are in (0, ∞), then Hölder's inequality becomes an equality if and only if there exist real numbers α, β > 0, namely

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such that

   μ-almost everywhere   (*).

The case ‖f  ‖p = 0 corresponds to β = 0 in (*). The case ‖g ‖q = 0 corresponds to α = 0 in (*).

Alternative proof using Jensen's inequality:

Proof

The function on (0,∞) is convex because , so by Jensen's inequality,

where ν is any probability distribution and h any ν-measurable function. Let μ be any measure, and ν the distribution whose
density w.r.t. μ is proportional to , i.e.

Hence we have, using , hence , and letting ,

Finally, we get

This assumes that f, g are real and non-negative, but the extension to complex functions is straightforward (use the modulus of
f, g). It also assumes that are neither null nor infinity, and that : all these assumptions can also be lifted as in
the proof above.

Extremal equality

Statement

Assume that 1 ≤ p < ∞ and let q denote the Hölder conjugate. Then for every f ∈ L p(μ),

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

Proof of the extremal equality:

Proof

By Hölder's inequality, the integrals are well defined and, for 1 ≤ p ≤ ∞ ,

hence the left-hand side is always bounded above by the right-hand side.

Conversely, for 1 ≤ p ≤ ∞ , observe first that the statement is obvious when ‖f  ‖p = 0. Therefore, we assume ‖f  ‖p > 0 in the
following.

If 1 ≤ p < ∞ , define g on S by

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By checking the cases p = 1 and 1 < p < ∞ separately, we see that ‖g ‖q = 1 and

It remains to consider the case p = ∞ . For ε ∈ (0, 1) define

Since f is measurable, A ∈ Σ. By the definition of ‖f  ‖∞ as the essential supremum of f and the assumption ‖f  ‖∞ > 0, we have
μ(A) > 0. Using the additional assumption on the σ-field Σ if necessary, there exists a subset B ∈ Σ of A with 0 < μ(B) < ∞.
Define g on S by

Then g is well-defined, measurable and |g(x)| ≤ 1/μ(B) for x ∈ B, hence ‖g ‖1 ≤ 1. Furthermore,

Remarks and examples

The equality for fails whenever there exists a set of infinite measure in the -field with that has no subset that satisfies:
(the simplest example is the -field containing just the empty set and and the measure with ) Then the
indicator function satisfies but every has to be -almost everywhere constant on because it is -measurable,
and this constant has to be zero, because is -integrable. Therefore, the above supremum for the indicator function is zero and the
extremal equality fails.
For the supremum is in general not attained. As an example, let and the counting measure. Define:

Then For with let denote the smallest natural number with Then

Applications

The extremal equality is one of the ways for proving the triangle inequality ‖f1 + f2 ‖p ≤ ‖f1 ‖p + ‖f2 ‖p for all f1 and f2 in L p(μ), see Minkowski
inequality.
Hölder's inequality implies that every f ∈ L p(μ) defines a bounded (or continuous) linear functional κf on L q(μ) by the formula

The extremal equality (when true) shows that the norm of this functional κf as element of the continuous dual space L q(μ)* coincides with the
norm of f in L p(μ) (see also the L p-space article).

Generalization with more than two functions

Statement

Assume that r ∈ (0, ∞] and p 1, ..., p n ∈ (0, ∞] such that

where 1/∞ is interpreted as 0 in this equation. Then for all measurable real or complex-valued functions f1, ..., fn defined on S ,

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where we interpret any product with a factor of ∞ as ∞ if all factors are positive, but the product is 0 if any factor is 0.

In particular, if for all then

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

Proof of the generalization:

Proof

We use Hölder's inequality and mathematical induction. If then the result is immediate. Let us now pass from to
Without loss of generality assume that

Case 1: If then

Pulling out the essential supremum of |fn | and using the induction hypothesis, we get

Case 2: If then necessarily as well, and then

are Hölder conjugates in (1, ∞). Application of Hölder's inequality gives

Raising to the power and rewriting,

Since and

the claimed inequality now follows by using the induction hypothesis.

Interpolation

Let p 1, ..., p n ∈ (0, ∞] and let θ1, ..., θn ∈ (0, 1) denote weights with θ1 + ... + θn = 1. Define as the weighted harmonic mean, that is,

Given measurable real- or complex-valued functions on S , then the above generalization of Hölder's inequality gives

In particular, taking gives

Specifying further θ1 = θ and θ2 = 1-θ, in the case we obtain the interpolation result

Littlewood's inequality — For and ,

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An application of Hölder gives

Lyapunov's inequality — If then

and in particular

Both Littlewood and Lyapunov imply that if then for all [4]

Reverse Hölder inequalities

Two functions

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

If

then the reverse Hölder inequality is an equality if and only if

Note: The expressions:

and

are not norms, they are just compact notations for

Proof of the reverse Hölder inequality (hidden, click show to reveal.) [show]

Note that p and

are Hölder conjugates. Application of Hölder's inequality gives

Raising to the power p gives us:

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Therefore:

Now we just need to recall our notation.

Since g is not almost everywhere equal to the zero function, we can have equality if and only if there exists a constant α ≥ 0 such that |fg | = α |g |−q/p
almost everywhere. Solving for the absolute value of f gives the claim.

Multiple functions

The Reverse Hölder inequality (above) can be generalized to the case of multiple functions if all but one conjugate is negative. That is,

Let and be such that (hence ). Let be measurable functions for .

Then

This follows from the symmetric form of the Hölder inequality (see below).

Symmetric forms of Hölder inequality

It was observed by Aczél and Beckenbach[5] that Hölder's inequality can be put in a more symmetric form, at the price of introducing an extra
vector (or function):

Let be vectors with positive entries and such that

for all . If are nonzero real numbers such that , then:

if all but one of are positive;

if all but one of are negative.

The standard Hölder inequality follows immediately from this symmetric form (and in fact is easily seen to be equivalent to it). The symmetric
statement also implies the reverse Hölder inequality (see above).

The result can be extended to multiple vectors:

Let be vectors in with positive entries and such that for all . If are nonzero real numbers

such that , then:

if all but one of the numbers are positive;

if all but one of the numbers are negative.

As in the standard Hölder inequalities, there are corresponding statements for infinite sums and integrals.

Conditional Hölder inequality

Let (Ω, F, ) be a probability space, G ⊂ F a sub-σ-algebra, and p, q ∈ (1, ∞) Hölder conjugates, meaning that 1/p + 1/q = 1. Then for all
real- or complex-valued random variables X and Y on Ω,

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 Hölder inequality, 0 times ∞ as well as ∞ times 0 means 0. Multiplying a > 0 with ∞ gives ∞.

Proof of the conditional Hölder inequality:

Proof

Define the random variables

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and note that they are measurable with respect to the sub-σ-algebra. Since

it follows that |X | = 0 a.s. on the set {U = 0}. Similarly, |Y| = 0 a.s. on the set {V = 0}, hence

and the conditional Hölder inequality holds on this set. On the set

the right-hand side is infinite and the conditional Hölder inequality holds, too. Dividing by the right-hand side, it therefore
remains to show that

This is done by verifying that the inequality holds after integration over an arbitrary

Using the measurability of U, V, 1 G with respect to the sub-σ-algebra, the rules for conditional expectations, Hölder's inequality
and 1/p + 1/q = 1, we see that

Hölder's inequality for increasing seminorms

Let S be a set and let be the space of all complex-valued functions on S . Let N be an increasing seminorm on meaning that,
for all real-valued functions we have the following implication (the seminorm is also allowed to attain the value ∞):

Then:

where the numbers and are Hölder conjugates.[6]

Remark: If (S, Σ, μ) is a measure space and is the upper Lebesgue integral of then the restriction of N to all Σ-measurable functions
gives the usual version of Hölder's inequality.

Distances based on Hölder inequality

Hölder inequality can be used to define statistical dissimilarity measures[7 ] between probability distributions. Those Hölder divergences are
projective: They do not depend on the normalization factor of densities.

See also
Cauchy–Schwarz inequality
Minkowski inequality
Jensen's inequality
Young's inequality for products

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Clarkson's inequalities
Brascamp–Lieb inequality

Citations
1. Roman 2008, p. 303 §12
2. Maligranda, Lech (1998), "Why Hölder's inequality should be called Rogers' inequality", Mathematical Inequalities & Applications, 1 (1): 69–
83, doi:10.7153/mia-01-05 (https://doi.org/10.7153%2Fmia-01-05), MR 1492911 (https://mathscinet.ams.org/mathscinet-getitem?mr=149291
1)
3. Guessab, A.; Schmeisser, G. (2013), "Necessary and sufficient conditions for the validity of Jensen's inequality", Archiv der Mathematik, 100
(6): 561–570, doi:10.1007/s00013-013-0522-3 (https://doi.org/10.1007%2Fs00013-013-0522-3), MR 3069109 (https://mathscinet.ams.org/ma
thscinet-getitem?mr=3069109), S2CID 253600514 (https://api.semanticscholar.org/CorpusID:253600514), "under the additional assumption
that exists, this inequality was already obtained by Hölder in 1889"
4. Wojtaszczyk, P. (1991). Banach Spaces for Analysts (https://www.cambridge.org/core/books/banach-spaces-for-analysts/7647AD5BB01A5A
BBC96789F74DDE8A2F). Cambridge Studies in Advanced Mathematics. Cambridge: Cambridge University Press. ISBN 978-0-521-56675-
9.
5. Beckenbach, E. F. (1980). General inequalities 2 (https://doi.org/10.1007/978-3-0348-6324-7). International Series of Numerical Mathematics /
Internationale Schriftenreihe zur Numerischen Mathematik / Série Internationale d'Analyse Numérique. Vol. 47. Birkhäuser Basel. pp. 145–150.
doi:10.1007/978-3-0348-6324-7 (https://doi.org/10.1007%2F978-3-0348-6324-7). ISBN 978-3-7643-1056-1.
6. For a proof see (Trèves 1967, Lemma 20.1, pp. 205–206).
7. Nielsen, Frank; Sun, Ke; Marchand-Maillet, Stephane (2017). "On Hölder projective divergences" (https://doi.org/10.3390%2Fe19030122).
Entropy. 3 (19): 122. arXiv:1701.03916 (https://arxiv.org/abs/1701.03916). Bibcode:2017Entrp..19..122N (https://ui.adsabs.harvard.edu/abs/20
17Entrp..19..122N). doi:10.3390/e19030122 (https://doi.org/10.3390%2Fe19030122).

References
Grinshpan, A. Z. (2010), "Weighted inequalities and negative binomials", Advances in Applied Mathematics, 45 (4): 564–606,
doi:10.1016/j.aam.2010.04.004 (https://doi.org/10.1016%2Fj.aam.2010.04.004)
Hardy, G. H.; Littlewood, J. E.; Pólya, G. (1934), Inequalities, Cambridge University Press, pp. XII+314, ISBN 0-521-35880-9, JFM 60.0169.01
(https://zbmath.org/?format=complete&q=an:60.0169.01), Zbl 0010.10703 (https://zbmath.org/?format=complete&q=an:0010.10703).
Hölder, O. (1889), "Ueber einen Mittelwertsatz" (http://resolver.sub.uni-goettingen.de/purl?GDZPPN00252421X), Nachrichten von der Königl.
Gesellschaft der Wissenschaften und der Georg-Augusts-Universität zu Göttingen, Band (in German), 1889 (2): 38–47, JFM 21.0260.07 (http
s://zbmath.org/?format=complete&q=an:21.0260.07). Available at Digi Zeitschriften (https://web.archive.org/web/20090908025223/http://www.d
igizeitschriften.de/index.php?id=64&L=2).
Kuptsov, L. P. (2001) [1994], "Hölder inequality" (https://www.encyclopediaofmath.org/index.php?title=Hölder_inequality), Encyclopedia of
Mathematics, EMS Press.
Narici, Lawrence; Beckenstein, Edward (2011). Topological Vector Spaces. Pure and applied mathematics (Second ed.). Boca Raton, FL:
CRC Press. ISBN 978-1584888666. OCLC 144216834 (https://www.worldcat.org/oclc/144216834).
Rogers, L. J. (February 1888), "An extension of a certain theorem in inequalities" (https://archive.org/stream/messengermathem01unkngoog#p
age/n183/mode/1up), Messenger of Mathematics, New Series, XVII (10): 145–150, JFM 20.0254.02 (https://zbmath.org/?format=complete&q
=an:20.0254.02), archived from the original (https://archive.org/details/messengermathem01unkngoog) on August 21, 2007.
Roman, Stephen (2008), Advanced Linear Algebra, Graduate Texts in Mathematics (Third ed.), Springer, ISBN 978-0-387-72828-5
Trèves, François (1967), Topological Vector Spaces, Distributions and Kernels, Pure and Applied Mathematics. A Series of Monographs and
Textbooks, vol. 25, New York, London: Academic Press, MR 0225131 (https://mathscinet.ams.org/mathscinet-getitem?mr=0225131),
Zbl 0171.10402 (https://zbmath.org/?format=complete&q=an:0171.10402).
Trèves, François (2006) [1967]. Topological Vector Spaces, Distributions and Kernels. Mineola, N.Y.: Dover Publications. ISBN 978-0-486-
45352-1. OCLC 853623322 (https://www.worldcat.org/oclc/853623322).

External links
Chen, Evan (2015), A Brief Introduction to Olympiad Inequalities (http://www.mit.edu/~evanchen/handouts/Ineq/en.pdf) (PDF).
Kuttler, Kenneth (2007), An Introduction to Linear Algebra (http://www.math.byu.edu/~klkuttle/Linearalgebra.pdf) (PDF), Online e-book in PDF
format, Brigham Young University.
Lohwater, Arthur (1982), Introduction to Inequalities (http://www.mediafire.com/file/1mw1tkgozzu) (PDF).
Archived at Ghostarchive (https://ghostarchive.org/varchive/youtube/20211211/kxQiKaIuyOg) and the Wayback Machine (https://web.archive.or
g/web/20131025042637/http://www.youtube.com/watch?v=kxQiKaIuyOg&list=PL7BBBB7E2F4C5B19F): Tisdell, Chris (2012), Holder's
Inequality (https://www.youtube.com/watch?v=kxQiKaIuyOg), YouTube.

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