In mathematics, logarithmic Sobolev inequalities are a class of inequalities involving the norm of a function f {\displaystyle f} , its logarithm, and its gradient ∇ f {\displaystyle \nabla f} . These inequalities were discovered and named by Leonard Gross, who established them in dimension-independent form, in the context of constructive quantum field theory. Similar results were discovered by other mathematicians before and many variations on such inequalities are known. Gross proved the inequality:
∫ R n | f ( x ) | 2 log | f ( x ) | d ν ( x ) ≤ ∫ R n | ∇ f ( x ) | 2 d ν ( x ) + ‖ f ‖ 2 2 log ‖ f ‖ 2 , {\displaystyle \int _{\mathbb {R} ^{n}}{\big |}f(x){\big |}^{2}\log {\big |}f(x){\big |}\,d\nu (x)\leq \int _{\mathbb {R} ^{n}}{\big |}\nabla f(x){\big |}^{2}\,d\nu (x)+\|f\|_{2}^{2}\log \|f\|_{2},}
where ‖ f ‖ 2 {\displaystyle \|f\|_{2}} is the L 2 ( ν ) {\displaystyle L^{2}(\nu )} -norm of f {\displaystyle f} , with ν {\displaystyle \nu } being standard Gaussian measure on R n . {\displaystyle \mathbb {R} ^{n}.} Unlike classical Sobolev inequalities, Gross's log-Sobolev inequality does not have any dimension-dependent constant, which makes it applicable in the infinite-dimensional limit.
Entropy functional Define the entropy functional Ent μ ( f ) = ∫ ( f ln f ) d μ − ∫ f ln ( ∫ f d μ ) d μ {\displaystyle \operatorname {Ent} _{\mu }(f)=\int (f\ln f)d\mu -\int f\ln \left(\int fd\mu \right)d\mu } This is equal to the (unnormalized) KL divergence by Ent μ ( f ) = D K L ( f d μ ‖ ( ∫ f d μ ) d μ ) {\textstyle \operatorname {Ent} _{\mu }(f)=D_{KL}(fd\mu \|(\int fd\mu )d\mu )} . A probability measure μ {\displaystyle \mu } on R n {\displaystyle \mathbb {R} ^{n}} is said to satisfy the log-Sobolev inequality with constant C > 0 {\displaystyle C>0} if for any smooth function f
Ent μ ( f 2 ) ≤ C ∫ R n | ∇ f ( x ) | 2 d μ ( x ) , {\displaystyle \operatorname {Ent} _{\mu }(f^{2})\leq C\int _{\mathbb {R} ^{n}}{\big |}\nabla f(x){\big |}^{2}\,d\mu (x),}
Variants
Notes
References Tao, Terence (2012). Topics in random matrix theory. Graduate studies in mathematics. Providence, R.I: American Mathematical Society. ISBN 978-0-8218-7430-1. Blower, G. (2009). Random matrices: high dimensional phenomena. London Mathematical Society lecture note series. Cambridge, New York: Cambridge University Press. ISBN 978-0-521-13312-8. Gross, Leonard (1975a), "Logarithmic Sobolev inequalities", American Journal of Mathematics, 97 (4): 1061–1083, doi:10.2307/2373688, JSTOR 2373688 Gross, Leonard (1975b), "Hypercontractivity and logarithmic Sobolev inequalities for the Clifford-Dirichlet form", Duke Mathematical Journal, 42 (3): 383–396, doi:10.1215/S0012-7094-75-04237-4
