Reversing Jensen’s Inequality for Information-Theoretic Analyses

Abstract

In this work, we propose both an improvement and extensions of a reverse Jensen inequality due to Wunder et al. (2021). The new proposed inequalities are fairly tight and reasonably easy to use in a wide variety of situations, as demonstrated in several application examples that are relevant to information theory. Moreover, the main ideas behind the derivations turn out to be applicable to generate bounds to expectations of multivariate convex/concave functions, as well as functions that are not necessarily convex or concave.