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How to prove the following known (Pinsker's) inequality?

For two strictly positive sequences $(p_i)^n_{i=l}$ and $(q_i)^n_{i=l}$ with $\sum_{i=1}^np_i=\sum_{i=1}^nq_i=1$ one has $$\sum_{i=1}^np_i\log\frac{p_i}{q_i}\ge \frac{1}{2}\left(\sum_{i=1}^n|p_i-q_i|\right)^2.$$

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Retagged due to the relation to Kullback-Leibler_divergencecomments may only be edited for 5 minutes(click on this box to dismiss) – Ilya Apr 4 '12 at 13:14
If it is known, does it have a name? Where did you find it and was a reference to a proof missing? – Aryabhata Apr 4 '12 at 17:15
@Aryabhata yes it is known. Pinsker's inequality:… – Kolmo Apr 4 '12 at 18:35
@Kolmo: Please add an answer. Also, my point was OP knows it is known, and if OP knew the name, they could have done some research before posting it here. – Aryabhata Apr 4 '12 at 18:51
Check also Beck & Teboulle 2003, "Mirror descent and nonlinear projected subgradient methods for convex optimization", Proposition 5.1 for elementary proof of a weaker inequality with symmetrized KL-divergence. – ostrodmit Sep 15 at 9:51

2 Answers 2

up vote 3 down vote accepted

See here. Pinsker's inequality

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Thanks...... +1 – Aryabhata Apr 4 '12 at 19:35
Is there a simpler proof? – Sunni Apr 4 '12 at 20:17
I find a simpler one from Borwein\& Levis, 2005, page 63. – Sunni Apr 10 '12 at 19:25

Take a look at Tsybakov 2009 Introduction to Nonparametric Estimation, p.88, also available in the net. Good and simple proof.

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