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HAL Id: hal-00117472

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Modified logarithmic Sobolev inequalities on R

Franck Barthe, Cyril Roberto

To cite this version:

Franck Barthe, Cyril Roberto. Modified logarithmic Sobolev inequalities on R. 2006. �hal-00117472�

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hal-00117472, version 1 - 1 Dec 2006

Modified logarithmic Sobolev inequalities on R

F. Barthe and C. Roberto December 1, 2006

Abstract

We provide a sufficient condition for a measure on the real line to satisfy a modified logarithmic Sobolev inequality, thus extending the criterion of Bobkov and G¨otze. Under mild assumptions the condition is also necessary. Concentration inequalities are derived.

This completes the picture given in recent contributions by Gentil, Guillin and Miclo.

1 Introduction

In this paper we are interested in Sobolev type inequalities satisfied by probability measures. It is well known that they allow to describe their concentration properties as well as the regularizing effects of associated semigroups. Several books are available on these topics and we refer to them for more details (see e.g. [1, 16]). Establishing such inequalities is a difficult task in general, especially in high dimensions. However, it is very natural to investigate such inequalities for measures on the real line. Indeed many high dimensional results are obtained by induction on dimension, and having a good knowledge of one dimensional measures becomes crucial. Thanks to Hardy-type inequalities, it is possible to describe very precisely the measures on the real line which satisfy certain Sobolev inequalities. Our goal here is to extend this approach to the so-called modified logarithmic Sobolev inequalities. They are introduced below.

Let γ denote the standard Gaussian probability measure on R. The Gaussian logarithmic Sobolev asserts that for every smooth f :RR

Entγ(f2)2 Z

(f)2dγ,

where the entropy functional with respect to a probability measureµ is defined by Entµ(f) =

Z

flogf dµ Z

f dµ

log Z

f dµ

.

This famous inequality implies the Gaussian concentration inequality, as well as hypercontractiv- ity and entropy decay along the Ornstein-Uhlenbeck semigroup. Since the logarithmic-Sobolev inequality implies a sub-Gaussian behavior of tails, it is not verified for many measures and one has to consider weaker Sobolev inequalities. In the case of the symmetric exponential measure dν(t) = e−|t|dt/2, an even more classical fact is available, namely a Poincar´e or spectral gap inequality: for every smooth function f:

Varν(f)4 Z

(f)2dν. (1)

This property implies an exponential concentration inequality, as noted by Gromov and Milman [14], as well as a fast decay of the variance along the corresponding semigroup. If one compares

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to the log-Sobolev inequality, the spectral gap inequality differs by its left side only. In order to describe more precisely the concentration phenomenon for product of exponential measures, and to recover a celebrated result by Talagrand [22], Bobkov and Ledoux [6] introduced a so- called modified logarithmic Sobolev inequality for the exponential measure. Here the entropy term remains but the term involving the derivatives is changed. Their result asserts that every smooth f :RR with|f/f| ≤c <1 verifies

Entν(f2) 2 1c

Z

(f)2dν. (2)

The latter may be rewritten as

Entν(f2) Z

H f

f

f2dν, (3)

where H(t) = 2t2/(1c) if |t| ≤ c and H(t) = + otherwise. Such general modified log- Sobolev inequalities have been established by Bobkov and Ledoux [7] for the probability mea- suresp(t) = e−|t|pdt/Zp,tR in the case p >2 (a more general result is valid for measures e−V(x)dxon Rn where V is strictly uniformly convex). These measures satisfy a modified log- Sobolev inequality with functionH(t) =cp|t|q whereq =p/(p1)[1,2] is the dual exponent ofp2. The inequality can be reformulated asEntνp(|g|q)c˜pR

|g|qp. Theseq-log-Sobolev inequalities are studied in details by Bobkov and Zegarlinski in [8].

The case p(1,2) is more delicate: the inequality cannot hold withH(t) =cp|t|q since this function is too small close to zero. Indeed for f = 1 +εg when g is bounded and εvery small, the left hand side of (3) is equivalent to ε2Varν(g) whereas the right hand side is comparable toR

H(εg)dν. HenceH(t) cannot be much smaller than t2 whentgoes to zero. If it compares to t2 then in the limit one recovers a spectral gap inequality. Gentil, Guillin and Miclo [10]

established a modified log-Sobolev inequality for νp when p (1,2), with a function Hp(t) comparable to kpmax(t2,|t|q). In the subsequent paper [11] they extend their method to even log-concave measures on the line, with tail behavior between exponential and Gaussian. Their method is rather involved. It relies on classical Hardy types inequalities, adapted to inequalities involving terms as R

(f)2dµ, whereµis carefully chosen.

Our alternative approach is to develop Hardy type methods directly for inequalities involving terms asR

H(f/f)f2dµ. This is done abstractly in Section 2, but more work is needed to present the results in an explicit and workable form. Section 3 provides a simple sufficient condition for a measure to satisfy a modified log-Sobolev inequality with function H(t) =kpmax(t2,|t|q) for p(1,2), and recovers in a soft way the result of [10]. Under mild assumptions, the condition is also necessary and we have a reasonable estimate of the best constant in the inequality. Next in Section 4 we consider the same problem for general convex functions H. The approach remains rather simple, but technicalities are more involved. However Theorem 20 provides a neat sufficient condition, which recovers the result of [11] for log-concave measures but also applies without this restriction. Under a few more assumptions, our sufficient condition is also necessary. In Section 5 we describe concentration consequences of modified logarithmic Sobolev inequalities, obtained by the Herbst method.

Logarithmic Sobolev inequalities are known to imply inequalities between transportation cost and entropy [19, 4]. Our criterion can be compared with the one recently derived by Gozlan [13]. It confirms that modified logarithmic Sobolev inequalities are strictly stronger than the corresponding transportation cost inequalities, as discovered by Cattiaux and Guillin [9] for the classical logarithmic Sobolev inequality and Talagrand’s transportation cost inequality. For log-concave measures on R the results of Gozlan yield precise modified logarithmic Sobolev inequalities. By different methods, based on isoperimetric inequalities, Kolesnikov [15] recently

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established more general modifiedF-Sobolev inequalities for log-concave probability measures on Rn.

We end this introduction by setting the notation. It will be convenient to work with locally Lipschitz functions f : Rd R, for which the norm of the gradient (absolute value of the derivative when d= 1) can be defined as a whole by

|∇f|(x) = lim

r→0+ sup

y;|x−y|≤r

|f(x)f(y)|

|xy| ,

where the denominator is the Euclidean norm ofxy. By Rademacher’s theorem,f is Lebesgue almost everywhere differentiable, and at these points the above notion coincides with the Eu- clidean norm of the gradient of f.

We recall that a Young function is an even convex function Φ :R[0,+) with Φ(0) = 0 and limx→+∞Φ(x) = +. Following [20] we say that Φ is a nice Young function if it also verifies Φ(0) = 0, limx→+∞Φ(x)

x = + and vanishes only at 0. We refer to the Appendix for more details about these functions and their Legendre transforms.

Given a nice Young function Φ :R+R+ we define its modification HΦ :R R+

x 7→ x21I[0,1]+ Φ(|x|)Φ(1) 1I]1,∞). (4) A probability measureµon Rsatisfies a modified logarithmic Sobolev inequality with function HΦ, if there exists some constantκ(0,) such that every locally Lipschitzf :RRsatisfies

Entµ(f2)κ Z

HΦ f

f

f2dµ.

We consider functions Φ such that Φ(x) cx2 for x 1, hence the inequalities we study are always weaker than the classical logarithmic Sobolev inequality. On the other hand, as recalled in the introduction, they imply the Poincar´e Inequality.

2 Hardy inequalities on the line

In this section we show how the modified log-Sobolev inequality can be addressed by Hardy type inequalities. We refer to the book [1] for the history of the topic. The extension of Hardy’s inequalities to general measures, due to Muckenhoupt [18], allowed recent progress in the understanding of several functional inequalities on the real line. We recall it below:

Theorem 1. Let µ, ν be Borel measures on R+ andp >1. Then the best constant A such that every locally Lipschitz function f verifies

Z

[0,+∞)|f f(0)|pA Z

[0,+∞)|f|p is finite if and only if

B := sup

x>0

µ [x,+)Z x

0

1 np−11

p−1

is finite. Herenis the density of the absolutely continuous part ofν. Moreover, when it is finite B A (p−1)ppp−1B.

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As an easy consequence, one gets a characterization of measures satisfying a spectral gap inequality together with a good estimate of the optimal constant (see e.g [1]). The next state- ment also gives an improved lower bound on the best constant CP recently obtained by Miclo [17].

Theorem 2. Let µ be a probability measure on R with median m and let dν(t) =n(t)dt be a measure on R. The best constant CP such that every locally Lipschitz f :RRverifies

Varµ(f)CP Z

(f)2 (5)

verifies max(B+, B)CP 4 max(B+, B), where B+= sup

x>mµ [x,+) Z x

m

1

n, B= sup

x<mµ (−∞, x] Z m

x

1 n·

Bobkov and G¨otze [5] used Hardy inequalities to obtain a similar result for the best constant in logarithmic Sobolev inequalities: they showed that up to numerical constants, the bestCLS such that for all locally Lipschitz f

Entµ(f)CLS Z

(f)2dν, is the maximum of

sup

x>m

µ [x,+)

log 1

µ [x,+)

! Z x m

1 n

and of the corresponding term involving the left side of the median. In [3], we improved their method and extended it to inequalities interpolating between Poincar´e and log-Sobolev inequalities (but involvingR

(f)2dν).

Using classical arguments (see e.g. the Appendix of [17]) it is easy to see that the Poincar´e, the logarithmic Sobolev and the modified logarithmic Sobolev constants are left unchanged if one restrict oneself to the absolutely continuous part of the measureν in the right hand side. So, without loss of generality, in the sequel we will always assume that ν is absolutely continuous with respect to the Lebesgue measure.

The next two statements show that similar results hold for modified log-Sobolev inequalities provided one replaces the term Rx

m1/n by suitable quantities. Obtaining workable expressions for them is not so easy, and will be addressed in the next sections.

Proposition 3. Let µ be a probability measure with median m and ν a non-negative measure, on R. Assume that ν is absolutely continuous with respect to Lebesgue measure and that the following Poincar´e inequality is satisfied: for all locally Lipschitz f

Varµ(f)CP Z

(f)2dν.

Let Φ be a nice Young function such that Φ(t)/t2 is non-decreasing for t > 0. Define for x > mthe number α+x and for x < mthe number αx as follows

α+x := inf Z x

m

Φ f

f

f2dν, fnon-decreasing, f(m) = 1, f(x) = 2

,

αx := inf Z m

x

Φ f

f

f2dν, fnon-increasing, f(x) = 2, f(m) = 1

.

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Denote

B+(Φ) : = sup

x>mµ([x,)) log

1 µ([x,))

1 α+x, B(Φ) : = sup

x<mµ((−∞, x]) log

1 µ((−∞, x])

1 αx . Then for any for any locally Lipschitz f :RR

Entµ(f2)

235CP + 8Φ(1) max B+(Φ), B(Φ) Z HΦ

f f

f2dν.

Proof. In the above statement, there is nothing canonical about 2 in the definition of α+x and αx. We could replace it by a parameter ρ >1. Optimising over ρ would yield non-essential improvements in the results of this paper. However, for this proof we keep the parameter, as we find it clearer like this. We setρ= 4 and any value stricty bigger than 1 would do.

Without loss of generality we start with a non-negative function f on R. We consider the associated function

g(x) = f(m) + Z x

m

f(u)1If(u)>0du if xm g(x) = f(m) +

Z x

m

f(u)1If(u)<0du if x < m.

We follow the method of Miclo-Roberto [21, Chapter 3] (see also Section 5.5 of [2] where it is extended). We will omit a few details, which are available in these references. We introduce for x, t > 0, Ψt(x) = xlog(x/t)(xt). By convexity of the functionxlogx it is easy to check that

Entµ(f2) = Z

Ψµ(f2)(f2)dµ= inf

t

Z

Ψt(f2)dµ Z

Ψµ(g2)(f2)dµ.

Defining Ω :={x; f2(x)2ρ µ(g2)}, we get Entµ(f2)

Z

c

Ψµ(g2)(f2)dµ+ Z

Ω∩[m,+∞)

Ψµ(g2)(f2)dµ+ Z

Ω∩(−∞,m]

Ψµ(g2)(f2)dµ. (6) The first term is bounded as follows. One can check that for any x [0,

2ρt], it holds Ψt2(x2)(1 +

2ρ)2(xt)2. Thus Z

c

Ψµ(g2)(f2)dµ(1 +p 2ρ)2

Z

c

fp

µ(g2)2

2(1 +p 2ρ)2

Z

f g2

+ 2(1 +p 2ρ)2

Z

gp

µ(g2)2

The last term of the above expression is bounded from above by applying the Poincar´e inequality tog. Using the definition ofgand applying Hardy’s inequality on (−∞, m] and [m,+) allows to upper bound the term R

(f g)2dµ. By Theorems 1 and 2 the best constants in Hardy inequality compare to the Poincar´e constant. Finally one gets

Z

c

Ψµ(g2)(f2)dµ16(1 +p 2ρ)2CP

Z

(f)2dν.

The second term in (6) is Z

[m,+∞)∩{f2≥2ρ µ(g2)}

f2log f2 µ(g2)

(f2µ(g2))

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Z

[m,+∞)∩{g2≥2ρ µ(g2)}

g2log g2 µ(g2)

=

Z

1

g2log g2 µ(g2)

dµ, where we have set for k N, Ωk :=

xm; g2(x)kµ(g2) . Since g is non-decreasing on the right of m, we have Ωk+1 k = [ak,) for some ak m. Also by Markov’s inequality µ(Ωk)1/(2ρk). Furthermore, on Ωk\k+1, 2ρkµ(g2)g2 <k+1µ(g2). Thus we have

Z

1

g2log g2

µ(g2) = X

k≥1

Z

k\Ωk+1

g2log g2 µ(g2)

X

k≥1

µ(Ωk)2ρk+1µ(g2) log(2ρk+1)

2X

k≥1

µ(Ωk)2ρk+1µ(g2) log(2ρk)

2X

k≥1

µ(Ωk) log 1

µ(Ωk)k+1µ(g2)

2B+(Φ)X

k≥1

k+1µ(g2+ak(ρ)

where we used log(2ρk+1)2 log(2ρk) fork1 and the definition ofB+(Φ). Now consider the functiongk = 1I[m,ak−1[+1I[ak−1,ak[ g

k−1µ(g2)+ρ1I[ak,∞). Sincegkis non-decreasing,gk(m) = 1 and gk(ak) =ρ, we have

α+ak(ρ) Z ak

m

Φ gk

gk

g2k 1 k−1µ(g2)

Z ak

ak−1

Φ g

g

g2dν.

Thus,

Z

1

g2log g2

µ(g2) 2B+(Φ)X

k≥1

Z ak

ak−1

Φ g

g

g2

2B+(Φ) Z

0

Φ f

g

g2

2B+(Φ) Z

[m,+∞)

Φ f

f

f2dν, where we have used that f g and the monotonicity of Φ(t)/t2.

The third term in (6) is estimated in a similar way. Finally one gets Entµ(f2) 16(1 +p

2ρ)2CP

Z f f

2

f2+ 2max(B+(Φ), B(Φ))

Z Φ

f f

f2dµ.

Our hypotheses ensure that HΦ(x)max(x2,Φ(x)/Φ(1)), hence Entµ(f2)

16(1 +p

2ρ)2CP + 2ρ2Φ(1) max(B+(Φ), B(Φ)) Z HΦ

f f

f2dµ.

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Proposition 4. Let µ be a probability measure with median m and ν a non-negative measure, on R. Assume thatν is absolutely continuous with respect to Lebesgue measure. LetΦbe a nice Young function and HΦ its modification (see (4)).

Define the quantities α+x for x > m andαx for x < mas follows αe+x := inf

Z x

m

HΦ f

f

f2dν, fnon-decreasing, f(m) = 0, f(x) = 1

,

αex := inf Z m

x

HΦ f

f

f2dν, fnon-increasing, f(x) = 1, f(m) = 0

. Let

Be+ := sup

x>m

µ([x,)) log

1 + 1

2µ([x,)) 1

e α+x

, Be := sup

x<mµ((−∞, x]) log

1 + 1

2µ((−∞, x]) 1

e αx

. If C is a constant such that for any locally Lipschitz f :RR,

Entµ(f2)C Z

HΦ f

f

f2dν, (7)

then

Cmax(Be+,Be).

Proof. Fix x0 > m and consider a non-decreasing function f with f(m) = 0 and f(x0) = 1.

Consider the function fe= f1I[m,x0[+ 1I[x0,∞). Following [3] and starting with the variational expression of entropy (see e.g. [1, chapter 1]),

Entµ(fe2) = sup

Z fe2g dµ, Z

eg1

sup (Z

[m,+∞)

fe2g dµ, g0 and Z

[m,+∞)

eg1 )

sup (Z

[x0,+∞)

g dµ, g0 and Z

[m,+∞)

eg1 )

= µ([x0,)) log

1 + 1

2µ([x0,))

where the first inequality relies on the fact that fe= 0 on (−∞,0] (hence the best is to take g = −∞ on (−∞,0]). The latter equality follows from [3, Lemma 6] which we recall below.

Applying the modified logarithmic Sobolev inequality tofe, we get µ([x0,)) log

1 + 1

2µ([x0,))

C Z x0

m

HΦ

f f

f2dν.

Optimizing over all non-decreasing functionsf withf(m) = 0 andf(x0) = 1, we get µ([x0,)) log

1 + 1

2µ([x0,))

Cαe+x0.

Hence CBe+. A similar argument on the left of the median yieldsC Be.

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Lemma 5 ([3]). Let Q be a finite measure on a space X. Let K > Q(X) and let A X be measurable with Q(A)>0. Then

sup Z

X

1IAh dQ;

Z

X

ehdQKandh0

=Q(A) log

1 +KQ(X) Q(A)

. Remark 6. Forx(0,12), 34logx1 log(1 +2x1 )log1x. HenceB+ is comparable to

sup

x>mµ([x,)) log

1 µ([x,))

1 αe+x

and similarly for Be.

In order to turn the previous abstract results into efficient criteria, we need more explicit estimates of the quantitiesαx and αex.

3 The example of power functions: Φ(x) = |x|q, q 2.

In this section we set Φ(x) = Φq(x) = |x|q, with q 2. Its modification is H(x) = Hq(x) = max(x2,|x|q). The constantsα±x andαe±x are defined accordingly as in Proposition 3 and Propo- sition 4.

The definition ofα+x is simpler than the one of αe+x. Indeed it involves only Φq. This allows the following easy estimate.

Lemma 7. Assume that ν is absolutely continuous with respect to the Lebesgue measure on R, with density n. Then for x > m

1

α+x 2q−2 Z x

m

nq−1−1 q−1

.

Proof. Fix x > m. Let q be such that 1q + q1 = 1. Consider a non-decreasing function f with f(m) = 1 and f(x) = 2. We assume without loss of generality that Rx

m|f|qf2−q and Rx

mn−q/q are finite. By H¨older’s inequality (valid also when nvanishes), we have 1 =

Z x

m

f Z x

m |f|qn

1q Z x

m

nq

q

q∗1

2q−2Z

f f

q

f2

1q Z x

m

nq

q

q∗1 , where we used the boundsf 2 andq2. The result follows at once.

A similar bound is available forαx whenx < m. Next we study the quantitiesαe+x. They are estimated by testing the inequality on specific functions, as in the proofs of Hardy’s inequality.

However the presence of the modification Hq creates complications, and we are lead to make additional assumptions. We also omit the corresponding bound onαex.

Lemma 8. Let ν be a non-negative measure absolutely continuous with respect to the Lebesgue measure on R, with density n. Assume that there exists ε > 0 such that for every x > m, it holds

(q1)n(x)q−1−1 ε Z x

m

n(u)q−1−1 du. (8)

Then for x > m, the quantity e

α+x = inf Z x

m

Hq

f f

f2dν, f non-decreasing, f(m) = 0, f(x) = 1

.

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verifies

1 e

α+x min εq−2,1 (q1)q−1

Z x

m

n(u)q−1−1 du q−1

. Proof. Fix x > m. Then define

fx(t) =

Z t

m

nq−1−1 Z x

m

nq−1−1

q−1

1I[m,x]+ 1I(x,∞).

Note thatfx is non-decreasing and satisfies fx(m) = 0 andfx(x) = 1. Thus, e

α+x Z x

m

Hq fx

fx

fx2dν.

Furthermore (8) yields fort(m, x), fx(t)

fx(t) = (q1)n(t)q−1−1 Z t

m

nq−1−1

ε.

Since Hq(t)max εq−21 ,1

tq fort[ε,), it follows, after some computations, that Z x

m

Hq fx

fx

fx2 max 1

εq−2,1 Z x

m

fx fx

q

fx2

= max 1

εq−2,1

(q1)q−1 Z x

m

nq−1−1 q−1·

This is the expected result.

The next result provides a simple condition ensuring Hypothesis (8) to hold

Lemma 9. For a function n(x) =e−V(x) defined forxm. Assume that for x[m, m+K]

one has |V(x)| ≤ C and that V restricted to [m+K,+) is C1 and verifies V(x) δ > 0, xm+K. Then for xm, one has

(q1)n(x)q−1−1 ε Z x

m

nq−1−1 ,

where ε= 1

1

δ +q−1K e2C/(q−1) >0.

Proof. Note thatV(x)≥ −C is actually valid for all xm. Ifxm+K, simply write Z x

m

nq−11 = Z x

m

eq−1V Keq−1C Keq−12C eV(x)q−1 =Keq−12C n(x)q−1−1 . Ifx > m+K, then

Z x

m

eq−1V Keq−1C + Z x

m+K

eq−1V

Keq−12C eVq−1(x) +1 δ

Z x

m+K

Veq−1V

= Keq−12C eVq−1(x) +q1 δ

eVq−1(x) eV(m+K)q−1

Keq−12C +q1 δ

eVq−1(x).

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