Jensen Inequality Applied to Square Root Function

algebra-precalculusjensen-inequality

For a concave function $f$, Jensen inequality states that

$$
f(ax+by) \geq af(x) + bf(y)
$$

Now, $\sqrt{x}$ is a concave function, hence by Jensen inequality

$$
\sqrt{x+y} \geq \sqrt{x} + \sqrt{y}
$$

But by elementary algebra, we know

$$
(\sqrt{x} + \sqrt{y})^2 = x + y + 2\sqrt{xy}
$$
and hence
$$
\sqrt{x} + \sqrt{y} \geq \sqrt{x + y}
$$

Why I get contradictory results ?

Best Answer

As per the comments, you missed an important part of the definition of concavity (and so Jensen's inequality): If $\lambda \in [0,1]$ then $$ f(\lambda x+(1-\lambda)y)\geq\lambda f(x)+(1-\lambda)f(y) $$ where you have taken $a=\lambda$, $b=1-\lambda$.

It may help to think of what this means geometrically: The points on the line between $f(x)$ and $f(y)$ (in the plane where $f$ is graphed), call one of them $(p_1,p_2)$ are smaller than the points on the graph, $(p_1,f(p_1))$.

I encourage you to draw the picture.

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