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Poincaré inequality in probability theory
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Mathematics
Area of mathematics
Probability and statistics
Probability theory
Probability inequality
Concentration inequality
2026-09-24
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A
probability distribution
μ
has Poincaré constant
C
P
when every sufficiently regular
f
satisfies
Var
μ
f
≤
C
P
∫
∥
∇
f
∥
2
d
μ
.
(1)
Table of contents
Gaussian Poincaré inequality
Poincaré inequality in probability theory
Gaussian logarithmic Sobolev inequality
Poincaré inequality in probability theory
Convex Poincaré inequality
Poincaré inequality in probability theory
Gaussian Poincaré inequality
0
0
0
Poincaré inequality in probability theory
For standard
Gaussian measure
γ
, the sharp Poincaré constant is one:
Var
γ
f
≤
∫
∥
∇
f
∥
2
d
γ
.
(1)
Gaussian logarithmic Sobolev inequality
0
0
0
Poincaré inequality in probability theory
For standard
Gaussian measure
γ
,
Ent
γ
(
f
2
)
≤
2
∫
∥
∇
f
∥
2
d
γ
.
(1)
Convex Poincaré inequality
0
0
0
Poincaré inequality in probability theory
For
independent random variables
supported on
[
0
,
1
]
and
a
differentiable
convex function
f
,
Var
(
f
(
X
))
≤
E
∥
∇
f
(
X
)
∥
2
.
(1)
Ancestors
(7)
Concentration inequality
Probability inequality
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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(1)
Past exam of the mathematics course of the University of Cambridge
/
2025
/
iii
/
Paper 208
/
2
/
a
/
Solution
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