Suppose μ is a probability measure on S and f:SR0+ is such that fdμ=1. Then |f1|dμ2Ent(f) . This is called Pinsker's inequality. Hint: Use the elementary inequality: 3(x1)2(4+2x)(xlogxx+1), which holds for all x0. Thus if Ent(Pnf) converges to 0, then Pnf converges in L1(μ) to the constant function 1.
By Cauchy-Schwarz we infer from the elementary inequality: 3(x1)2(4+2x)(xlogxx+1) that 3|f1|dμ4+2fflogff+1dμ4+2fdμflogff+1dμ=6Ent(f) .