Upper and lower bounds for the Bregman divergence

Abstract: In this paper we study upper and lower bounds on the Bregman divergence $\Delta_{\mathcal{F}}^{\xi}(y,x):=\mathcal{F}(y)-\mathcal{F}(x)-\langle \xi, y-x\rangle $ for some convex functional $\mathcal{F}$ on a normed space $\mathcal{X}$, with subgradient $\xi\in\partial\mathcal{F}(x)$. We give a considerably simpler new proof of the inequalities by Xu and Roach for the special case $\mathcal{F}(x)=\left| x\right|^p, p>1$. The results can be transfered to more general functions as well.