Problem: Prove that, for all $x \in (0, \pi)$ and $p > 0$,
$$\cos x + \frac{2p}{\pi}\sin x + 2\left(\frac{x}{\pi}\right)^p - 1 \ge 0.$$
Proof.
We split into two cases.
Case 1: $x\in (0, \pi/2]$
Using the known inequalities $\cos x \ge 1 - \frac{x^2}{2}$
and $\sin x \ge \frac{2}{\pi}x $ on $(0, \pi/2]$, it suffices to prove that
$$1 - \frac{x^2}{2} + \frac{2p}{\pi}\cdot \frac{2}{\pi}x + 2\left(\frac{x}{\pi}\right)^p - 1 \ge 0$$
or
$$ - \frac12x^2 + \frac{4px}{\pi^2} + 2\left(\frac{x}{\pi}\right)^p
\ge 0 \tag{1}$$
which is true. The proof of (1) is given at the end.
Case 2: $x\in (\pi/2, \pi)$
Letting $x = \pi - y$, it suffices to prove that, for all $y \in (0, \pi/2)$,
$$- \cos y + \frac{2p}{\pi}\sin y +
2\left(\frac{\pi - y}{\pi}\right)^p - 1 \ge 0$$
Using the know inequalities
$\cos y \le 1 - \frac{y^2}{2} + \frac{y^4}{24}$ and $\sin y \ge y - \frac{y^3}{6}$ on $(0, \infty)$, it suffices to prove that
$$- \left(1 - \frac{y^2}{2} + \frac{y^4}{24}\right) + \frac{2p}{\pi}\left(y - \frac{y^3}{6}\right) + 2\left(\frac{\pi - y}{\pi}\right)^p - 1 \ge 0 \tag{2}$$
which is true. The proof of (2) is similar to that of (1) ($0 < p < 1$, $1\le p \le 2$, $p> 2$, Bernoulli inequality etc).
We are done.
$\phantom{2}$
Proof of (1):
(1) $p \ge 2$
We have
$$\mathrm{LHS} \ge - \frac12x^2 + \frac{8x}{\pi^2} \ge 0.$$
(2) $1\le p < 2$
Using $u^v \ge \frac{u}{u + v - uv}$
for all $u > 0$ and $v\in (0, 1]$
(equivalently $u^{1-v} \le 1 + (u- 1)(1 - v)$ which is Bernoulli inequality), we have
$$\left(\frac{x}{\pi}\right)^{p-1}
\ge \frac{x/\pi}{x/\pi + (p-1) - (p-1)x/\pi}.$$
It suffices to prove that
$$- \frac12x^2 + \frac{4px}{\pi^2} + 2\left(\frac{x}{\pi}\right)
\cdot \frac{x/\pi}{x/\pi + (p-1) - (p-1)x/\pi} \ge 0$$
or
$$- \frac12x + \frac{4p}{\pi^2} + 2\left(\frac{x}{\pi}\right)
\cdot \frac{1}{x + (p- 1)(\pi - x)} \ge 0$$
or
\begin{align*}
&- \frac12x + \frac{4}{\pi^2} - \frac{4x}{\pi^2(\pi - x)}\\[6pt]
&\quad
+ \frac{4}{\pi^2(\pi - x)}[x + (p- 1)(\pi - x)] +
2\left(\frac{x}{\pi}\right)
\cdot \frac{1}{x + (p- 1)(\pi - x)} \ge 0.
\end{align*}
By AM-GM, it suffices to prove that
\begin{align*}
&- \frac12x + \frac{4}{\pi^2} - \frac{4x}{\pi^2(\pi - x)}\\[6pt]
&\quad
+ 2\sqrt{\frac{4}{\pi^2(\pi - x)}[x + (p- 1)(\pi - x)] \cdot
2\left(\frac{x}{\pi}\right)
\cdot \frac{1}{x + (p- 1)(\pi - x)}} \ge 0
\end{align*}
or
$$- \frac12x + \frac{4}{\pi^2} - \frac{4x}{\pi^2(\pi - x)}
+ \frac{4}{\pi}\sqrt{\frac{2x}{\pi(\pi - x)}} \ge 0$$
which is true.
(3) $0 < p < 1$
Using $u^v \ge \frac{u}{u + v - uv}$
for all $u > 0$ and $v\in (0, 1]$, we have
$$\left(\frac{x}{\pi}\right)^p
\ge \frac{x/\pi}{x/\pi + p - px/\pi}.$$
It suffices to prove that
$$- \frac12x^2 + \frac{4px}{\pi^2} + 2\cdot
\frac{x/\pi}{x/\pi + p - px/\pi}
\ge 0 $$
or
$$- \frac12x + \frac{4p}{\pi^2} + 2\cdot
\frac{1}{x + p(\pi - x)}
\ge 0 $$
or
$$-\frac12 x - \frac{4x}{\pi^2(\pi - x)}
+ \frac{4}{\pi^2(\pi - x)}[x + p(\pi - x)]
+
\frac{2}{x + p(\pi - x)} \ge 0.$$
By AM-GM, it suffices to prove that
$$-\frac12 x - \frac{4x}{\pi^2(\pi - x)}
+ 2\sqrt{\frac{4}{\pi^2(\pi - x)}[x + p(\pi - x)]
\cdot
\frac{2}{x + p(\pi - x)}} \ge 0$$
or
$$-\frac12 x - \frac{4x}{\pi^2(\pi - x)}
+ \frac{4}{\pi}\sqrt{\frac{2}{\pi - x}} \ge 0$$
which is true.
We are done.