Transport information Bregman divergences

DOI10.1007/S41884-021-00063-5MaRDI QIDQ2064256zbMATH OpenOpenAlexFDO

Authors Wuchen Li

Publication date 5 January 2022

Published in Information Geometry (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2101.01162

zbMATH Keywords

transport Bregman divergencetransport Jensen-Shannon divergencetransport KL divergence

Mathematics Subject Classification ID

Differential geometric aspects of statistical manifolds and information geometry (53B12) Information geometry (statistical aspects) (62B11) Measures of information, entropy (94A17)

Abstract: We study Bregman divergences in probability density space embedded with the $L^2$--Wasserstein metric. Several properties and dualities of transport Bregman divergences are provided. In particular, we derive the transport Kullback--Leibler (KL) divergence by a Bregman divergence of negative Boltzmann--Shannon entropy in $L^2$--Wasserstein space. We also derive analytical formulas and generalizations of transport KL divergence for one-dimensional probability densities and Gaussian families.

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Cited in

(13)

• Metrics defined by Bregman divergences
• Information geometry of Wasserstein divergence
• On a prior based on the Wasserstein information matrix
• When optimal transport meets information geometry
• Hessian transport gradient flows
• Relation between the Kantorovich-Wasserstein metric and the Kullback-Leibler divergence
• (f,)-divergences: interpolating between f-divergences and integral probability metrics
• Information geometry for regularized optimal transport and barycenters of patterns
• Bregman divergence and density integration
• Hessian metric via transport information geometry
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• Information geometry of the Otto metric
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