Minimization of φ-divergences on sets of signed measures

Abstract: We consider the minimization problem of

p h i

-divergences between a given probability measure

P

and subsets

O m e g a

of the vector space

m a t h c a l M_{m} a t h c a l F

of all signed finite measures which integrate a given class

m a t h c a l F

of bounded or unbounded measurable functions. The vector space

m a t h c a l M_{m} a t h c a l F

is endowed with the weak topology induced by the class

m a t h c a l F c u p m a t h c a l B_{b}

where

m a t h c a l B_{b}

is the class of all bounded measurable functions. We treat the problems of existence and characterization of the

p h i

-projections of

P

on

O m e g a

. We consider also the dual equality and the dual attainment problems when

O m e g a

is defined by linear constraints.

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