Sup-sums principles for F-divergence, Kullback--Leibler divergence, and new definition for t-entropy
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Publication:6325297
Measures of association (correlation, canonical correlation, etc.) (62H20) Measures of information, entropy (94A17) Inequalities for sums, series and integrals (26D15) Entropy and other invariants, isomorphism, classification in ergodic theory (37A35) Linear operators on special spaces (weighted shifts, operators on sequence spaces, etc.) (47B37)
Abstract: The article presents new sup-sums principles for integral F-divergence for arbitrary convex function F and arbitrary (not necessarily positive and absolutely continuous) measures. As applications of these results we derive the corresponding sup-sums principle for Kullback--Leibler divergence and work out new `integral' definition for t-entropy explicitly establishing its relation to Kullback--Leibler divergence.
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