A variational characterization of Rényi divergences


Atar, Chowdhary and Dupuis have recently exhibited a variational formula for exponential integrals of bounded measurable functions in terms of Rényi divergences. We develop a variational characterization of the Rényi divergences between two probability distributions on a measurable space in terms of relative entropies. When combined with the elementary… (More)
DOI: 10.1109/ISIT.2017.8006657


Cite this paper

@inproceedings{Anantharam2017AVC, title={A variational characterization of R{\'e}nyi divergences}, author={Venkat Anantharam}, booktitle={ISIT}, year={2017} }