A variational characterization of Rényi divergences

Abstract

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

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Cite this paper

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