This short note is on a property of the Kullback-Leibler (KL) divergence which indicates that independent Gaussian distributions minimize the KL divergence from given independent Gaussian distributions. The primary purpose of this note is for the referencing of papers that need to make use of this property entirely or partially.
Rényi divergence is related to Rényi entropy much like Kullback-Leibler divergence is related to Shannon's entropy, and comes up in many settings. It was introduced by Rényi as a measure of information that satisfies almost the same axioms as Kullback-Leibler divergence, and depends on a parameter that is called its order. In particular, the Rényi divergence of order 1 equals the Kullback-Leibler divergence. We review and extend the most important properties of Rényi divergence and Kullback-Leibler divergence, including convexity, continuity, limits of $σ$-algebras and the relation of the spec…
We report a closed-form expression for the Kullback-Leibler divergence between Cauchy distributions which involves the calculation of a novel definite integral. The formula shows that the Kullback-Leibler divergence between Cauchy densities is always finite and symmetric.
Information-theoretic measures such as the entropy, cross-entropy and the Kullback-Leibler divergence between two mixture models is a core primitive in many signal processing tasks. Since the Kullback-Leibler divergence of mixtures provably does not admit a closed-form formula, it is in practice either estimated using costly Monte-Carlo stochastic integration, approximated, or bounded using various techniques. We present a fast and generic method that builds algorithmically closed-form lower and upper bounds on the entropy, the cross-entropy and the Kullback-Leibler divergence of mixtures. We …
We derive a closed form solution for the Kullback-Leibler divergence between two generalized gamma distributions. These notes are meant as a reference and provide a guided tour towards a result of practical interest that is rarely explicated in the literature.
We derive a closed form solution for the Kullback-Leibler divergence between two Weibull distributions. These notes are meant as reference material and intended to provide a guided tour towards a result that is often mentioned but seldom made explicit in the literature.
In this note, we characterize the Gompertz distribution in terms of extreme value distributions and point out that it implicitly models the interplay of two antagonistic growth processes. In addition, we derive a closed form expressions for the Kullback-Leibler divergence between two Gompertz Distributions. Although the latter is rather easy to obtain, it seems not to have been widely reported before.
The R-package vsgoftest performs goodness-of-fit (GOF) tests, based on Shannon entropy and Kullback-Leibler divergence, developed by Vasicek (1976) and Song (2002), of various classical families of distributions. The theoretical framework of the so-called Vasicek-Song (VS) tests is summarized and followed by a detailed description of the different features of the package. The power and computational time performances of VS tests are studied through their comparison with other GOF tests. Application to real datasets illustrates the easy-to-use functionalities of the vsgoftest package.
Discrete normal distributions are defined as the distributions with prescribed means and covariance matrices which maximize entropy on the integer lattice support. The set of discrete normal distributions form an exponential family with cumulant function related to the Riemann theta function. In this paper, we present several formula for common statistical divergences between discrete normal distributions including the Kullback-Leibler divergence. In particular, we describe an efficient approximation technique for calculating the Kullback-Leibler divergence between discrete normal distribution…
We define a new measure of causation from a fluctuation-response theorem for Kullback-Leibler divergences, based on the information-theoretic cost of perturbations. This information response has both the invariance properties required for an information-theoretic measure and the physical interpretation of a propagation of perturbations. In linear systems, the information response reduces to the transfer entropy, providing a connection between Fisher and mutual information.
We show that the $f$-divergence between any two densities of potentially different location-scale families can be reduced to the calculation of the $f$-divergence between one standard density with another location-scale density. It follows that the $f$-divergence between two scale densities depends only on the scale ratio. We then report conditions on the standard distribution to get symmetric $f$-divergences: First, we prove that all $f$-divergences between densities of a location family are symmetric whenever the standard density is even, and second, we illustrate a generic symmetric propert…
This archiving article consists of several short reports on the discussions between the two authors over the past two years at Oxford and Madrid, and their work carried out during that period on the upper bound of the Kullback-Leibler divergence and cross entropy. The work was motivated by the cost-benefit ratio proposed by Chen and Golan [1], and the less desirable property that the Kullback-Leibler (KL) divergence used in the measure is unbounded. The work subsequently (i) confirmed that the KL-divergence used in the cost-benefit ratio should exhibit a bounded property, (ii) proposed a new d…
The Kullback-Leibler (KL) divergence is a fundamental equation of information theory that quantifies the proximity of two probability distributions. Although difficult to understand by examining the equation, an intuition and understanding of the KL divergence arises from its intimate relationship with likelihood theory. We discuss how KL divergence arises from likelihood theory in an attempt to provide some intuition and reserve a rigorous (but rather simple) derivation for the appendix. Finally, we comment on recent applications of KL divergence in the neural coding literature and highlight …
It has been shown that the Kullback-Leibler divergence is a Lyapunov function for the replicator equations at evolutionary stable states, or ESS. In this paper we extend the result to a more general class of game dynamics. As a result, sufficient conditions can be given for the asymptotic stability of rest points for the entire class of incentive dynamics. The previous known results will be can be shown as corollaries to the main theorem.
Université Paris Descartes（巴黎笛卡尔大学）；CNRS（法国国家科学研究中心）
We measure the influence of individual observations on the sequence of the hidden states of the Hidden Markov Model (HMM) by means of the Kullback-Leibler distance (KLD). Namely, we consider the KLD between the conditional distribution of the hidden states' chain given the complete sequence of observations and the conditional distribution of the hidden chain given all the observations but the one under consideration. We introduce a linear complexity algorithm for computing the influence of all the observations. As an illustration, we investigate the application of our algorithm to the problem …
The Kullback-Leibler divergence or relative entropy is an information-theoretic measure between statistical models that play an important role in measuring a distance between random variables. In the study of complex systems, random fields are mathematical structures that models the interaction between these variables by means of an inverse temperature parameter, responsible for controlling the spatial dependence structure along the field. In this paper, we derive closed-form expressions for the Kullback-Leibler divergence between two pairwise isotropic Gaussian-Markov random fields in both un…
In this paper, we derive a useful lower bound for the Kullback-Leibler divergence (KL-divergence) based on the Hammersley-Chapman-Robbins bound (HCRB). The HCRB states that the variance of an estimator is bounded from below by the Chi-square divergence and the expectation value of the estimator. By using the relation between the KL-divergence and the Chi-square divergence, we show that the lower bound for the KL-divergence which only depends on the expectation value and the variance of a function we choose. This lower bound can also be derived from an information geometric approach. Furthermor…
We consider the problem of reducing a first-order Markov chain on a large alphabet to a higher-order Markov chain on a small alphabet. We present information-theoretic cost functions that are related to predictability and lumpability, show relations between these cost functions, and discuss heuristics to minimize them. Our experiments suggest that the generalization to higher orders is useful for model reduction in reliability analysis and natural language processing.
We suggest new recursive formulas to compute the exact value of the Kullback-Leibler distance (KLD) between two general Hidden Markov Trees (HMTs). For homogeneous HMTs with regular topology, such as homogeneous Hidden Markov Models (HMMs), we obtain a closed-form expression for the KLD when no evidence is given. We generalize our recursive formulas to the case of HMMs conditioned on the observable variables. Our proposed formulas are validated through several numerical examples in which we compare the exact KLD value with Monte Carlo estimations.
In this letter, we study the performance of a wireless power transfer system under energy harvesting distribution uncertainty. The uncertainty captures practical nonidealities of the rectification process and is modelled as the maximum Kullback-Leibler distance of the actual distribution from a nominal distribution. The case where symmetrized divergence is considered for the statistical distance between distributions is also considered. By formulating a convex optimization problem, we investigate a mathematical framework that provides closed form expressions for the minimum average harvested e…
Sony Computer Science Laboratories, Inc.（索尼计算机科学实验室）
Due to the success of the bag-of-word modeling paradigm, clustering histograms has become an important ingredient of modern information processing. Clustering histograms can be performed using the celebrated $k$-means centroid-based algorithm. From the viewpoint of applications, it is usually required to deal with symmetric distances. In this letter, we consider the Jeffreys divergence that symmetrizes the Kullback-Leibler divergence, and investigate the computation of Jeffreys centroids. We first prove that the Jeffreys centroid can be expressed analytically using the Lambert $W$ function for…
The generalized Kullback-Leibler divergence (K-Ld) in Tsallis statistics [constrained by the additive duality of generalized statistics (dual generalized K-Ld)] is here reconciled with the theory of Bregman divergences for expectations defined by normal averages, within a measure-theoretic framework. Specifically, it is demonstrated that the dual generalized K-Ld is a scaled Bregman divergence. The Pythagorean theorem is derived from the minimum discrimination information-principle using the dual generalized K-Ld as the measure of uncertainty, with constraints defined by normal averages. The m…
We study the problem of nonnegative rank-one approximation of a nonnegative tensor, and show that the globally optimal solution that minimizes the generalized Kullback-Leibler divergence can be efficiently obtained, i.e., it is not NP-hard. This result works for arbitrary nonnegative tensors with an arbitrary number of modes (including two, i.e., matrices). We derive a closed-form expression for the KL principal component, which is easy to compute and has an intuitive probabilistic interpretation. For generalized KL approximation with higher ranks, the problem is for the first time shown to be…
We discuss a relation between the Kantorovich-Wasserstein (KW) metric and the Kullback-Leibler (KL) divergence. The former is defined using the optimal transport problem (OTP) in the Kantorovich formulation. The latter is used to define entropy and mutual information, which appear in variational problems to find optimal channel (OCP) from the rate distortion and the value of information theories. We show that OTP is equivalent to OCP with one additional constraint fixing the output measure, and therefore OCP with constraints on the KL-divergence gives a lower bound on the KW-metric. The dual f…
This work presents an upper-bound to value that the Kullback-Leibler (KL) divergence can reach for a class of probability distributions called quantum distributions (QD). The aim is to find a distribution $U$ which maximizes the KL divergence from a given distribution $P$ under the assumption that $P$ and $U$ have been generated by distributing a given discrete quantity, a quantum. Quantum distributions naturally represent a wide range of probability distributions that are used in practical applications. Moreover, such a class of distributions can be obtained as an approximation of any probabi…
Universal hypothesis testing refers to the problem of deciding whether samples come from a nominal distribution or an unknown distribution that is different from the nominal distribution. Hoeffding's test, whose test statistic is equivalent to the empirical Kullback-Leibler divergence (KLD), is known to be asymptotically optimal for distributions defined on finite alphabets. With continuous observations, however, the discontinuity of the KLD in the distribution functions results in significant complications for universal hypothesis testing. This paper introduces a robust version of the classic…
A new group of transformations related to the Kullback-Leibler and Rényi divergences and universal classes of monotone measures of statistical complexity
This paper proposes a new family of lower and upper bounds on the minimum mean squared error (MMSE). The key idea is to minimize/maximize the MMSE subject to the constraint that the joint distribution of the input-output statistics lies in a Kullback-Leibler divergence ball centered at some Gaussian reference distribution. Both bounds are tight and are attained by Gaussian distributions whose mean is identical to that of the reference distribution and whose covariance matrix is determined by a scalar parameter that can be obtained by finding the root of a monotonic function. The upper bound co…
The $α$-divergences include the well-known Kullback-Leibler divergence, Hellinger distance and $χ^2$-divergence. In this paper, we derive differential and integral relations between the $α$-divergences that are generalizations of the relation between the Kullback-Leibler divergence and the $χ^2$-divergence. We also show tight lower bounds for the $α$-divergences under given means and variances. In particular, we show a necessary and sufficient condition such that the binary divergences, which are divergences between probability measures on the same $2$-point set, always attain lower bounds. Ku…
Inferring and comparing complex, multivariable probability density functions is fundamental to problems in several fields, including probabilistic learning, network theory, and data analysis. Classification and prediction are the two faces of this class of problem. We take an approach here that simplifies many aspects of these problems by presenting a structured, series expansion of the Kullback-Leibler divergence - a function central to information theory - and devise a distance metric based on this divergence. Using the Möbius inversion duality between multivariable entropies and multivariab…
