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Transport information Bregman divergences (2101.01162v1)

Published 4 Jan 2021 in cs.IT, cs.AI, math-ph, math.IT, math.MP, and math.PR

Abstract: We study Bregman divergences in probability density space embedded with the $L2$--Wasserstein metric. Several properties and dualities of transport Bregman divergences are provided. In particular, we derive the transport Kullback--Leibler (KL) divergence by a Bregman divergence of negative Boltzmann--Shannon entropy in $L2$--Wasserstein space. We also derive analytical formulas and generalizations of transport KL divergence for one-dimensional probability densities and Gaussian families.

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