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Title: Formulation and properties of a divergence used to compare probability measures without absolute continuity
This paper develops a new divergence that generalizes relative entropy and can be used to compare probability measures without a requirement of absolute continuity. We establish properties of the divergence, and in particular derive and exploit a representation as an infimum convolution of optimal transport cost and relative entropy. Also included are examples of computation and approximation of the divergence, and the demonstration of properties that are useful when one quantifies model uncertainty.  more » « less
Award ID(s):
1904992
PAR ID:
10382414
Author(s) / Creator(s):
;
Date Published:
Journal Name:
ESAIM: Control, Optimisation and Calculus of Variations
Volume:
28
ISSN:
1292-8119
Page Range / eLocation ID:
10
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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