On Some Optimization Problems for the Rényi Divergence


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Abstract

We consider the problem of determining the maximum and minimum of the Rényi divergence Dλ(P||Q) and Dλ(Q||P) for two probability distribution P and Q of discrete random variables X and Y provided that the probability distribution P and the parameter α of α-coupling between X and Y are fixed, i.e., provided that Pr{X = Y } = α.

About the authors

V. V. Prelov

Kharkevich Institute for Information Transmission Problems

Author for correspondence.
Email: prelov@iitp.ru
Russian Federation, Moscow

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