Variations on the Expectation due to Changes in the Probability Measure
arXiv:2502.02887
Abstract
In this paper, closed-form expressions are presented for the variation of the expectation of a given function due to changes in the probability measure used for the expectation. They unveil interesting connections with Gibbs probability measures, mutual information, and lautum information.
Submitted to the IEEE Information Theory Workshop (ITW), 2025