Variational Representations and Neural Network Estimation of Rényi Divergences

Jeremiah Birrell, Paul Dupuis, Markos A. Katsoulakis +2

We derive a new variational formula for the Rényi family of divergences, $R_{\alpha }(Q\Vert P)$, between probability measures $Q$ and $P$. Our result generalizes the classical Donsker-Varadha…