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Generalised Pinsker inequalities

Reid, Mark; Williamson, Robert


We generalise the classical Pinsker inequality which relates variational divergence to Kullback-Liebler divergence in two ways: we consider arbitrary f-divergences in place of KL divergence, and we assume knowledge of a sequence of values of generalised variational divergences. We then develop a best possible inequality for this doubly generalised situation. Specialising our result to the classical case provides a new and tight explicit bound relating KL to variational divergence (solving a...[Show more]

CollectionsANU Research Publications
Date published: 2009
Type: Conference paper
Source: Proceedings of The 22nd Annual Conference on Learning Theory (COLT-2009)


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