Variations on the Expectation Due to Changes in the Probability Measure

Résumé fourni par la source

In this paper, closed-form expressions for the variation of the expectation of a given function due to changes in the probability measure (probability distribution drifts) are presented. These expressions unveil interesting connections with Gibbs probability measures, information projections, Pythagorean identities for relative entropy, mutual information, and lautum information.

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