Regularized divergences between covariance operators and Gaussian measures on Hilbert spaces

DOI10.1007/s10959-020-01003-2zbMath1476.28015arXiv1904.05352OpenAlexW3013816997MaRDI QIDQ2031001

Ha Quang Minh

Publication date: 8 June 2021

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.05352

zbMATH Keywords

Hilbert spaceKullback-Leibler divergenceGaussian measuresRényi divergencecovariance operatorsregularized divergences

Mathematics Subject Classification ID

Gaussian processes (60G15) Determinants, permanents, traces, other special matrix functions (15A15) Linear operators belonging to operator ideals (nuclear, (p)-summing, in the Schatten-von Neumann classes, etc.) (47B10) Positive linear operators and order-bounded operators (47B65) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

Related Items

Entropic regularization of Wasserstein distance between infinite-dimensional Gaussian measures and Gaussian processes, Fisher-Rao Riemannian geometry of equivalent Gaussian measures on Hilbert space, Finite Sample Approximations of Exact and Entropic Wasserstein Distances Between Covariance Operators and Gaussian Processes

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