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On the mixed $f$-divergence for multiple pairs of measures (1304.6792v1)
Published 25 Apr 2013 in cs.IT, math.IT, and math.MG
Abstract: In this paper, the concept of the classical $f$-divergence (for a pair of measures) is extended to the mixed $f$-divergence (for multiple pairs of measures). The mixed $f$-divergence provides a way to measure the difference between multiple pairs of (probability) measures. Properties for the mixed $f$-divergence are established, such as permutation invariance and symmetry in distributions. An Alexandrov-Fenchel type inequality and an isoperimetric type inequality for the mixed $f$-divergence will be proved and applications in the theory of convex bodies are given.