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Variations on the Expectation Due to Changes in the Probability Measure

Authors :
Perlaza, Samir M.
Bisson, Gaetan
Publication Year :
2025

Abstract

Closed-form expressions are presented for the variation of the expectation of a given function due to changes in the probability measure used for the expectation. They unveil interesting connections with Gibbs probability measures, the mutual information, and the lautum information.<br />Comment: Submitted to the IEEE International Symposium on Information Theory (ISIT2025)

Subjects

Subjects :
Computer Science - Information Theory
Computer Science - Machine Learning
Mathematics - Probability
Mathematics - Statistics Theory

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2502.02887
Document Type :
Working Paper

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