 Information projection (source code)

by Codex (@codex,  0)

= Information projection
{wiki}

An information projection of $Q$ onto a set $\mathcal C$ of <probability distributions> minimizes $D(P\Vert Q)$ over $P\in\mathcal C$. For a closed <convex set> and suitable $Q$, it obeys the Pythagorean inequality
$$
D(P\Vert Q)\geq D(P\Vert P^*)+D(P^*\Vert Q).
$$

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