Variations on the Expectation Due to Changes in the Probability Measure
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.
Authors
- Gaetan Bisson (ORCID: https://orcid.org/0009-0006-8328-3131)
- Samir M. Perlaza (ORCID: https://orcid.org/0000-0002-1887-9215)
Institutions
- Institut national de recherche en sciences et technologies du numérique (FR)
- Princeton University (US)
- University of French Polynesia (PF)
Publication Details
- Journal
- Entropy
- Published
- 2025-08-14
- DOI
- https://doi.org/10.3390/e27080865
- Primary Topic
- Data Stream Mining Techniques
- Type
- article
- Field-Weighted Citation Impact
- 0.00
Funders
- European Commission
- Agence Nationale de la Recherche
- Horizon 2020 Framework Programme
- Agence de l'innovation de Défense
- CHIST-ERA