Yuki Ohnishi

Novel Change of Measure Inequalities with Applications to PAC-Bayesian Bounds and Monte Carlo Estimation

We introduce several novel change of measure inequalities for two families of divergences: $f$-divergences and $\alpha$-divergences. We show how the variational representation for $f$-divergences leads to novel change of measure inequalities. We also present a multiplicative change of measure inequa…