Shannon Theory
Renyi Entropy

Rényi Divergence rates of Ergodic Markov Chains: existence, explicit expressions and properties

Valérie Girardin, Philippe Regnault

Date & Time

01:00 am – 01:00 am


The Kullback-Leibler divergence rate of two finite or denumerable ergodic Markov chains is well-known to exist and have an explicit expression as a function of the transition matrices of the chains, allowing access to classical tools for applications, such as minimization under constraints or projections on convex sets. The existence of Rényi divergence rates of ergodic Markov chains has been established in Rached et al. (2001), Girardin and Lhote (2015); here we establish explicit expressions for them and prove some properties of the resulting measures of discrepancy between stochastic matrices, opening the way to applications.


Valérie Girardin

Laboratoire de Mathématiques Nicolas Oresme

Philippe Regnault

Laboratoire de Mathématiques de Reims

Session Chair

Ofer Shayevitz

Tel Aviv University