Regularized divergences between covariance operators and Gaussian measures on Hilbert spaces

Abstract

This work presents an infinite-dimensional generalization of the correspondence between the Kullback-Leibler and R\'enyi divergences between Gaussian measures on Euclidean space and the Alpha Log-Determinant divergences between symmetric, positive definite matrices. Specifically, we present the regularized Kullback-Leibler and R\'enyi divergences between covariance operators and Gaussian measures on an infinite-dimensional Hilbert space, which are defined using the infinite-dimensional Alpha Log-Determinant divergences between positive definite trace class operators. We show that, as the regularization parameter approaches zero, the regularized Kullback-Leibler and R\'enyi divergences between two equivalent Gaussian measures on a Hilbert space converge to the corresponding true divergences. The explicit formulas for the divergences involved are presented in the most general Gaussian setting.