Geometric Jensen-Shannon Divergence Between Gaussian Measures On Hilbert Space

Abstract

This work studies the Geometric Jensen-Shannon divergence, based on the notion of geometric mean of probability measures, in the setting of Gaussian measures on an infinite-dimensional Hilbert space. On the set of all Gaussian measures equivalent to a fixed one, we present a closed form expression for this divergence that directly generalizes the finite-dimensional version. Using the notion of Log-Determinant divergences between positive definite unitized trace class operators, we then define a Regularized Geometric Jensen-Shannon divergence that is valid for any pair of Gaussian measures and that recovers the exact Geometric Jensen-Shannon divergence between two equivalent Gaussian measures when the regularization parameter tends to zero.