Information geometry and divergences

Foundations, Applications, and Software APIs

Historically, Information Geometry (IG, tutorials, textbooks and monographs) aimed at unravelling the geometric structures of families of probability distributions called the statistical models.
A statistical model can either be

A parametric statistical model is said regular when the Fisher information matrix is positive-definite (and well-defined). Otherwise, the statistical model is irregular (eg., infinite Fisher information and semi-positive definite Fisher information when the model is not identifiable).

The Fisher-Rao manifold of a statistical parametric model is a Riemannian manifold equipped with the Fisher information metric. The geodesic length on a Fisher-Rao manifold is called Rao's distance [Hotelling 1930][Rao 1945]. More generally, Amari proposed the dualistic structure of IG which consists of a pair of torsion-free affine connections coupled to the Fisher metric [Amari 1980's]. Given a dualistic structure, we can build generically a one-parameter family of dualistic information-geometric structures, called the α-geometry. When both connections are flat, the information-geometric space is said dually flat: For example, the Amari's ±1-structures of exponential families and mixture families are famous examples of dually flat spaces in information geometry. In differential geometry, geodesics are defined as autoparallel curves with respect to a connection. When using the default Levi-Civita metric connection derived from the Fisher metric on Fisher-Rao manifolds, we get Rao's distance which are locally minimizing geodesics. Eguchi showed how to build from any smooth distortion (originally called a contrast function) a dualistic structure: The information geometry of divergences [Eguchi 1982]. The information geometry of Bregman divergences yields dually flat spaces: It is a special cases of Hessian manifolds which are differentiable manifolds equipped with a metric tensor being a Hessian metric and a flat connection [Shima 2007]. Since geometric structures scaffold spaces independently of any applications, these pure information-geometric Fisher-Rao structure and α-structures of statistical models can also be used in non-statistical contexts too: For example, for analyzing interior point methods with barrier functions in optimization, or for studying time-series models, etc.

Statistical divergences between parametric statistical models amount to parameter divergences on which we can use the Eguchi's divergence information geometry to get a dualistic structure. A projective divergence is a divergence which is invariant by independent rescaling of its parameters. A statistical projective divergence is thus useful for estimating computationally intractable statistical models (eg., gamma divergences, Cauchy-Schwarz divergence and Hölder divergences, or singly-sided projective Hyvärinen divergence). A conformal divergence is a divergence scaled by a conformal factor which may depend on one or two of its arguments. The metric tensor obtained from Eguchi's information divergence of a conformal divergence is a conformal metric of the metric obtained from the divergence, hence its name. By analogy to total least squares vs least squares, a total divergence is a divergence which is invariant wrt. to rotations (eg., total Bregman divergences). An important property of divergences on the probability simplex is to be monotone by coarse-graining. That is, merging bins and considering reduced histograms should give a distance less or equal than the distance on the full resolution histograms. This information monotonicity property holds for f-divergences (called invariant divergences in information geometry), Hilbert log cross-ratio distance, or Aitchison distance for example. Some statistical divergences are upper bounded (eg., Jensen-Shannon divergence) while others are not (eg., Jeffreys' divergence). Optimal transport distances require a ground base distance on the sample space. A diversity index generalizes a two-point distance to a family of parameters/distributions. It usually measures the dispersion around a center point (eg., like variance measures the dispersion around the centroid).

Browsing geometric structures: [tutorials] [Software/API] [Fisher-Rao manifolds] [Cones] [Finsler manifolds] [Hessian manifolds] [Exponential families and mixture families] [Categorical distributions/probability simplex] [Time series] [Hilbert geometry] [Hyperbolic geometry and Siegel spaces] [Applications] [Natural gradient] [centroids and clustering] [Miscellaneous applications]

Browsing [Dissimilarities]: [Jensen-Shannon divergence] [f-divergences] [Bregman divergences] [Jensen divergences] [conformal divergences] [projective divergences] [optimal transport] [entropies] [Chernoff information]

Information geometry: Tutorials and surveys

Fisher-Rao manifolds (Riemannian manifolds and Hamadard manifolds)

Cones

Finsler manifolds

Finsler manifolds are proposed to model irregular parametric statistical models (where Fisher information can be infinite)

Bregman manifolds/Hessian manifolds

Exponential families and Mixture families

Continuous or discrete exponential families
  • Online k-MLE for Mixture Modeling with Exponential Families, GSI 2015
  • k-MLE: A fast algorithm for learning statistical mixture models, IEEE ICASSP 2012
  • Fast Learning of Gamma Mixture Models with k-MLE, SIMBAD 2013: 235-249
  • k-MLE for mixtures of generalized Gaussians, ICPR 2012: 2825-2828
  • Simplification and hierarchical representations of mixtures of exponential families, Signal Process. 90(12): 3197-3212 (2010)
  • The analytic dually flat space of the statistical mixture family of two prescribed distinct Cauchy components
  • On the Geometry of Mixtures of Prescribed Distributions, IEEE ICASSP 2018

    Information geometry of deformed exponential families

    q-deformed exponential families, q-Gaussians, etc.

    Information geometry of the probability simplex

  • Clustering in Hilbert simplex geometry [project page]
  • Geometry of the probability simplex and its connection to the maximum entropy method, Journal of Applied Mathematics, Statistics and Informatics 16(1):25-35, 2020
    Bruhat-Tits space
    open access (publisher)

    Information geometry of singular statistical models

  • A Geometric Modeling of Occam's Razor in Deep Learning
  • Towards Modeling and Resolving Singular Parameter Spaces using Stratifolds, Neurips OPT workshop 2021

    Geometry of time series and correlations/dependences

    Hilbert geometry

    Hilbert geometry are induced by a bounded convex open domain. Hilbert geometry generalize the Klein model of hyperbolic geometry and the Cayley-Klein geometry Beware that Hilbert geometry are never Hilbert spaces!

    Hyperbolic geometry and geometry of Siegel domains

    Some applications of information geometry

    Natural gradient

    Centers and clustering

    Miscellaneous applications

    Dissimilarities, distances, divergences and diversities

    Jensen-Shannon divergence

    f-divergences

    Bregman divergences and some generalizations


    Home page of Geometric Science of Information
    April 2022.