# KL-divergence and sub-$\sigma$-algebras

I am trying to understand if the following claim is true:

Let $$P$$, $$Q$$ be probability measures on $$\mathcal{X}$$. For any $$\sigma$$-algebra $$\mathcal{G}$$, with countably many atoms (sets with $$\emptyset$$ as their only subset in $$\mathcal{G}$$), let $$D(P||Q|\mathcal{G}) = \sum_{A\in atom(\mathcal{G})} P(A)\log\frac{P(A)}{Q(A)}.$$ Then for any $$\sigma$$-algebra $$\mathcal{H} \subset \mathcal{G}$$ we have $$D(P||Q|\mathcal{H}) \leq D(P||Q|\mathcal{G})$$.

First of all, I think there should be some assumption regarding the measurability of atoms of $$\mathcal{G}$$ with respect to $$P$$ and $$Q$$.

Apart from that, I cannot see why the inequality would necessarily holds. To build a counterexample, let $$\lambda$$ be the counting measure on $$\{0\}$$ and let $$(\mathcal{Y},\mathcal{F},\mu)$$ be a probability space with an atomless $$\sigma$$-algebra. For $$\alpha\in[0,1]$$, There is a probability space on $$\mathcal{X} = Y\cup \{0\}$$ with probability measure $$a\mu' + (1-a)\lambda'$$, where the prime measures act as $$\mu'(A) = \mu(A\cap \mathcal{Y})$$ and $$\lambda'(A) = \lambda(A\cap \{0\})$$. Take $$\mathcal{G}$$ to be the $$\sigma$$-algebra generated in $$\mathcal{X}$$ by $$\mathcal{F}$$ and let $$\mathcal{H} = \{\emptyset,\mathcal{Y},\{0\},\mathcal{X}\}$$. Now $$\mathcal{H} \subset \mathcal{G}$$ and they both contain finitely many atoms, but we have $$D\left(\frac{1}{2}\mu' + \frac{1}{2}\lambda'||a\mu' + (1-a)\lambda'|\mathcal{G}\right) - D\left(\frac{1}{2}\mu' + \frac{1}{2}\lambda'||a\mu' + (1-a)\lambda'|\mathcal{H}\right) = -\frac{1}{2}\log\left(\frac{a}{2}\right)$$ which is $$\leq0$$ as long as $$a\geq$$2.

Having said that, if I assume $$\mathcal{X} = \cup atom(\mathcal{G})$$ in the original statement, this argument would collapse and the inequality could hold.

Is there a flaw in my argument? I have assumed the existence of measures with various properties (most notably a probability measure with an atomless sigma algebra), but if I remember my measure theoretic basics correctly, all of these existences can be proven.

$$\newcommand{\G}{\mathcal G}\newcommand{\HH}{\mathcal H}\newcommand{\A}{\mathcal A}\newcommand{\X}{\mathcal X}$$First here, a nonempty member $$A$$ of a sigma-algebra $$\G$$ is an atom of $$\G$$ if the only proper subset of $$A$$ in $$\G$$ is empty.
Let now $$\A(\G)$$ denote the set of all atoms of $$\G$$. Without the condition $$\begin{equation*} \X=\cup\A(\G),\tag{1} \end{equation*}$$ it is of course easy to construct counterexamples to the inequality $$\begin{equation*} D(P||Q|\HH)\le D(P||Q|\G),\tag{2} \end{equation*}$$ as was done in your post.
On the other hand, assuming that (1) holds and that $$\A(\G)$$ is (at most) countable, inequality (2) holds. Indeed, then every atom $$B$$ of $$\HH$$ is a disjoint countable union of atoms of $$\G$$: $$\begin{equation*} B=\cup\A_B(\G), \end{equation*}$$ where $$\begin{equation*} \A_B(\G):=\{A\in\A(\G)\colon A\subseteq B\}. \end{equation*}$$ So, \begin{align*} D(P||Q|\G)&=\sum_{A\in\A(\G)}P(A)\log\frac{P(A)}{Q(A)} \\ &=\sum_{B\in\A(\HH)}\sum_{A\in\A_B(\G)}P(A)\log\frac{P(A)}{Q(A)}, \end{align*} \begin{align*} D(P||Q|\HH)&=\sum_{B\in\A(\HH)}P(B)\log\frac{P(B)}{Q(B)} \\ & =\sum_{B\in\A(\HH)}\sum_{A\in\A_B(\G)}P(A)\log\frac{P(B)}{Q(B)}, \end{align*} \begin{align*} D(P||Q|\G)-D(P||Q|\HH) &=\sum_{B\in\A(\HH)}\sum_{A\in\A_B(\G)}P(A)\log\frac{P(A|B)}{Q(A|B)} \\ &=\sum_{B\in\A(\HH)}P(B)\sum_{A\in\A_B(\G)}P(A|B)\log\frac{P(A|B)}{Q(A|B)} \\ &=\sum_{B\in\A(\HH)}P(B)D\big(P(\cdot|B)||Q(\cdot|B)\big)\ge0, \end{align*} since $$D\big(P(\cdot|B)||Q(\cdot|B)\big):=\sum_{A\in\A_B(\G)}P(A|B)\log\frac{P(A|B)}{Q(A|B)}\ge0$$.
• Thank you for verifying the presented argument and for providing the proof given the assumption $\mathcal{X}=\cup\mathcal{A}(\mathcal{G})$!