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From $f$-divergence to its dual: the transformation of convex functions on $\mathbb R_+$ by $f^*(t) = 1 f(\frac 1 t)$
I would like to understand the relationship between minimising the KL divergence $P \mapsto D_{KL}[P,Q]$ and the reverse KL divergence $P\mapsto D_{KL}^*[P,Q]=D_{KL}[Q,P]$ for probability measures $P$ ...
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