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Numerical optimisation for multivariate Gaussians
Hi,
I want to calculate
$
f_{\mathbf x}(x_1,\ldots,x_k)\, =
\frac{1}{(2\pi)^{k/2}|\boldsymbol\Sigma|^{1/2}}
\exp\left(-\frac{1}{2}({\mathbf x}-{\boldsymbol\mu})^T{\boldsymbol\Sigma}^{-1}({\mathbf x}...
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How to optimize parametric information-theoretic bounds?
I am faced with an information-theoretic upper bound, such as
\begin{align}
\sqrt{\alpha'}2^{I_\alpha(X;Y)},
\end{align}
where $I_\alpha(X;Y)$ is the Rényi mutual information with parameter $\alpha>...