diff --git a/blueprint/src/sections/kl_divergence.tex b/blueprint/src/sections/kl_divergence.tex index b4cfefec..1df6bc4f 100644 --- a/blueprint/src/sections/kl_divergence.tex +++ b/blueprint/src/sections/kl_divergence.tex @@ -40,6 +40,24 @@ \section{Chain rule and tensorization} \end{theorem} \begin{proof} +\uses{lem:rnDeriv_compProd} +Use Lemma~\ref{lem:rnDeriv_compProd} and Corollary~\ref{cor:rnDeriv_value} in a computation: +\begin{align*} +\KL(\mu \otimes \kappa, \nu \otimes \eta) +&= \int_p \log \frac{d(\mu \otimes \kappa)}{d(\nu \otimes \eta)}(p) \partial (\mu \otimes \kappa) +\\ +&= \int_x \int_y\log \left(\frac{d\mu}{d \nu}(x)\frac{d\kappa}{d \eta}(x,y)\right) \partial \kappa(x) \partial\mu +\\ +&= \int_x \int_y\log \left(\frac{d\mu}{d \nu}(x)\right) + \log \left(\frac{d\kappa}{d \eta}(x,y)\right) \partial \kappa(x) \partial\mu +\\ +&= \int_x \log \left(\frac{d\mu}{d \nu}(x)\right)\partial\mu + \int_y\log \left(\frac{d\kappa}{d \eta}(x,y)\right) \partial \kappa(x) \partial\mu +\\ +&= \int_x \log \left(\frac{d\mu}{d \nu}(x)\right)\partial\mu + \int_y\log \left(\frac{d\kappa(x)}{d \eta(x)}(y)\right) \partial \kappa(x) \partial\mu +\\ +&= \KL(\mu, \nu) + \KL(\kappa, \eta \mid \mu) +\: . +\end{align*} + \end{proof} \begin{theorem}[Chain rule, product version]