Information inequalities and concentration of measure
Dembo, Amir
Ann. Probab., Tome 25 (1997) no. 4, p. 927-939 / Harvested from Project Euclid
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We derive inequalities of the form $\Delta (P, Q) \leq H(P|R) + H(Q|R)$ which hold for every choice of probability measures P, Q, R, where $H(P|R)$ denotes the relative entropy of $P$ with respect to $R$ and $\Delta (P, Q)$ stands for a coupling type "distance" between $P$ and $Q$. Using the chain rule for relative entropies and then specializing to $Q$ with a given support we recover some of Talagrand's concentration of measure inequalities for product spaces.
Publié le : 1997-04-14
Classification:  Concentration of measure,  information inequalities,  60E15,  28A35 
@article{1024404424,
     author = {Dembo, Amir},
     title = {Information inequalities and concentration of measure},
     journal = {Ann. Probab.},
     volume = {25},
     number = {4},
     year = {1997},
     pages = { 927-939},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1024404424}
}

Dembo, Amir. Information inequalities and concentration of measure. Ann. Probab., Tome 25 (1997) no. 4, pp.  927-939. http://gdmltest.u-ga.fr/item/1024404424/