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#machine learning Preprint Oct 2026

Universal Bounds for Self-Normalized Kullback-Leibler Estimation

This work studies an entropy-based estimator of Kullback-Leibler (KL) divergence constructed from normalized importance weights. We prove a universal finite-sample bound showing that its expectation can exceed the target-proposal KL divergence by at most $\log 2$ for any sample size. We then characterize the KL diverge...

Buu Phan, L. Mackey, David Alvarez-Melis · 0 citations

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