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Mutual information is defined as the Kullback-Leibler divergence between a joint distribution and its marginals:

$$I(X,Y) = \mathrm{KL}(P(x,y)||P(x)P(y)) = \sum_{x,y}P(x,y)\ln\left(\frac{P(x,y)}{P(x)P(y)}\right)$$

Is there a name for the reverse Kullback-Leibler divergence:

$$\mathrm{KL}(P(x)P(y)||P(x,y)) = \sum_{x,y}P(x)P(y)\ln\left(\frac{P(x)P(y)}{P(x,y)}\right)$$

It shares some properties with the mutual information. E.g., it is zero if and only if $x,y$ are independent. Why is it less popular than mutual information?

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Note that the joint distribution may be supported on a strictly smaller subset than the product of marginals (consider for example a joint distribution supported on the diagonal, so that the product of marginals is supported everywhere). In that case mutual information is well-defined, but the reverse version is not.

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If you're just swapping the inputs $P||Q$ to $Q||P$, then this is called reverse KL-divergence. Unlike forward KL-divergence that you showed which has mean-seeking behavior, reverse-KL divergence has mode-seeking ability.

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  • $\begingroup$ Yes, that's right. It's the reverse KL-divergence of the mutual information. But does it have a name? It shares some of the properties of the mutual information (e.g., it is zero if and only if $x,y$ are independent. $\endgroup$ – becko Sep 17 '20 at 14:03
  • $\begingroup$ It's name is reverse KL-divergence $\endgroup$ – develarist Sep 17 '20 at 14:12

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