An Elementary Introduction to Information Geometry

Frank Nielsen
Sony Computer Science Laboratories, Tokyo 141-0022, Japan; [email protected]

Received: 6 September 2020; Accepted: 27 September 2020; Published: 29 September 2020

Abstract: In this survey, we describe the fundamental differential-geometric structures of information

manifolds, state the fundamental theorem of information geometry, and illustrate some use cases of
these information manifolds in information sciences. The exposition is self-contained by concisely
introducing the necessary concepts of differential geometry. Proofs are omitted for brevity.

Keywords: differential geometry; metric tensor; affine connection; metric compatibility; conjugate
connections; dual metric-compatible parallel transport; information manifold; statistical manifold;
curvature and flatness; dually flat manifolds; Hessian manifolds; exponential family; mixture family;
statistical divergence; parameter divergence; separable divergence; Fisher–Rao distance;
statistical invariance; Bayesian hypothesis testing; mixture clustering; a-embeddings; mixed
parameterization; gauge freedom

1. Introduction

1.1. Overview of Information Geometry

We present a concise and modern view of the basic structures lying at the heart of Information
Geometry (IG), and report some applications of those information-geometric manifolds (herein
termed “information manifolds”) in statistics (Bayesian hypothesis testing) and machine learning
(statistical mixture clustering).
By analogy to Information Theory (IT) (pioneered by Claude Shannon in his celebrated 1948
paper [1]) which considers primarily the communication of messages over noisy transmission
channels, we may define Information Sciences (IS) as the fields that study “communication”
between (noisy/imperfect) data and families of models (postulated as a priori knowledge). In short,
information sciences seek methods to distill information from data to models. Thus information
sciences encompass information theory but also include the fields of Probability and Statistics,
Machine Learning (ML), Artificial Intelligence (AI), Mathematical Programming, just to name a few.
We review some key milestones of information geometry and report some definitions of the
field by its pioneers in Section 5.2. Professor Shun-ichi Amari, the founder of modern information
geometry, defined information geometry in the preface of his latest textbook [2] as follows:
“Information geometry is a method of exploring the world of information by means of modern
geometry.” In short, information geometry geometrically investigates information sciences. It is a
mathematical endeavour to define and bound the term geometry itself as geometry is open-ended.
Often, we start by studying the invariance of a problem (e.g., invariance of distance between
probability distributions) and get as a result a novel geometric structure (e.g., a “statistical manifold”).
However, a geometric structure is “pure” and thus may be applied to other application areas beyond
the scope of the original problem (e.g., use of the dualistic structure of statistical manifolds in
mathematical programming [3]): the method of geometry [4] thus yields a pattern of abduction [5,6].
A narrower definition of information geometry can be stated as the field that studies the geometry of
decision making. This definition also includes model fitting (inference) which can be interpreted as a
decision problem as illustrated in Figure 1; namely, deciding which model parameter to choose
Entropy 2020, 22, 1100 2 of 61

from a family of parametric models. This framework was advocated by Abraham Wald [ 8? ,9] who
considered all statistical problems as statistical decision problems. Dissimilarities (also loosely called
distances among others) play a crucial role not only for measuring the goodness-of-fit of data to
model (say, likelihood in statistics, classifier loss functions in ML, objective functions in mathematical
programming or operations research, etc.) but also for measuring the discrepancy (or deviance)
between models.

m
^ D
n( )
m
2
m
1
M
ˆ
Figure 1. The parameter inference of a model from data D can also be interpreted as a decision q
making problem: decide which parameter of a parametric family of models M = fm q gq2Q suits the
“best” the data. Information geometry provides a differential-geometric structure on manifold M which
useful for designing and studying statistical decision rules.

One may ponder why adopting a geometric approach? Geometry allows one to study
invariance of “figures” in a coordinate-free framework. The geometric language (e.g., line, ball or
projection) also provides affordances that help us reason intuitively about problems. Note that
although figures can be visualized (i.e., plotted in coordinate charts), they should be thought of as
purely abstract objects, namely, geometric figures.
Geometry also allows one to study equivariance: For example, the centroid c(T) of a triangle is
equivariant under any affine transformation A: c(A.T) = A.c(T). In Statistics, the Maximum Likelihood
Estimator (MLE) is equivariant under a monotonic transformation g of the model parameter
\ ˆ ˆ q: (g(q)) = g(q), where the MLE of q is denoted by q.

1.2. Rationale and Outline of the Survey

The goal of this survey on information geometry [2] is to describe the core dualistic structures
on manifolds without assuming any prior background on differential geometry [10], and explain
several important related principles and concepts like invariance, covariance, projections, flatness
and curvature, information monotonicity, etc. In doing so, we shall illustrate the basic underlying
concepts with selected examples and applications, and shall make clear of some potential sources
of confusion (e.g., a geometric statistical structure can be used in non-statistical applications [ 3],
untangle the meaning of a in the a-connections, the a-divergences, and the a-representations, etc.).
In particular, we shall name and state the fundamental theorem of information geometry in Section
3.5. We refer the reader to the books [2,4,11–17] for an indepth treatment of the field with its
applications in information sciences.
This survey is organized as follows:
In the first part (Section 2), we start by concisely introducing the necessary background on
differential geometry in order to define a manifold structure (M, g, r), i.e., a manifold M equipped with
a metric tensor field g and an affine connection r. We explain how this framework generalizes the
Riemannian manifolds (M, g) by stating the fundamental theorem of Riemannian geometry that
defines a unique torsion-free metric-compatible Levi–Civita connection which can be derived from
the metric tensor.
In the second part (Section 3), we explain the dualistic structures of information manifolds: we

present the conjugate connection manifolds (M, g, r, r ), the statistical manifolds (M, g, C) where C
Entropy 2020, 22, 1100 3 of 61

a a
denotes a cubic tensor, and show how to derive a family of information manifolds (M, g, r , r ) for
1 1
a 2 R provided any given pair (r = r , r = r ) of conjugate connections. We explain how to get
conjugate connections r and r coupled to the metric g from any smooth (potentially asymmetric)
distances (called divergences), present the dually flat manifolds obtained when considering Bregman
divergences, and define, when dealing with parametric family of probability models, the exponential
e m
connection r and the mixture connection r that are dual connections coupled to the Fisher information
metric. We discuss the concept of statistical invariance for the metric tensor and the notion of information
monotonicity for statistical divergences [2,18]. It follows that the Fisher information metric is the unique
invariant metric (up to a scaling factor), and that the f -divergences are the unique separable invariant
divergences.
In the third part (Section 4), we illustrate how to use these information-geometric structures in
simple applications: First, we described the natural gradient descent method in Section 4.1 and its
relationships with the Riemannian gradient descent and the Bregman mirror descent. Second, we
consider two applications in dually flat spaces in Section 4.2: In the first application, we consider the
problem of Bayesian hypothesis testing and show how Chernoff information (which defines the best
error exponent) can be geometrically characterized on the dually flat structure of an exponential
family manifold. In the second application, we show how to cluster statistical mixtures sharing the
same component distributions on the dually flat mixture family manifold.
Finally, we conclude in Section 5 by summarizing the important concepts and structures of
information geometry, and by providing further references and textbooks [2,16] for further readings
to more advanced structures and applications of information geometry. We also mention recent
studies of generic classes of principled distances and divergences.
In Appendix A, we show how to estimate the statistical f -divergences between two probability
distributions in order to ensure that the estimates are non-negative in Appendix B, and report the
canonical decomposition of the multivariate Gaussian family, an example of exponential family
which admits a dually flat structure.
At the beginning of each part, we start by outlining its contents. A summary of the notations
used throughout this survey is provided in Appendix C.

2. Prerequisite: Basics of Differential Geometry

In Section 2.1, we review the very basics of Differential Geometry (DG) for defining a manifold
(M, g, r) equipped with both a metric tensor field g and an affine connection r. We explain these two
independent metric/connection structures in Sections 2.2 and 2.3, respectively. From an affine connection
r, we show how to derive the notion of covariant derivative in Section 2.3.1, parallel transport in Section
2.3.2 and geodesics in Section 2.3.3. We further explain the intrinsic curvature and torsion of manifolds
induced by the connection in Section 2.3.4, and state the fundamental theorem of Riemannian geometry
LC
in Section 2.4: the existence of a unique torsion-free Levi–Civita connection r compatible with the
metric (metric connection) that can be derived from the metric tensor g. Thus the Riemannian geometry
LC LC
(M, g) is obtained as a special case of the more general manifold structure (M, g, r): (M, g) (M, g,
r). Information geometry shall further consider a dual structure (M, g, r ) associated to (M, g, r), and the
pair of dual structures shall form an information manifold (M, g, r, r ).

2.1. Overview of Differential Geometry: Manifold (M, g, r)

Informally speaking, a smooth D-dimensional manifold M is a topological space that locally behaves
D
like the D-dimensional Euclidean space R . Geometric objects (e.g., points, balls, and vector fields) and
entities (e.g., functions and differential operators) live on M, and are coordinate-free but can conveniently
be expressed in any local coordinate system of an atlas A = f(U i, xi)gi of charts(Ui, xi)’s (fully covering the
manifold) for calculations. Historically, René Descartes (1596–1650) allegedly invented the global
Cartesian coordinate system while wondering how to locate a fly on the ceiling
Entropy 2020, 22, 1100 4 of 61

from his bed. In practice, we shall use the most expedient coordinate system to facilitate calculations.
In information geometry, we usually handle a single chart fully covering the manifold.
k k
A C manifold is obtained when the change of chart transformations are C . The manifold is
¥
said smooth when it is C . At each point p 2 M, a tangent plane T p locally best linearizes the
manifold. On any smooth manifold M, we can define two independent structures:

1. A metric tensor g, and

2. An affine connection r.

The metric tensor g induces on each tangent plane T p an inner product space that allows one
to measure vector magnitudes (vector “lengths”) and angles/orthogonality between vectors. The
affine connection r is a differential operator that allows one to define:
1. The covariant derivative operator which provides a way to calculate differentials of a vector
field Y with respect to another vector field X: namely, the covariant derivative r XY,
r
2. The parallel transport Õ c which defines a way to transport vectors between tangent planes
along any smooth curve c,
3. The notion of r-geodesics gr which are defined as autoparallel curves, thus extending the
ordinary notion of Euclidean straightness,
4. The intrinsic curvature and torsion of the manifold.

2.2. Metric Tensor Fields g

The tangent bundle of M is defined as the “union” of all tangent spaces:

TM := tp Tp := f(p, v), p 2 M, v 2 Tpg. (1)

Thus the tangent bundle TM of a D-dimensional manifold M is of dimension 2D (the tangent
bundle is a particular example of a fiber bundle with base manifold M).
Informally speaking, a tangent vector v plays the role of a directional derivative, with v f
informally meaning the derivative of a smooth function f (belonging to the space of smooth functions
F(M)) along the direction v. Since the manifolds are abstract and not embedded in some Euclidean
space, we do not view a vector as an “arrow” anchored on the manifold. Rather, vectors can be
understood in several ways in differential geometry like directional derivatives or equivalent class of
smooth curves at a point. That is, tangent spaces shall be considered as the manifold abstract too.
A smooth vector field X is defined as a “cross-section” of the tangent bundle: X 2 X(M) =
G(TM), where X(M) or G(TM) denote the space of smooth vector fields. A basis B = fb 1, . . . , bDg of
a finite D-dimensional vector space is a maximal linearly independent set of vectors: A set of vectors
D
B = fb1, . . . , bDg is linearly independent if and only if å i =1 libi = 0 iff li = 0 for all i 2 [D]. That is, in a
linearly independent vector set, no vector of the set can be represented as a linear combination of the
remaining vectors. A vector set is linearly independent maximal when we cannot add another linearly
independent vector. Tangent spaces carry algebraic structures of vector spaces. Furthermore, to any
vector space V, we can associate a dual covector space V which is the vector space of real-valued linear
mappings. We do not enter into details here to preserve this gentle introduction to information
geometry with as little intricacy as possible.
S
Using local coordinates on a chart (U, x), the vector field
åD i i

X can be expressed as X = i=1 X ei = X ei using Einstein summation convention on dummy indices

S i

(using notation =), where (X)B := (X ) denotes the contravariant vector components (manipulated
¶

¶xi

as “column vectors” in algebra) in the natural basis B = fe 1 = ¶1, . . . , e D = ¶Dg with ¶i:=: . A tangent plane (vector space) equipped with an inner product h , i yields an inner product space. We define a
reciprocal basis B = fe i = ¶igi of B = fe i = ¶igi so that vectors can also be expressed using the covariant vector components in the natural reciprocal basis. The primal and reciprocal basis are mutually
orthogonal by construction as illustrated in Figure 2 .
Entropy 2020, 22, 1100 5 of 61

x2
j j
hei; e i = i
e2
2
e
e 1
1 x
1
e
Figure 2. Primal basis (red) and reciprocal basis (blue) of an inner product h , i space. The
1 2
primal/reciprocal basis are mutually orthogonal: e is orthogonal to e2, and e1 is orthogonal to e .

i
For any vector v, its contravariant components v ’s (superscript notation) and its covariant
components vi’s (subscript notation) can be retrieved from v using the inner product with the use of
the reciprocal and primal basis, respectively:

i i
v = hv, e i, (2)
vi = hv, eii. (3)
The inner product defines a metric tensor g and a dual metric tensor g :
g
ij := hei, eji, (4)
i j
g ij := he , e i. (5)

Technically speaking, the metric tensor gp : Tp M Tp M ! R is a 2-covariant tensor field:

S

g = gij dxi dxj, (6)

where is the dyadic tensor product performed on pairwise covector basis fdx igi (the covectors
corresponding to the reciprocal vector basis). We do not describe tensors in details for sake of
brevity. A tensor is a geometric entity of a tensor space that can also be interpreted as a multilinear
map. A contravariant vector lives in a vector space while a covariant vector lives in the dual covector
space. We recommend the textbook [19] for a concise and well-explained description of tensors.
ij
Let G = [gij] and G = [g ] denote the D D matrices. It follows by construction of the reciprocal
1 i
basis that G = G . The reciprocal basis vectors e ’s and primal basis vectors ei’s can be expressed
using the dual metric g and metric g on the primal basis vectors e j’s and reciprocal basis vectors e
j
’s, respectively:
S
ij
ei = g ej, (7)
S
j
ei = gije . (8)
The metric tensor field g (“metric tensor” or “metric” for short) defines a smooth symmetric
positive-definite bilinear form on the tangent bundle so that for u, v 2 T p, g(u, v) 0 2 R. We can also
write equivalently gp(u, v):=:hu, vip:=:hu, vig(p):=:hu, vi. Two vectors u and v are said orthogonal,
denoted by u ? v, iff hu, vi = 0. The length of a vector is induced from the norm kuk p:=:kukg(p) =
q

hu, uig(p). Using local coordinates of a chart (U, x), we get the vector contravariant/covariant
components, and compute the metric tensor using matrix algebra (with column vectors by convention) as
follows:
> > 1
g(u, v) = (u) B Gx(p) (v)B = (u) B Gx( p) (v)B , (9)
Entropy 2020, 22, 1100 6 of 61

since it follows from the primal/reciprocal basis that G G = I, the identity matrix. Thus on any tangent
plane Tp, we get a Mahalanobis distance:
MG(u, v) := u v G= v å å Gij(ui i
v )(u
j j
v ).
(10)
k k u D D
u
i=1 j=1

The inner product of two vectors u and v is a scalar (a 0-tensor) that can be equivalently calculated as:
S S
i i
hu, vi := g(u, v) = u vi = uiv . (11)
A metric tensor g of manifold M is said conformal when h , i p = k(p)h , iEuclidean. That is, when
the inner product is a scalar function k( ) of the Euclidean dot product. More precisely, we define the
0
notion of a metric g conformal to another metric g when these metrics define the same angles
between vectors u and v of a tangent plane T p:
0
g p(u, v) gp(u, v)

0 0
q g p(u, u) q g p(v, v) =q gp(u, u) q gp(v, v) . (12)
0
Usually g is chosen as the Euclidean metric. In conformal geometry, we can measure angles between
vectors in tangent planes as if we were in an Euclidean space, without any deformation. This is handy for
checking orthogonality in charts. For example, the Poincaré disk model of hyperbolic geometry is
conformal but Klein disk model is not conformal (except at the origin), see [20].

2.3. Affine Connections r

An affine connection r is a differential operator defined on a manifold that allows us to define
(1) a covariant derivative of vector fields, (2) a parallel transport of vectors on tangent planes along
a smooth curve, and (3) geodesics. Furthermore, an affine connection fully characterizes the
curvature and torsion of a manifold.

2.3.1. Covariant Derivatives rXY of Vector Fields

A connection defines a covariant derivative operator that tells us how to differentiate a vector
field Y according to another vector field X. The covariant derivative operator is denoted using the
traditional gradient symbol r. Thus a covariate derivative r is a function:

r : X(M) X(M) ! X(M), (13)

that has its own special subscript notation rXY:=:r(X, Y) for indicating that it is differentiating a vector
field Y according to another vector field X.
3 k k
By prescribing D smooth functions Gij = Gij (p), called the Christoffel symbols of the second
kind, we define the unique affine connection r that satisfies in local coordinates of chart (U, x) the
following equations:
k
r¶i ¶j = Gij ¶k. (14)
k k k
The Christoffel symbols can also be written as G ij := (r¶i ¶j) , where ( ) denotes the k-th
k
coordinate. The k-th component (r XY) of the covariant derivative of vector field Y with respect to vector
field X is given by:
k i k i + Gk !
(rXY) = X (riY) = X ¶xi ij Yj . (15)
k
S S ¶Y
Entropy 2020, 22, 1100 7 of 61

The Christoffel symbols are not tensors (fields) because the transformation rules induced by a
change of basis do not obey the tensor contravariant/covariant rules.

r
2.3.2. Parallel Transport Õ c along a Smooth Curve c

Since the manifold is not embedded in a Euclidean space, we cannot add a vector v 2 T p to a vector
0
v 2 Tp0 as the tangent vector spaces are unrelated to each others without a connection (the Whitney
2D
embedding theorem [21] states that any D-dimensional Riemannian manifold can be embedded into R ;
Euc
when embedded, we can implicitly use the ambient Euclidean connection r on the manifold, see [22]).
Thus a connection r defines how to associate vectors between infinitesimally close tangent planes T p and
Tp+dp. Then the connection allows us to smoothly transport a vector
v 2 Tp by sliding it (with infinitesimal moves) along a smooth curve c (t) (with c(0) = p and c(1) = q), so
that the vector vp 2 Tp “corresponds” to a vector vq 2 Tq: this is called the parallel transport. This
mathematical prescription is necessary in order to study dynamics on manifolds (e.g., study the motion of
a particle on the manifold). We can express the parallel transport along the smooth curve c as:
r
v T, t [0, 1], v = v T
8 2 p 8 2 c(t) Õ 2 c(t) (16)
c(0)!c(t)

The parallel transport is schematically illustrated in Figure 3.

v
c(t) vq
v
p
c(t) q

p vq = Qcr vp
M
Figure 3. Illustration of the parallel transport of vectors on tangent planes along a smooth curve. For
a smooth curve c, with c(0) = p and c(1) = q, a vector v p 2 Tp is parallel transported smoothly to a
vector vq 2 Tq such that for any t 2 [0, 1], we have vc(t) 2 Tc(t).
Elie Cartan introduced the notion of affine connections [23,24] in the 1920s motivated by the
principle of inertia in mechanics: a point particle, without any force acting on it, shall move along a
straight line with constant velocity.

2.3.3. r-Geodesics gr: Autoparallel Curves

A connection r allows one to define r-geodesics as autoparallel curves, that are curves g such
that we have:

rg˙g˙ = 0. (17)
That is, the velocity vector g˙ is moving along the curve parallel to itself (and all tangent vectors
on the geodesics are mutually parallel): In other words, r-geodesics generalize the notion of
k
“straight Euclidean” lines. In local coordinates (U, x), g(t) = (g (t))k, the autoparallelism amounts to
solve the following second-order Ordinary Differential Equations (ODEs):

k l l
g¨(t) + Gij g˙(t)g˙(t) = 0, g (t) = x g(t), (18)
Entropy 2020, 22, 1100 8 of 61

k
where Gij are the Christoffel symbols of the second kind, with:

S S
k lk l
Gij = Gij,l g , Gij,k = glkGij , (19)
where Gthe Christoffel symbols of the first kind. Geodesics are 1D autoparallel submanifolds and
ij,l

r-hyperplanes are defined similarly as autoparallel submanifolds of dimension D 1. We may specify in

subscript the connection that yields the geodesic g: gr.
The geodesic equation r ˙ (t)g˙(t) = 0 may be either solved as an Initial Value Problem (IVP) or as
g
a Boundary Value Problem (BVP):

• Initial Value Problem (IVP): fix the conditions g(0) = p and g˙(0) = v for some vector v 2 Tp.
• Boundary Value Problem (BVP): fix the geodesic extremities g(0) = p and g(1) = q.

2.3.4. Curvature and Torsion of a Manifold

i
An affine connection r defines a 4D curvature tensor R (expressed using components R jkl of a
(1, 3)-tensor). The coordinate-free equation of the curvature tensor is given by:

R(X, Y)Z := rX rY X r Y rX Z r [X,Y]Z, (20)

where [X, Y]( f ) = X(Y( f )) Y(X( f )) (8 f 2 F(M)) is the Lie bracket of vector fields. When the connection is
the metric Levi–Civita, the curvature is called Riemann–Christoffel curvature tensor. In a local coordinate
system, we have:
S
l
R(¶j, ¶k)¶i = R jki¶l . (21)
Informally speaking, the curvature tensor as defined in Equation (20) quantifies the amount of non-
commutativity of the covariant derivative. It follows from symmetry constraints that the number
2
D2 (D 1)
of independent components of the Riemann tensor is 12 in D dimensions.
A manifold M equipped with a connection r is said flat (meaning r-flat) when R = 0. This holds
k
in particular when finding a particular coordinate system x of a chart (U, x) such that G ij = 0, i.e.,
when all connection coefficients vanish. For example, the Christoffel symbols vanish in a rectangular
coordinate system of a plane but not in the polar coordinate system of it.
A manifold is torsion-free when the connection is symmetric. A symmetric connection satisfies
the following coordinate-free equation:

rXY r Y X = [X, Y]. (22)

k k
Using local chart coordinates, this amounts to check that G ij = G ji. The torsion tensor is a (1, 2)-
tensor defined by:
T(X, Y) := rXY r Y X [X, Y]. (23)
For a torsion-free connection, we have the first Bianchi identity:

R(X, Y)Z + R(Z, X)Y + R(Y, Z)X = 0, (24)

and the second Bianchi identity:

(rV R)(X, Y)Z + (rX R)(Y, V)Z + (rY R)(V, X)Z = 0. (25)
In general, the parallel transport is path-dependent. The angle defect of a vector transported on
an infinitesimal closed loop (a smooth curve with coinciding extremities) is related to the curvature.
However for a flat connection, the parallel transport does not depend on the path, and yields
absolute parallelism geometry [25]. Figure 4 illustrates the parallel transport along a loop curve for a
curved manifold (the sphere manifold) and a flat manifold (the cylinder manifold).
Entropy 2020, 22, 1100 9 of 61

Figure 4. Parallel transport with respect to the metric connection: the curvature effect can be
visualized as the angle defect along the parallel transport on smooth (infinitesimal) loops. For a
sphere manifold, a vector parallel-transported along a loop does not coincide with itself (e.g., a
sphere), while it always conside with itself for a (flat) manifold (e.g., a cylinder).

Historically, the Gaussian curvature at of point of a manifold has been defined as the product of
the minimal and maximal sectional curvatures: kG := kminkmax . For a cylinder, since kmin = 0, it
follows that the Gaussian curvature of a cylinder is 0. Gauss’s Theorema Egregium (meaning
“remarkable theorem”) proved that the Gaussian curvature is intrinsic and does not depend on how
the surface is embedded into the ambient Euclidean space.
An affine connection is a torsion-free linear connection. Figure 5 summarizes the various
concepts of differential geometry induced by an affine connection r and a metric tensor g.
A ne connection
r

Curvature jkl
Parallel transport
r Q
c(t)
Geodesic
(r = 0)
Volume form
(r r! = 0)
Covariant
rX Y

r
r Ri v r ! = fdv derivative

Levi-civita connection
gr

Ricci curvature Metric tensor

r r
Ric(Y; Z) = tr(X 7! R(X; Y; Z)) g

Scalar curvature
ij
Scal = g Rij

Manifold (M; g; r)
Divergence Gradient Hessian Laplacian
div(X) = tr(Y 7!g(rY X; Y )) g(gradf; X) = df(X) Hessf(x)[v] = rvgradf f = div(grad(f))
Figure 5. Differential-geometric concepts associated to an affine connection r and a metric tensor g.

Curvature is a fundamental concept inherent to geometry [26]: there are several notions of
curvatures in differential geometry: scalar curvature, sectional curvature, Gaussian curvature of
surfaces to Riemannian–Christoffel 4-tensor, Ricci symmetric 2-tensor, synthetic Ricci curvature in
Alexandrov geometry, etc.
For example, the real-valued Gaussian curvature sec T p M on a 2D Riemannian manifold (M, g) with
Riemann curvature (1, 3)-tensor R at a point p (with local basis f¶1, ¶2g on its tangent plane Tp M) is
defined by:
Entropy 2020, 22, 1100 10 of 61

R
2112
g g 2
sec Tp M = 11 22 g12 , (26)
r ¶
, ¶2
r ¶2
r ¶1 ¶1 ¶1 ¶2 1 p

= det(g) r . (27)
In general, the sectional curvatures are real values defined for 2-dimensional subspaces pp of the
tangent plane Tp M (called tangent 2-planes) as:

hR(X, Y)Y, Xip

secp(p) := , (28)
Qp(X, Y)
where X and Y are linearly independent vectors of T p, and

2
Qp(X, Y) := hX, XiphY, Yip h X, Yi p, (29)
denotes the squared area of the parallelogram spanned by vectors X and Y of T p M. It can be shown that
secp(p) is independent of the chosen basis X and Y. In a local basis f¶igi of D-dimensional tangent plane
Tp, we thus get the sectional curvatures at point p 2 M as the following real values:

kij := secp span ¶i, ¶j , i 6= j. (30)

A Riemannian manifold (M, g) is said of constant curvature k if and only if secp(p) = k for all p 2 M
and pp Tp M. In particular, the Riemannian manifold is said flat when it is of constant curvature 0.
Notice that the definition of sectional curvatures relies on the metric tensor g but the Riemann–
Christoffel curvature tensor is defined with respect to an affine connection (which can be taken as
the default Levi–Civita metric connection induced by the metric g).

2.4. The Fundamental Theorem of Riemannian Geometry: The Levi–Civita Metric Connection
By definition, an affine connection r is said metric compatible with g when it satisfies for any
triple (X, Y, Z) of vector fields the following equation:

XhY, Zi = hrXY, Zi + hY, rX Zi, (31)

which can be written equivalently as:

Xg(Y, Z) = g(rXY, Z) + g(Y, rX Z) (32)

Using local coordinates and natural basis f¶ig for vector fields, the metric-compatibility property
amounts to check that we have:

¶k gij = hr¶k ¶i, ¶ji + h¶i, r¶k ¶ji (33)

r
A property of using a metric-compatible connection is that the parallel transport Õ of vectors
preserve the metric:
* +
r r
hu, vi =
c(0) Õ u, Õ v 8t. (34)
c(0)!c(t) c(0)!c(t) c(t)
That is, the parallel transport preserves angles (and orthogonality) and lengths of vectors in tangent
planes when transported along a smooth curve.
The fundamental theorem of Riemannian geometry states the existence of a unique torsion-free metric
compatible connection:
Entropy 2020, 22, 1100 11 of 61

Theorem 1 (Levi–Civita metric connection). There exists a unique torsion-free affine connection
LC
compatible with the metric called the Levi–Civita connection r.

The Christoffel symbols of the Levi–Civita connection can be expressed from the metric tensor g as
follows:
S1
LC k kl
Gij = 2 g ¶i gil + ¶j gil
¶l gij , (35)
ij 1
where g denote the matrix elements of the inverse matrix g .
The Levi–Civita connection can also be defined coordinate-free with the Koszul formula:

2g(rXY, Z) = X(g(Y, Z)) + Y(g(X, Z)) Z(g(X, Y)) + g([X, Y], Z) g([X, Z], Y) g([Y, Z], X). (36)
There exists metric-compatible connections with torsions studied in theoretical physics. See for
example the flat Weitzenböck connection [27].
The metric tensor g induces the torsion-free metric-compatible Levi–Civita connection that
determines the local structure of the manifold. However, the metric g does not fix the global
topological structure: For example, although a cone and a cylinder have locally the same flat
Euclidean metric, they exhibit different global structures.

2.5. Preview: Information Geometry versus Riemannian Geometry

In information geometry, we consider a pair of conjugate affine connections r and r (often but not
necessarily torsion-free) that are coupled to the metric g: the structure is conventionally written as (M, g, r,
r ). The key property is that those conjugate connections are metric compatible, and therefore the induced
dual parallel transport preserves the metric:

r r
*
hu, vic(0) = Õ u, Õ v + . (37)
c(0)!c(t) c(0)!c(t) c(t)

Thus the Riemannian manifold (M, g) can be interpreted as the self-dual information-geometric
LC
manifold obtained for r = r = r the unique torsion-free Levi–Civita metric connection: (M, g) ( M, g,
LC LC LC
r, r=
r). However, let us point out that for a pair of self-dual Levi–Civita conjugate connections,
the information-geometric manifold does not induce a distance. This contrasts with the Riemannian
modeling (M, g) which provides a Riemmanian metric distance D r(p, q) defined by the length of the
geodesic g connecting the two points p = g(0) and q = g(1):
Z Z
1 1 q
0
Dr(p, q) := kg (t)kg(t)dt = gg(t)(g˙(t), g˙(t))dt, (38)
0 0
Z 1 q
>
= g˙(t) gg(t)g˙(t)dt. (39)
0

This geodesic length distance Dr(p, q) can also be interpreted as the shortest path linking point p to
R 1 0
point q: Dr(p, q) = infg 0 kg (t)kg(t)dt (with p = g(0) and q = g(1)).
Usually, this Riemannian geodesic distance is not available in closed-form (and need to be
approximated or bounded) because the geodesics cannot be explicitly parameterized (see geodesic
shooting methods [28]).
We are now ready to introduce the key geometric structures of information geometry.
Entropy 2020, 22, 1100 12 of 61

3. Information Manifolds

3.1. Overview
In this part, we explain the dualistic structures of manifolds in information geometry. In Section
3.2, we first present the core Conjugate Connection Manifolds (CCMs) (M, g, r, r ), and show how to
build Statistical Manifolds (SMs) (M, g, C) from a CCM in Section 3.3. From any statistical manifold,
a a
we can build a 1-parameter family (M, g, r , r ) of CCMs, the information a-manifolds. We state the
fundamental theorem of information geometry in Section 3.5. These CCMs and SMs structures are
not related to any distance a priori but require at first a pair (r, r ) of conjugate connections coupled
to a metric tensor g. We show two methods to build an initial pair of conjugate connections. A first
D D
method consists of building a pair of conjugate connections ( r, r ) from any divergence D in
Section 3.6. Thus we obtain self-conjugate connections when the divergence is symmetric: D(q1 :
q2) = D(q2 : q1). When the divergences are Bregman divergences (i.e., D = B F for a strictly convex
2 F F
and differentiable Bregman generator), we obtain Dually Flat Manifolds (DFMs) (M, r F, r, r ) in
Section 3.7. DFMs nicely generalize the Euclidean geometry and exhibit Pythagorean theorems. We
F F
further characterize when orthogonal r-projections and dual r -projections of a point on
submanifold a is unique. In Euclidean geometry, the orthogonal projection of a point p onto an affine
subspace S is proved to be unique using the Pythagorean theorem. A second method to get a pair
e m
of conjugate connections ( r, r) consists of defining these connections from a regular parametric
e
family of probability distributions P = fpq (x)gq . In that case, these ‘e’xponential connection r and
m
‘m’ixture connection r are coupled to the Fisher information metric P g. A statistical manifold ( P, P
g, P C) can be recovered by considering the skewness Amari–Chentsov cubic tensor P C, and it
a +a
follows a 1-parameter family of CCMs, (P, P g, P r , P r ), the statistical expected a-manifolds. In
this parametric statistical context, these information manifolds are called expected information
manifolds because the various quantities are expressed from statistical expectations E [ ]. Notice
that these information manifolds can be used in information sciences in general, beyond the
traditional fields of statistics. In statistics, we motivate the choice of the connections, metric tensors
and divergences by studying statistical invariance criteria, in Section 3.10. We explain how to
recover the expected a-connections from standard f -divergences that are the only separable
divergences that satisfy the property of information monotonicity. Finally, in Section 3.11, the recall
the Fisher–Rao expected Riemannian manifolds that are Riemannian manifolds (P, P g) equipped
with a geodesic metric distance called the Fisher–Rao distance, or Rao distance for short.

3.2. Conjugate Connection Manifolds: (M, g, r, r )

We begin with a definition:

Definition 1 (Conjugate connections). A connection r is said to be conjugate to a connection r with

respect to the metric tensor g if and only if we have for any triple (X, Y, Z) of smooth vector fields
the following identity satisfied:

XhY, Zi = hrXY, Zi + hY, rX Zi, 8X, Y, Z 2 X(M). (40)

We can notationally rewrite Equation (40) as:

Xg(Y, Z) = g(rXY, Z) + g(Y, rX Z), (41)

and further explicit that for each point p 2 M, we have:

Xp gp(Yp, Zp) = gp((rXY)p, Zp) + gp(Yp, (rX Z)p). (42)

We check that the right-hand-side is a scalar and that the left-hand-side is a directional derivative of a real-
valued function, that is also a scalar.
Entropy 2020, 22, 1100 13 of 61

Conjugation is an involution: (r ) = r.

Definition 2 (Conjugate Connection Manifold). The structure of the Conjugate Connection Manifold
(CCM) is denoted by (M, g, r, r ), where (r, r ) are conjugate connections with respect to the metric g.
A remarkable property is that the dual parallel transport of vectors preserves the metric. That is,
for any smooth curve c(t), the inner product is conserved when we transport one of the vector u
r r
using the primal parallel transport Õ c and the other vector v using the dual parallel transport Õ c .
r r
*
hu, vic(0) = Õ u, Õ v + . (43)
c(0)!c(t) c(0)!c(t) c(t)

Property 1 (Dual parallel transport preserves the metric). A pair (r, r ) of conjugate connections
preserves the metric g if and only if:
r r
*
8t 2 [0, 1], Õ u, Õ v + = hu, vic(0). (44)
c(0)!c(t) c(0)!c(t) c(t)

Property 2. Given a connection r on (M, g) (i.e., a structure (M, g, r)), there exists a unique
conjugate connection r (i.e., a dual structure (M, g, r )).
We consider a manifold M equipped with a pair of conjugate connections r and r that are coupled with
the metric tensor g so that the dual parallel transport preserves the metric. We define the
¯
mean connection r: ¯ = r+r , (45)
r 2
¯
with corresponding Christoffel coefficients denoted by G . This mean connection coincides with the
Levi–Civita metric connection:
¯ LC

r= r. (46)
¯
Property 3. The mean connection r is self-conjugate, and coincide with the Levi–Civita metric connection.
3.3. Statistical Manifolds: (M, g, C)
Lauritzen introduced this corner structure [29] of information geometry in 1987. Beware that
although it bears the name “statistical manifold”, it is a purely geometric construction that may be
used outside of the field of Statistics. However, as we shall mention later, we can always find a
statistical model P corresponding to a statistical manifold [30]. We shall see how we can convert a
conjugate connection manifold into such a statistical manifold, and how we can subsequently derive
an infinite family of CCMs from a statistical manifold. In other words, once we have a pair of
conjugate connections, we will be able to build a family of pairs of conjugate connections.
We define a cubic (0, 3)-tensor (i.e., 3-covariant tensor) called the Amari–Chentsov tensor:
k
C := G Gk , (47)
ijk ij ij

or in coordinate-free equation:

C(X, Y, Z) := hrXY r XY, Zi. (48)

The cubic tensor is totally symmetric, meaning that Cijk = Cs(i)s(j)s(k) for any permutation s.
The metric tensor is totally symmetric.
Entropy 2020, 22, 1100 14 of 61

Using the local basis, this cubic tensor can be expressed as:

C = C (¶ , ¶ , ¶ ) = ¶ ¶ ,¶ (49)
hr r i
ijk i j k ¶i j ¶i j k
Definition 3 (Statistical manifold [29]). A statistical manifold (M, g, C) is a manifold M equipped with
a metric tensor g and a totally symmetric cubic tensor C.
a a a
3.4. A Family f(M, g, r , r = (r ) )ga2R of Conjugate Connection Manifolds
For any pair (r, r ) of conjugate connections, we can define a 1-parameter family of connections
a a a 0 ¯ LC
fr ga2R, called the a-connections such that (r , r ) are dually coupled to the metric, with r = r = r,
1 1
r = r and r = r . By observing that the scaled cubic tensor aC is also a totally symmetric cubic 3-
covariant tensor, we can derive the a-connections from a statistical manifold (M, g, C) as:

a 0 aC
G = G , (50)
ij,k ij,k 2 ij,k
0
G a = G +a C , (51)
ij,k ij,k 2 ij,k
S
0
where G are the Levi–Civita Christoffel symbols, and Gki,j = G glk (by index juggling). ij,k
l

ij

a
a LC
g(r XY, Z) = g( rXY, Z) + 2 C(X, Y, Z), 8X, Y, Z 2 X(M). (52)
a a a
Theorem 2 (Family of information a-manifolds). For any a 2 R, (M, g, r , r = (r ) ) is a
conjugate connection manifold.

a
The a-connections r can also be constructed directly from a pair (r, r ) of conjugate
connections by taking the following weighted combination:

Ga = 1 + aG + 1 aG . (53)
ij,k 2 ij,k 2 ij,k
3.5. The Fundamental Theorem of Information Geometry: r k-Curved , r k-Curved

We now state the fundamental theorem of information geometry and its corollaries:

Theorem 3 (Dually constant curvature manifolds). If a torsion-free affine connection r has constant

curvature k then its conjugate torsion-free connection r has necessarily the same constant curvature k.

The proof is reported in [16] (Proposition 8.1.4, page 226).

A statistical manifold (M, g, C) is said a-flat if its induced a-connection is flat. It can be shown
a a
that R = R .
We get the following two corollaries:

a a a a
Corollary 1 (Dually a-flat manifolds). A manifold (M, g, r , r ) is r -flat if and only if it is r -flat.

Corollary 2 (Dually flat manifolds (a = 1)). A manifold (M, g, r, r ) is r-flat if and only if it is r -flat.

Refer to Theorem 3.3 of [4] for a proof of this corollary.

Let us now define the notion of constant curvature of a statistical structure [31]:
Entropy 2020, 22, 1100 15 of 61

Definition 4 (Constant curvature k). A statistical structure (M, g, r) is said of constant curvature k when

r
R (X, Y)Z = kfg(Y, Z)X g(X, Z)Yg, 8 X, Y, Z 2 G(TM),
where G(TM) denote the space of smooth vector fields.

It can be proved that the Riemann–Christoffel (RC) 4-tensors of conjugate a-connections [16] are
related as follows:

(a) ( a)
g R (X, Y)Z, W + g Z, R (X, Y)W = 0. (54)
r r
We have g R (X, Y)Z, W = g Z, R (X, Y)W . connections, we can always build a 1-parametric

Thus once we are given a pair of conjugate

family of manifolds. Manifolds with constant curvature k are interesting from the computational
viewpoint as dual geodesics have simple closed-form expressions.

D D
3.6. Conjugate Connections from Divergences: (M, D) (M, g, r, Dr = D r)
Loosely speaking, a divergence D( : ) is a smooth distance [32], potentially asymmetric. In order
to define precisely a divergence, let us first introduce the following handy notations: ¶ f (x, y) =
2
¶ ¶ ¶ ¶ ¶ ¶2 i,

i
¶xf (x, y), ¶ ,j f (x, y) = ¶yj f (x, y), ¶ij,k f (x, y) = i j
¶x ¶x ¶y
k
f (x, y) and ¶i,jk f (x, y) = i j
¶x ¶y ¶y
k
f (x, y), etc.
Definition 5 (Divergence). A divergence D : M M ! [0, ¥) on a manifold M with respect to a local chart
D 3
Q R is a C -function satisfying the following properties:
0 0 0
1. D(q : q ) 0 for all q, q 2 Q with equality holding iff q = q (law of the indiscernibles),
0 0
2. ¶i, D(q : q )jq=q0 = ¶ ,j D(q : q )jq=q0 = 0 for all i, j 2 [D],
0
3. ¶ ,i¶ ,j D(q : q )jq=q0 is positive-definite.
The dual divergence is defined by swapping the arguments:

0 0
D (q : q ) := D(q : q), (55)
and is also called the reverse divergence (reference duality in information geometry). Reference
duality of divergences is an involution: (D ) = D.
The Euclidean distance is a metric distance but not a divergence. The squared Euclidean
distance is a non-metric symmetric divergence. The metric tensor g yields Riemannian metric
distance Dr but it is never a divergence.
From any given divergence D, we can define a conjugate connection manifold following the
construction of Eguchi [33,34] (1983):

D D D
Theorem 4 (Manifold from divergence). (M, g, r, r) is an information manifold with:
0 D
D g := ¶i,j D(q : q )jq=q0 = g, (56)
D 0
Gijk := ¶ij,k D(q : q )jq=q0 , (57)
D 0
Gijk := ¶k,ij D(q : q )jq=q0 . (58)
D D
The associated statistical manifold is (M, g, C) with:
D D D
Cijk = Gijk Gijk. (59)
Entropy 2020, 22, 1100 16 of 61

D
Since a C is a totally symmetric cubic tensor for any a 2 R, we can derive a one-parameter
family of conjugate connection manifolds:
n o
D D a D D a D a D a
(M, g, C ) (M, g, r , ( r ) = r ) . (60)
a2R

In the remainder, we use the shortcut (M, D) to denote the divergence-induced information
D D D
manifold (M, g, r, r ). Notice that it follows from construction that:

Dr = D r. (61)
B B B B
3.7. Dually Flat Manifolds (Bregman Geometry): (M, F) (M, F g, F r, F r= F r)
We consider dually flat manifolds that satisfy asymmetric Pythagorean theorems. These flat
manifolds can be obtained from a canonical Bregman divergence.
Consider a strictly convex smooth function F(q) called a potential function, with q 2 Q where Q is an
open convex domain. Notice that the function convexity does not change by an affine transformation. We
associate to the potential function F a corresponding Bregman divergence (parameter divergence):

0 0 0> 0
BF(q : q ) := F(q) F(q ) (q q ) rF(q ). (62)
We write also the Bregman divergence between point P and point Q as D(P : Q) := B F(q(P) :
q(Q)), where q(P) denotes the coordinates of a point P.
The information-geometric structure induced by a Bregman generator is (M, F g, FC) := (M, BF g, BF
C) with:
B
F g := F g= ¶¶ (q : q ) = 2 (q ), (63)
i jBF j
FG := BF Gij,k(q) = 0, 0 q 0=q rF (64)
F
C := B
F C = ¶ ¶ ¶ F(q). (65)
ijk ijk i j k

Here, we define a Bregman generator as a proper, lower semi-continuous, and strictly convex
3
and C differentiable real-valued function.
Since all coefficients of the Christoffel symbols vanish (Equation (64)), the information manifold
is Fr-flat. The Levi–Civita connection LCr is obtained from the metric tensor F g (usually not flat),
and we get the conjugate connection ( Fr) = Fr1 from (M, F g, FC).
The Legendre–Fenchel transformation yields the convex conjugate F that is interpreted as the
dual potential function:
F (h) := supfq>h F(q )g. (66)
q2Q

A function f is lower semicontinous (lsc) at x 0 iff f (x0) limx!x0 inf f (x). A function f is lsc if it is lsc
at x for all x in the function domain. The following theorem states that the conjugation of lower
semicontinuous and convex functions is an involution:

Theorem 5 (Fenchel–Moreau biconjugation [35]). If F is a lower semicontinuous and convex

function, then its Legendre–Fenchel transformation is involutive: (F ) = F (biconjugation).

In a dually flat manifold, there exists two global dual affine coordinate systems h = rF(q) and
q = rF (h), and therefore the manifold can be covered by a single chart. Thus if a probability family
belongs to an exponential family then its natural parameters cannot belong to, say, a spherical space
(that requires at least two charts).
We have the Crouzeix [36] identity relating the Hessians of the potential functions:

2 2
r F(q)r F (h) = I, (67)
Entropy 2020, 22, 1100 17 of 61

j
where I denote the D D identity matrix. This Crouzeix identity reveals that B = f¶igi and B = f¶ gj are
the primal and reciprocal basis, respectively.
The Bregman divergence can be reinterpreted using Young–Fenchel (in)equality as the
canonical divergence AF,F [37]:

0 0 0 > 0 0
BF(q : q ) = AF,F (q : h ) = F(q) + F (h ) q h = AF ,F(h : q). (68)
0 0 0
The dual Bregman divergence BF (q : q ) := BF(q : q) = BF (h : h ) yields

F ij i j l ¶
g (h) = ¶ ¶ F (h), ¶ :=: l (69)
¶h
ijk i j k
FG (h) = 0, FCijk = ¶ ¶ ¶ F (h ) (70)
F F
Thus the information manifold is both r-flat and r -flat: This structure is called a dually flat
manifold (DFM). In a DFM, we have two global affine coordinate systems q( ) and h( ) related by the
Legendre–Fenchel transformation of a pair of potential functions F and F . That is, (M, F) (M, F ),
and the dual atlases are A = f(M, q)g and A = f(M, h)g.
In a dually flat manifold, any pair of points P and Q can either be linked using the r-geodesic
3
(that is q-straight) or the r -geodesic (that is h-straight). In general, there are 2 = 8 types of
geodesic triangles in a dually flat manifold.
On a Bregman manifold, the primal parallel transport of a vector does not change the contravariant
vector components, and the dual parallel transport does not change the covariant vector components.
Because the dual connections are flat, the dual parallel transports are path-independent.
Moreover, the dual Pythagorean theorems [38] illustrated in Figure 6 holds. Let g(P, Q) = gr(P,
Q) denote the r-geodesic passing through points P and Q, and g (P, Q) = gr (P, Q) denote the r -
geodesic passing through points P and Q. Two curves g1 and g2 are orthogonal at point
p = g1(t1) = g2(t2) with respect to the metric tensor g when g(g˙1(t1), g˙2(t2)) = 0.
(P; Q) ?F (Q; R) (P; Q) F (Q; R)
?

P P

R
R
Q
Q

D(P :R)=D(P :Q)+D(Q:R) D (P :R)=D (P :Q)+D (Q:R)

BF( (P) : (R)) = BF( (P) : (Q)) + BF( (Q) : (R)) BF ( (P) : (R)) = BF ( (P) : (Q)) + BF ( (Q) : (R))

Figure 6. Dual Pythagorean theorems in a dually flat space.

Theorem 6 (Dual Pythagorean identities).

S
> q(R)) = (hi(P) hi(Q))(qi(Q) qi(R)) = 0,
g (P, Q) ? g(Q, R) , (h(P) h(Q)) (q(Q)
S
> h(R)) = (qi(P) >
g(P, Q) ? g (Q, R) , (q(P) q(Q)) (h(Q) qi(Q)) (hi(Q) hi(R)) = 0.
We can define dual Bregman projections and characterize when these projections are unique:
A submanifold S M is said r-flat ( r -flat) iff. it corresponds to an affine subspace in the q-coordinate
system (in the h-coordinate system, respectively).
Entropy 2020, 22, 1100 18 of 61

Theorem 7 (Uniqueness of projections). The r-projection PS of P on S is unique if S is r -flat and

minimizes the divergence D(q(P) : q(Q)):

= min (q ( ) : q ( )). (71)

r-projection: PS arg Q SD P Q
2

The dual r -projection PS is unique if M S is r-flat and minimizes the divergence D(q(Q) : q(P)):

-projection: P = arg min D(q(Q) : q(P)). (72)

r S Q S
2

0 0
Let S M and S M, then we define the divergence between S and S as
0 0
D(S : S ) := min D(s : s ). (73)
0 0
s2S,s 2S
0 0
When S is a r-flat submanifold and S r -flat submanifold, the divergence D(S : S ) between
0
submanifold S and submanifold S can be calculated using the method of alternating projections [2].
Let us remark that Kurose [39] reported a Pythagorean theorem for dually constant curvature
manifolds that generalizes the Pythagorean theorems of dually flat spaces.
We shall concisely explain the space of Bregman spheres explained in details in [40]. Let D denote
the dimension of Q. We define the lifting of primal coordinates q to the primal potential function
ˆ
F = fq = (q, qD+1 = F(q)) : q 2 Qg using an extra dimension qD+1. A Bregman ball S

BallF(C : r) := fP such that F(q(P)) + F (h(C)) h q(P), h(C)i rg (74)

ˆ ˆ
can then be lifted to F: S = fq(P) : P 2 sg. The boundary Bregman sphere s = ¶S is lifted to
ˆ
¶S = sˆ, and the lifted points are all supported by a supporting (D + 1)-dimensional hyperplane (of
dimension D):
Hsˆ : qD+1 = hq q(C), h(C)i + F(q(C)) + r. (75)
ˆ
Let Hsˆ denotes the halfspaces bounded by Hsˆ and containing q (C) = (q(C), F(q(C))). A point P
ˆ
belongs to a Bregman ball S iff q( P) 2 Hˆ , see [40]. Reciprocally, a (D + 1)-dimensional hyperplane
s
H : qD+1 = hq, hai + b cutting the potential function F yields a Bregman sphere sH of center C
with q(C) = rF (ha) and radius r = hrF (ha), ha i F(qa) + b = F (ha) + b, where qa = rF (ha). It follows
that the intersection of k Bregman balls is a (D k)-dimensional Bregman ball, and that a Bregman
sphere can be defined by D + 1 points in general position since an hyperplane in the augmented
space is defined by D + 1 points. We can test whether a point P belongs to a Bregman ball with
bounding Bregman sphere passing through D + 1 points P 1, . . . , PD+1 or not by checking the sign

of a (D + 2) (D + 2) determinant:
InBregmanBallF(P1, . . . , Pd+1; P) := sign
0
q(P1) .. .. .. q(PD+1) 1
1

F (q(P1)) . . . F (q(PD+1))
1
1
@ q (P ) C . (76)
B

F(q(P)) A

We have:
InBregmanBallF(P1, . . . , Pd+1; P) : 8=0 , P2 ¶InBregmanBallF(P1, . . . , PD+1; P) (77)

>= 1 , P 2 InBregmanBallF (P1, . . . , PD+1; P)

< = +1
> , P InBregmanBall
62 F (P , . . . , P ; P) 1 D+1

Similarly, a dual-type Bregman ball S can be defined by

Ball (C : r) := P such that F(q(C)) + F (h(P)) q(C), h(P) r , (78)
F f h i g
Entropy 2020, 22, 1100 19 of 61

and be lifted to the dual potential function F . Notice that Ball F(C : r) = BallF (C : r). Figure 7 displays
five concentric pairs of dual Itakura–Saito circles obtained for the separable Burg
negentropy generator divergence the Itakura–Saito divergence)

Figure 7. Five concentric pairs of dual Itakura–Saito circles.

Using the space of spheres, it is easy to design algorithms for calculating the union or
intersection of Bregman spheres [40], or data-structures for proximity queries [41] (relying on the
radical axis of two Bregman spheres). The Bregman spheres are considered for building Bregman
Voronoi diagrams in [40,42].
The smallest enclosing Bregman ball [43,44] (SEBB) of a set of points P1, . . . , Pn (with respective
q-coordinates q1, . . . , qn) can also be modeled as a convex program; indeed, point P i belongs to the
D
lower halfspace H of equation qD+1 hha, qi + b (parameterized by vector h a 2 R and scalar b 2 R) iff
hha, qi + b F(qi). Thus we seek to minimize min ha,b r = F (ha) + b such that hqi, hai + b F(qi) 0 for all i 2 f1,
. . . , ng. This is a convex program since F is the convex conjugate of a convex generator F. When F( q) =
1 >
2 q q (i.e., Euclidean geometry), we recover the fact that the smallest enclosing ball of a point set in
Euclidean geometry can be solved using quadratic programming [45]. Faster approximation algorithms
for the smallest enclosing Bregman ball can be built based on core-sets [43].
In general, we have the following quadrilateral relation for Bregman divergences:

Property 4 (Bregman 4-parameter property [46]). For any four points P1, P2, Q1, Q2, we have the
following identity:

BF(q(P1) : q(Q1)) + BF(q(P2) : q(Q2)) BF(q(P1) : q(Q2)) BF(q(P2) : q(Q1))

>
(q(P2) q(P1)) (h(Q1) h(Q2)) = 0. (79)
In summary, to define a dually flat space, we need a convex Bregman generator. When the a-
geometries are neither dually flat (e.g., Cauchy manifolds [47], we may still build a dually flat structure on
the manifold by considering some Bregman generator (e.g., Bregman- -Tsallis generator for the dually
flat Cauchy manifold [47]). The dually flat geometry can be investigated under the wider scope of
Hessian manifolds [48] which consider locally potential functions. In general, a dually flat
Entropy 2020, 22, 1100 20 of 61

space can be built from any smooth strictly convex generator F. For example, a dually flat geometry
can be built on homogeneous cones with the characteristic function F of the cone [48]. Figure 8
illustrates several common constructions of dually flat spaces.

Exponential family
F : cumulant function

strictly convex and Dually at space

Homogeneous convex cone 3
di erentiable C function (Hessian structure)
F : characteristic function (M; g; r; r )

Mixture family
Shannon negentropy Bregman divergence

Figure 8. Common dually flat spaces associated to smooth and strictly convex generators.

F F a F a
3.8. Hessian a-Geometry: (M, F, a) (M, g, r , r )
The dually flat manifold is also called a manifold with a Hessian structure [48] induced by a
B F B F F
convex potential function F. Since we built two dual affine connections F r = r and F r= r= r,
we can build a family of a-geometry as follows:

F F ij i j
gij(q) = ¶i¶j F(q), g (h) = ¶ ¶ F(h), (80)
and
F a 1 a F a F a 1+a i j k
Gijk (q) = 2 ¶i¶j¶k F(q), Gijk (h) = Gijk (h) = 2 ¶ ¶ ¶ F (h). (81)

(h) = 0. ijk ijk

F 1 F 1
1, the Hessian a-geometry is dually flat since G (q) = 0 and G

a a
3.9. Expected a-Manifolds of a Family of Parametric Probability Distributions: (P, P g, P r , P r )
Informally speaking, an expected manifold is an information manifold built on a regular
parametric family of distributions. It is sometimes called “expected” manifold or “expected” geometry
in the literature [49] because the components of the metric tensor g and the Amari–Chentsov cubic
tensor C are expressed using statistical expectations.
Let P be a parametric family of probability distributions:

P := fpq (x)gq2Q , (82)

with q belonging to the open parameter space Q. The order of the family is the dimension of its
parameter space. We define the likelihood function L(q; x) := pq (x) as a function of q, and its
corresponding log-likelihood function:

l(q; x) := log L(q; x) = log pq (x). (83)

More precisely, the likelihood function is an equivalence class of functions defined modulo a
positive scaling factor.
The score vector:

sq = rq l = (¶il)i, (84)
¶
indicates the sensitivity of the likelihood ¶il:=: ¶q i l(q; x).
The Fisher information matrix (FIM) of D D for dim(Q) = D is defined by:

¶ l¶ l 0,
P I(q) := Eq i j ij (85)
Entropy 2020, 22, 1100 21 of 61

where denotes the Löwner order. That is, for two symmetric positive-definite matrices A and B, A B
if and only if matrix A B is positive semidefinite. For regular models [16], the FIM is positive definite:
P I(q) 0, where A B if and only if matrix A B is positive-definite.
The FIM is invariant by reparameterization of the sample space X , and covariant by
reparameterization of the parameter space Q, see [16]. That is, let p¯(x; h) = p(q(h); x). Then we have:
¯ # " #
I (h) = "¶hij > I(q(h)) ¶hij ij . (86)
¶q ¶q
ij

h i
Matrix Jij = ¶qi is the Jacobian matrix.
¶hj ij
Let us give illustrate the covariance of the Fisher information matrix with the following example:

Example 1. Consider the family

2
1 (x m)
2
N = p(x; m, s) = p 2ps exp( 2s )) : (m, s) 2 R R++ (87)
of univariate normal distributions. The 2D parameter vector is l = (m, s) with m denoting the mean and
0 2
s the standard deviation. Another common parameterization of the normal family is l = (m, s ). The
0 0
l parameterization extends naturally to d-variance normal distributions with l = (m, S), where S
2
denotes the covariance matrix (with S = s when d = 1). For multivariate normal distributions, the l-
> >
parameterization can be interpreted as l = (m, L ) where L is the upper triangular matrix in the
>
Cholesky decomposition (when d = 1, L = s). We have the following Fisher information matrices in
0
the l-parameterization and l -parameterization:
1 " #
2 2
I l(l) = l2 2 3 = s 2

4 0 l22 5 0 s2
2 0 1 0

(88)

and
Il0 l0 = " 1
0 1 2
# =" 1 1 4 #
l 2
0

2 0 s 0 (89)
2l2 2s
Since the FIM is covariant, we have the following the change of transformation:
0 > 0
Il 0 l = Jl ,l0 Il l l Jl,l0 , (90)

with J0
l ,l = " 0 2s
#

1 0 (91)

Thus we check that # "

Il(l) =
"
0 2s #" 0 1
4 #" 0 2s = 0 2
2 #
1 1
2
1 0 s 0 1 0 s2 0 (92)
2s s

Notice that the infinitesimal length elements are invariant: ds l = dsl0 .

As a corollary, notice that we can recognize the Euclidean metric in any other coordinate
>
system if the metric tensor g can be written J l ,l0 Jl,l0 . For example, the Riemannian geometry
induced by a dually flat space with a separable potential function is Euclidean [50].
Entropy 2020, 22, 1100 22 of 61

In statistics, the FIM plays a role in the attainable precision of unbiased estimators. For any
unbiased estimator, the Cramér–Rao lower bound [51] on the variance of the estimator is:

ˆ 1 1
I
Varq [qn(X)] n P (q ). (93)
Figure 9 illustrates the Cramér–Rao lower bound (CRLB) for the univariate distributions:
At regular grid locations (m, s) of the upper space of normal parameters, we repeat 200 runs (trials)
\
of estimating the normal parameters ( ,) using the MLE on 100 iid samples x , . . . , x N( , ).

m s 1 n m s The sample mean and the sample covariance

matrix are calculated for the number of trials and displayed as back ellipses. The Fisher information
matrix is plotted as red ellipses at the grid locations: the red ellipses have semi-axes parallel to the
coordinate system since the parameters m and s are orthogonal (diagonal FIM). This is not true
anymore for the sample covariance matrix of the MLE estimator, and the centers of the sample
covariance matrices deviate from the grid locations.

Figure 9. Visualizing the Cramér–Rao lower bound: the red ellipses display the Fisher information
2
matrix of normal distributions N(m, s ) at grid locations. The black ellipses are sample covariance
matrices centered at the sample means calculated by repeating 200 runs of sampling 100 iid
variates for the normal parameters of the grid.

We report the expression of the FIM for two important generic parametric family of probability
distributions: (1) an exponential family (with its prominent multivariate normal family), and (2) a mixture
family.
Entropy 2020, 22, 1100 23 of 61

Example 2 (FIM of an exponential family E). An exponential family [52] E is defined for a sufficient statistic
vector t(x) = (t1(x), . . . , tD(x)), and an auxiliary carrier measure k(x) by the following canonical density:
E ( i=1 ! 2 )
D

= pq (x) = exp å ti(x)qi F(q) + k(x) such that q Q , (94)

where F is the strictly convex cumulant function (also called log-normalizer, and log partition function or
free energy in statistical mechanics). Exponential families include the Gaussian family, the Gamma and
Beta families, the probability simplex D, etc. The FIM of an exponential family is given by:

2 2 1
E I(q) = CovX pq (x)[t(x)] = r F(q) = (r F (h)) 0. (95)
2 2 2
Indeed, under mild conditions [2], we have I(q) = Epq [r log pq (x)]. Since r log pq (x) = r F(q), it follows that
2
E I(q) = r F(q). Natural parameters beyond vector types can also be used in the canonical decomposition of
the density of an exponential family. For example, we may use a matrix type for defining the zero-centered
multivariate Gaussian family or the Wishart family, a complex numbers for defining the complex-valued
D
Gaussian distribution family, etc. We then replace the term å i =1 ti(x)qi in Equation (94) by an inner product
defined for the natural parameter type (e.g., dot product for vectors, matrix product trace for matrices, etc.).
Furthermore, natural parameters can be of compound types: For example, the multivariate Gaussian
distribution can be written using q = (qv, qM) where qv is a vector part and qM a matrix part, see [52].
1 ij
Let S = [sij] denote the covariance matrix and S = [s ] the precision matrix of a multivariate normal
distribution. The Fisher information matrix of the multivariate Gaussian [53,54] N(m, S) is given by

m S = [sij]
s s + ss S = [skl ] (96)

ij
il jk ik jl

I(m, S) = s 0 m
0

Notice that the lower right block matrix is a 4D tensor of dimension d d d d. The zero subblock
matrices in the FIM indicate that the parameters m and S are orthogonal to each other. In particular,
11 1
when d = 1, since s = 2 , we recover the Fisher information matrix of the univariate Gaussian:
s
" #
1
s
2 0
I(m, S) = 1 (97)
0 4
2s

We refer to [55] for the FIM of a Gaussian distribution using other canonical parameterizations
(natural/expectation parameters of exponential family).

Example 3 (FIM of a mixture family M). A mixture family is defined for D + 1 functions F1, . . . , FD and
C as: ( i=1 2 )
D
M

= pq (x) = å qi Fi(x) + C(x) such that q Q , (98)

where the functions fFi(x)gi are linearly independent on the common support X and satisfying Fi(x)dm(x) =
R
0. Function C is such that C(x)dm(x) = 1. Mixture families include statistical mixtures with prescribed

R
component distributions and the probability simplex D. The FIM of a mixture family is given by:
(x)F (x) F (x)F (x)
F
i j ij

2 Z
(pq (x)) = X
M I(q) = EX pq (x) pq (x) dm(x) 0. (99)
The family of Gaussian mixture model (GMM) with prescribed component distributions (i.e.,
convex weight combinations of D + 1 Gaussian densities) form a mixture family [56].
Entropy 2020, 22, 1100 24 of 61

Notice that the probability simplex of discrete distributions can be both modeled as an
exponential family or a mixture family [2].
The expected a-geometry is built from the expected dual a-connections. The Fisher
“information metric” tensor is built from the FIM as follows:

>
P g(u, v) := (u)q P I(q) (v)q (100)
The expected exponential connection and expected mixture connection are given by
m := Eq (¶i¶jl + ¶il¶jl)(¶kl) . (102)
e
P r := Eq (¶i¶jl)(¶kl) , (101)

Pr
m e
The dualistic structure is denoted by (P, P g, Pr, P r) with Amari–Chentsov cubic tensor
called the skewness tensor:

Cijk := Eq ¶il¶jl¶kl . (103)

It follows that we can build a one-family of expected information a-manifolds:

(104)
a +a ,
(P, P g, P r , P r ) a2R
with
a
G (q) := E ¶ ¶ l¶ l + 1 a C (q), (105)
2
a

P ij,k q i j k ijk

1 (106)

= Eq ¶i¶jl + 2 ¶il¶jl (¶kl) .

The Levi–Civita metric connection is recovered as follows:

a a (107)
¯ = P r + P r = LC := LC ( g)
Pr 2 P r rP
The a-Riemann–Christoffel curvature tensor is:
(108)
R = ¶ Ga ¶G a + grs G a Ga Ga G a ,
P ijkl i jk,l j ik ,l ik ,r js,l jk,r is ,l

a a
with Rijkl = Rijlk . We check that the expected a-connections are coupled with the metric: ¶i gjk =
a a
Gij ,k + Gik, j.
In case of an exponential family E or a mixture family M equipped with the dual
exponential/mixture connection, we get dually flat manifolds (Bregman geometry).
Indeed, for the exponential/mixture families, it is easy to check that the Christoffel symbols of
e m
r and r vanish:
m e m
e G= G= G= G = 0. (109)
M M E E
3.10. Criteria for Statistical Invariance
So far we have explained how to build an information manifold (or information a-manifold) from
a pair of conjugate connections. Then we reported two ways to obtain such a pair of conjugate
connections: (1) from a parametric divergence, or (2) by using the predefined expected
exponential/mixture connections. We now ask the following question: which information manifold
makes sense in Statistics? We can refine the question as follows:
• Which metric tensors g make sense in statistics?
• Which affine connections r make sense in statistics?
• Which statistical divergences make sense in statistics (from which we can get the metric tensor and
dual connections)?
Entropy 2020, 22, 1100 25 of 61

By definition, an invariant metric tensor g shall preserve the inner product under important
0
statistical mappings called Markov embeddings. Informally, we embed D D into DD0 with D > D and
the induced metric should be preserved (see [2], page 62).

Theorem 8 (Uniqueness of Fisher information metric [57,58]). The Fisher information metric is the
unique invariant metric tensor under Markov embeddings up to a scaling constant.

A D-dimensional parameter (discrete) divergence satisfies the information monotonicity if and only if:
0 0
D(q ¯ : q ¯ ) D(q : q ) (110)
A A
E
for any coarse-grained partition A = fAigi =1 of [D] = f1, . . . , Dg (A-lumping [59]) with
ED, where qi ¯ = j
åj2Ai q for i 2 [E]. This concept of coarse-graining is illustrated in
A
Figure 10. This information monotonicity property could be renamed as the “distance coarse-binning
inequality property.”

p p p p p p p p p
1 2 3 4 5 6 7 8

coarse graining
p1 + p2 p3 + p4 + p5 p6 p7 + p8 pA
0 0
Figure 10. A divergence satisfies the property of information monotonicity iff D(qA¯ : q ¯ ) D(q : q ).
A
Here, parameter q represents a discrete distribution.

A separable divergence D(q1 : q2) is a divergence that can be expressed as the sum of elementary
scalar divergences d(x : y):
D(q1 : q2) := åd(q1i : q2j). (111)
i
i i2
For example, the squared Euclidean distance D(q1 : q2) = åi(q1 q2 ) is a separable divergence for the
2 i
scalar Euclidean divergence d(x : y) = (x y) . The Euclidean distance D (q , q )= (q qi )2

is not separable because of the square root operation. E 1 2 i 1 2

q
å
The only invariant and decomposable divergences when D > 1 are f -divergences [60] defined
for a convex functional generator f :

0
D
i=1
q q

0
If (q : q ) := å qi f f (1), f (1) = 0. (112)
0
The standard f -divergences are defined for f -generators satisfying f (1) = 0 (choose fl(u) := f
00
(u) + l(u 1) since Ifl = If ), and f (u) = 1 (scale fixed).
Statistical f -divergences are invariant [61] under one-to-one/sufficient statistic transformations
y = t(x) of sample space: p(x; q) = q(y(x); q):
0 0
If [p(x; q) : p(x; q )] = ZX p(x; q) f p(x; q ) dm(x),
p(x; q )
0
= ZY q(y; q) f q(y; q ) dm(y),
q(y; q )

0
= If [q(y; q) : q(y; q )].

The dual f -divergences for reference duality is

0 0 0
If [p(x; q) : p(x; q )] = If [p(x; q ) : p(x; q)] = If [p(x; q) : p(x; q )] (113)
Entropy 2020, 22, 1100 26 of 61

for the standard conjugate f -generator (diamond f generator) with:

f (u) := u f u . (114)
1

One can check that f is a standard f -generator when f is standard.

Let us report some common examples of f -divergences:

• The family of a-divergences:

+
4
1 a 1 a

2
Ia[p : q] := 1 a 1 Z p
2 (x )q 2 (x)dm(x) , (115)
4 1+a
obtained for f (u) = 1 2 (1 u 2 ). The a-divergences include:
a

– The Kullback–Leibler when a ! 1:

p(x)
Z
KL[p : q] = p(x) log q(x) dm(x), (116)
for f (u) = log u.
– The reverse Kullback–Leibler a ! 1:
q(x)

KL [p : q] :=
Z
q(x) log p(x) dm(x) = KL[q : p], (117)
for f (u) = u log u.
– The symmetric squared Hellinger divergence:
Z 2
q q
2
H [p : q] := p(x) q(x) dm(x), (118)
p
for f (u) = ( u 1)2 (corresponding to a = 0)
– The Pearson and Neyman chi-squared divergences [62], etc.
• The Jensen–Shannon divergence:

1 2 ( ) 2()
px qx

JS[p : q] := 2 Z p(x) log p(x) + q(x) + q(x) log p(x) + q(x) dm(x), (119)
for f (u) = (u + 1) log 1+u + u log u.
2
• The Total Variation
1
TV[p : q] := 2 Z jp(x) q(x)j dm(x), (120)
1
for f (u) = 2 ju 1j. The total variation distance is the only metric f -divergence (up to a scaling
factor).

The f -topology is the topology generated by open f -balls, open balls with respect to f -divergences.
0 0
A topology T is said to be stronger than a topology T if T contains all the open sets of T . Csiszar’s
theorem [63] states that when jaj < 1, the a-topology is equivalent to the topology induced by the total
variation metric distance. Otherwise, the a-topology is stronger than the TV topology.
Let us state an important feature of f divergences:

Theorem 9. The f -divergences are invariant by diffeomorphisms m(x) of the sample space X : Let Y = m(X),
and Xi pi with Yi = m(Xi) qi. Then we have If [q1 : q2] = If [p1 : p2].
Entropy 2020, 22, 1100 27 of 61

Example 4. Consider the exponential distributions and the Rayleigh distributions which are related by:
p
X Exponential(l) , Y = m(X) = X Rayleigh s = p2l .
1

The densities of the exponential distributions are defined by

pl(x) = l exp( lx) with support X = [0, ¥),

and the densities of the Rayleigh distributions are defined by

2
x x
2 2
qs(x) = s exp 2s with support X = [0, ¥).
2 2
We have l1 ! 2 s2 2
l
2 s s
D [qs : qs ] = log 2
+ 1 2
.
KL 1 2

It follows that = D q p
DKL pl1 : pl2 KL 2l1 : q p2l1
1 1
=
log
2l2 + 2l2 2l1 l2
2l1 1 1
l
= log l2l + l
1 1.
1 2

A remarkable property is that invariant standard f -divergences yield the Fisher information
matrix and the a-connections. Indeed, the invariant standard f -divergences is related infinitesimally to the
Fisher metric as follows:
If [p(x; q) : p(x; q + dq)] = Z p(x; q) f
p
p(x; q) dm(x) (121)
(x; q + dq)

S 1
i j
= 2 F gij(q)dq dq . (122)

A statistical parameter divergence D on a parametric family of distributions P yields an

equivalent parameter divergence P D:
0 0
P D(q : q ) := D[p(x; q) : p(x; q )]. (123)
Thus we can build the information manifold induced by this parameter divergence P D( : ). For P D( :
I
f If (I f ) P I
) = If [ : ], the induced 1-divergence connections P r := P r and P r := f
r are precisely

the expected a-connections (derived from the exponential/mixture connections) with:

000
a=2f (1) + 3.
(124)
Thus the invariant connections which coincide with the connections induced by the invariant
statistical divergences are the expected a-connections. Note that the curvature of an expected a-
connection depends both on a and on the considered statistical model [64].

3.11. Fisher–Rao Expected Riemannian Manifolds: (P, P g)

Historically, a first manifold modeling of a regular parametric family of distributions P = fp q (x)gq was
to consider the Fisher Information Matrix (FIM) as the Riemannian metric tensor g (see [65,66]), with:
Entropy 2020, 22, 1100 28 of 61

P I(q) := Epq ¶il¶jl , (125)

where ¶il:=: ¶ log p(x; q). Under some regularity conditions, we can rewrite the FIM:
¶qi

P I(q) := Epq ¶i¶jl . (126)

The Riemannian geodesic metric distance Dr is commonly called the Fisher–Rao distance:
Z 1 q
>
D (p , p )=
r q1 q2 g˙(t) gg(t)g˙(t)dt, (127)
0

where g denotes the geodesic passing through g(0) = q1 and g(1) = q2. The Fisher–Rao distance can q

R1 >
also be defined as the shortest path length: Dr(p , p ) = infg g˙(t) g (t)g˙(t)dt.
q1 q2 0 g

Definition 6 (Fisher–Rao distance). The Fisher–Rao distance is the geodesic metric distance of the
Fisher–Riemannian manifold (P, P g).

Let us give some examples of Fisher–Riemannian manifolds:

• The Fisher–Riemannian manifold of the family of categorical distributions (also called finite
discrete distributions in [2]) amount to the spherical geometry [14] (spherical manifold).
• The Fisher–Riemannian manifold of the family of bivariate location-scale families amount to
hyperbolic geometry (hyperbolic manifold).
• The Fisher–Riemannian manifold of the family of location families amount to Euclidean
geometry (Euclidean manifold).
S
2
The first fundamental form of the Riemannian geometry is ds = hdx, dxi = gijdxidxj where ds
denotes the line element. Let us give an example of Fisher–Rao geometry for location-scale families:

Example 5. Consider the location-scale family induced by a symmetric probability density f (x) with respect to
R R R 2
0 such that X f (x)dm(x) = 1, X x f (x)dm(x) = 0 and X x f (x)dm(x) = 1 (with support X = R):

1 x q1
P= pq (x) = f , q = (q1, q2) 2 R R++ . (128)
q2 q2

The density f (x) is called the standard density of the location-scale family, and corresponds to the parameter
q0 = (0, 1): p(0,1)(x) = f (x). The parameter space Q = R R++ corresponds to the upper plane, and the
Fisher information matrix can be structurally calculated [67] as the following diagonal matrix:
I(q) = 0 ,
" 2 #
b
(129)
a2 0

with scalars:
(x ) 2
2 Z f
0
(130)
a := f (x) f (x)dm(x),
b2 :=
Z
f
x f
0
(x ) + 12
(x ) (131)
f (x)dm(x).
Entropy 2020, 22, 1100 29 of 61

0 0
By rescaling q = (q , q2) as q = (q 0 , q 0 ) with q = a q 0
and q2 = q2, we get the FIM with respect to
p
0 1 1 2 1 b 2 1
q expressed as: I(q0) = (q20)2
"
0 1 #
2
b 1 0
. (132)

We recognize that this metric is a constant time the metric of the Poincaré upper plane. Thus the Fisher–
Rao manifold of a location-scale family (with symmetric standard probability density f ) is isometric to the
1
planar hyperbolic space of negative curvature k = b 2 . In practice, the Klein non-conformal model of
hyperbolic geometry is often used to implement computational geometric algorithms [20].

This Riemannian geometric structure applied to a family of parametric probability distributions

was first proposed by Harold Hotelling [65] (in a handwritten note of 1929, reprinted typeset in [68])
and independently later by C. R. Rao [66] (1945, reprinted in [69]). In a similar vein, Jeffreys [70]
proposed to use the volume element of a manifold as an invariant prior to 1946.
Notice that for a parametric family of probability distributions P, the Riemannian structure (P , P
I I
g) coincides with the self-dual conjugate connection manifold (P, P g, P f r, P f r ) induced by a
symmetric f -divergence like the squared Hellinger divergence.
The exponential map expp at point p 2 M provides a way to map back a vector v 2 T p to a point
expp(v) 2 M (when well-defined). The exponential map can be used to parameterize a geodesic g
with g(0) = p and unit tangent vector g˙(0) = v: t 7!expp(tv). For geodesically complete manifolds, the
exponential map is defined everywhere.

3.12. The Monotone a-Embeddings and the Gauge Freedom of the Metric
Another common mathematically equivalent expression of the FIM [16] is given by:
Z
q q

Iij(q) := 4 ¶i p(x; q)¶j p(x; q)dm(x). (133)

This form of the FIM is well-suited to prove that the FIM is always a positive semi-definite matrix [16]
(I(q) 0). It turns out that we can define a family of equivalent representations of the FIM using the a-
embedding [71] of the parametric family.
a
First, we define the a-representation of densities l (x; q) := ka(p(x; q)) with:
( log u, if a = 1.
2 1 a

ka(u) := 1 a u 2 , if a 6= 1, (134)

a
The function l (x; q) is called the a-likelihood function. Then the a-representation of the FIM,
the a-FIM for short, is expressed as:

a Z a a
Iij (q) := ¶il (x; q)¶jl (x; q)dm(x). (135)
a R a a
We can rewrite compactly the a-FIM, as Iij (q) = ¶il ¶jl dm(x). Expanding the a-FIM, we get:
Iij(q) =
(
1 ¶
a i
log p (x; q)¶ p(x;
j
q)dm(x) for a 6 1,1 . (136)
1
R 1 a 1+a

¶p(x; q) dm(x) for a = 1

j

¶ p(x; q)
i

a 2 2 2

R 2f g
The 1-representation of the density is called the logarithmic representation (or e-
representation), the 1-representation the mixture representation (or m-representation), and its 0-
a
representation is called the square root representation. The set of a-scores vectors Ba := f¶il gi are
interpreted as the tangent basis vectors of the a-base Ba. Thus the FIM is a-independent.
Entropy 2020, 22, 1100 30 of 61

Furthermore, the a-representation of the FIM can be rewritten under mild conditions [16] as:
a Z
I (q ) = 2 1+a
a
p(x; q) 2
¶i¶jl (x; q)dm(x). (137)
ij 1+ a
Since we have:
a (138)
¶i¶jl (x; q) = 1 a 1 a
p 2 ¶i¶jl + 2 ¶il¶jl ,
it follows that:
a 2
I (q ) = 1 a (139)
ij 1+ a
Iij(q) + 2 Iij = Iij(q).
Notice that when a = 1, we recover the equivalent expression of the FIM (under mild conditions):

1 2
Iij (q) = E[r log p(x; q)]. (140)
In particular, when the family is an exponential family [52] with cumulant function F(q) (satisfying the
mild conditions), we have:
2
I(q) = r F(q). (141)
Zhang [71,72] further discussed the representation/reference biduality which was confounded
in the a-geometry.
Gauge freedom of the Riemannian metric tensor has been investigated under the framework of
(r, t)-monotone embeddings [71–73] in information geometry: let r and t be two strictly increasing
0
functions, and f a strictly convex function such that f (r(u)) = t(u) (with f denoting its convex conjugate).
Observe that the set of strictly increasing real-valued univariate functions has a group structure for the
group operation chosen as the functional composition . Let us write p q (x) = p(x; q).
r,t r,t
The (r, t)-metric tensor g(q) = [ gij(q)]ij can be derived from the (r, t)-divergence:

Z
Dr,t (p : q) = ( f (r(p(x))) + f (t(q(x))) r(p(x))t(q(x))) dn(x). (142)
We have:
r,t
gij(q) = Z (¶ir(pq (x))) ¶jt(pq (x)) dn(x), (143)
0 0
= Z r (pq (x))t (pq (x)) (¶i pq (x)) ¶j pq (x) dn(x), (144)
00
= Z f (r(pq (x))) (¶ir(pq (x))) ¶jr(pq (x)) dn(x), (145)

00
= Z ( f ) (t(pq (x))) (¶it(pq (x))) ¶jt(pq (x)) dn(x). (146)
3.13. Dually Flat Spaces and Canonical Bregman Divergences
We have described how to build a dually flat space from any strictly convex and smooth
2
generator F: A Hessian structure is built from F(q) with Riemannian Hessian metric r F(q), and the
convex conjugate F (h) (obtained by the Legendre–Fenchel duality) yields the dual Hessian
2
structure with Riemannian Hessian metric r F (h). The dual connections r and r are coupled with
the metric. The connections are defined by their respective Christoffel symbols G(q) = 0 and G (h) =
0, showing that they are flat connections.
Conversely, it can be proved [2] that given two dually flat connections r and r , we can
reconstruct two dual canonical strictly convex potential functions F(q) and F (h) such that h = rF(q)
and q = rF (h). The canonical divergence AF,F yields the dual Bregman divergences BF and BF .
Entropy 2020, 22, 1100 31 of 61

The only symmetric Bregman divergences are squared Mahalanobis distances M [40] with the Q
2

q
0 0 > 0
MQ(q, q ) = (q q) Q(q q). (147)
>
Let Q = LL be the Cholesky decomposition of a positive-definite matrix Q 0. It is well-known that
the Mahalanobis distance MQ amounts to the Euclidean distance on affinely transformed points:

2 0 >
MQ (q, q ) = Dq QDq, (148)
> >
= Dq LL Dq, (149)
2 > > 0 > > 0 2
= M I(L q, L q ) = kL q L q k , (150)
0
where Dq = q q.
2
The squared Mahalanobis distance MQ does not satisfy the triangle inequality, but the
Mahalanobis distance MQ is a metric distance. We can convert a Mahalanobis distance M Q1 into
another Mahalanobis distance MQ2 , and vice versa, as follows:
>
Proof. Let us write matrix Q = L L 0 using the Cholesky decomposition. Then we have

> > > 1 > 1

MQ(q1, q2) = MI (L q1, L q2) , MI (q1, q2) = MQ((L ) q1, ((L ) q2). (151)
> >
Then we have for two symmetric positive-definite matrices Q 1 = L1 L1 0 and Q2 = L2 L2 0:

> > > 1 > > 1 >

MQ1 (q1, q2) = MI (L1 q1, L1 q2) = MQ2 ((L2 ) L1 q1, (L2 ) L1 q2). (152)
It follows that we have:

> 1 > > 1 >

MQ1 (q1, q2) = MQ2 ((L2 ) L1 q1, (L2 ) L1 q2). (153)

2 1 >
We have MQ (q1, q2) = BF(q1, q2) (Bregman divergence) with F(q) = 2 q Qq for a positive-
1 > 1 1 1
definite matrix Q 0. The convex conjugate F (h) = 2 h Q h (with Q 0). We have h = Q q and
2 2
h = Qq. We have the following identity between the dual Mahalanobis divergences M Q and MQ 1 :

2 2
MQ (q1, q2) = MQ 1 (h1, h2). (154)
When the Bregman generator is based on an integral, i.e., the log-normalizer F(q)
R
=
R
log ( exp(ht(x), qidm(x)) for exponential families E, or the negative Shannon entropy F(q) =
mq (x) log m(h)dm(x) for mixture families M, the associated Bregman divergences B F,E or BF,M can be
relaxed and interpreted as a statistical distance. We explain how to obtain the reconstruction below:

• Consider an exponential family E of order D with densities defined according to a dominating

measure m:
>
E = fpq (x) = exp(q t(x) F(q)) : q 2 Qg, (155)
D
where the natural parameter q and the sufficient statistic vector t(x) belong to R . We have the
integral-based Bregman generator:

F(q) = FE (pq ) = log exp(q>t(x))dm(x) , (156)

Entropy 2020, 22, 1100 32 of 61

and the dual convex conjugate

Z
F (h) = h(pq ) = p(x) log p(x)dm(x), (157)
where h(p) = p(x) log p(x)dm(x) denotes Shannon’s entropy.
R >
Let l(i) denotes the i-th coordinates of vector l, and let us calculate the inner product q1 h2 =
åi q1(i)h2(i) of the Legendre–Fenchel divergence. We have h2(i) = Epq [ti(x)]. Using the linear
2

property of the expectation E[ ], we find that åi q1(i)h2(i) = Epq2 [åi q1(i)ti(x)]. Moreover, we
have åi q1(i)ti(x) = log pq1 (x) + F(q1). Thus we have:

q >h = E
1 2 pq2 log pq1 + F(q1) = F(q1) + Epq2 log pq1 . (158)
It follows that we get
B [p : p ] >
F,E q1 q2 = F(q1) + F (h2) q 1 h 2, (159)
E [log p ]
= F(q1) h(pq2 ) pq2 q1 F(q1), (160)
p
q2

Ep p :p
= q2 log q1 =: DKL [pq1 q2 ]. (161)
By relaxing the exponential family densities p q1 and pq2 to be arbitrary densities p1 and p2, we
obtain the reverse KL divergence between p1 and p2 from the dually flat structure induced by
the integral-based log-normalizer of an exponential family:

p2 p 2 (x )
E Z
DKL [p1 : p2] = p2 log p1 = p2(x) log p1 (x) dm(x), (162)
= DKL[p2 : p1]. (163)

Thus we have recovered the reverse Kullback–Leibler divergence DKL from BF,E .
The dual divergence D [p1 : p2] := D[p2 : p1] is obtained by swapping the distribution parameter
orders. We have:
:p ]= E
DKL [p1 : p2] := DKL [p2 1 p1 log p2 =: DKL[p1 : p2], (164)
p
1

and DKL [p1 : p2] = DKL [p2 : p1] = DKL[p2 : p1].

To summarize, the canonical Legendre–Fenchel divergence associated with the log-normalizer of
an exponential family amounts to the statistical reverse Kullback–Leibler divergence between p q1
and pq1 (or the KL divergence between the swapped corresponding densities): D KL[pq1 : pq2 ] =
BF(q2 : q1) = AF,F (q2 : h1). Notice that it is easy to check that DKL[pq1 : pq2 ] = BF(q2 : q1) [74,75].
Here, we took the opposite direction by constructing DKL from BF.
>
We may consider an auxiliary carrier term k(x) so that the densities write p q (x) = exp(q t(x)
F(q) + k(x)). Then the dual convex conjugate writes [76] as F (h) = h(pq ) + Epq [k(x)]. Notice
that since the Bregman generator is defined up to an affine term, we may consider the
equivalent generator F(q) = log pq (w) instead of the integral-based generator. This approach
yields ways to build formula bypassing the explicit use of the log-normalizer for calculating
various statistical distances [77].
• In this second example, we consider a mixture family
)
( å qi)p0(x) , (165)
D
D
M= mq = å qi pi(x) + (1
i=1 i=1
Entropy 2020, 22, 1100 33 of 61

where p0, . . . , pD are D + 1 linearly independent probability densities. The integral-based

Bregman generator F is chosen as Shannon negentropy:

Z
F(q) = FM(mq ) = h(mq ) = mq (x) log mq (x)dm(x). (166)
We have
Z
hi = [rF(q)]i = (pi(x) p0(x)) log mq (x)dm(x), (167)
and the dual convex potential function is

F (h) = Z p0(x) log mq (x)dm(x) = h (p0 : mq ), (168)

i.e., the cross-entropy between the density p 0 and the mixture mq . Let us calculate the inner
>
product q1 h2 of the Legendre–Fenchel divergence as follows:

Z
åi q1(i) (pi(x) p0(x)) log mq2 (x)dm(x) = Z åi q1(i)pi(x) log mq2 (x)dm(x)
åq1(i)p0(x) log mq2 (x)dm(x). (169)
i

That is

> Z
å å
q1 h2 = i
q1(i)pi log mq2 dm i q1(i)p0 log mq2 dm. (170)
Thus it follows that we have the following statistical distance:
B [m : m ] := >
F,M q1 q2 F(q1) + F (h2) q1 h2, (171)

= h(mq1 ) Z p0(x) log mq2 (x)dm(x) Z åi q1(i)pi(x) log mq2 (x)dm(x)

+ åq1(i)p0(x) log mq2 (x)dm(x), (172)
i

Z q (i))p (x) +
= h(mq1 ) ((1 åi 1 0 åi q1(i)pi(x)) log mq2 (x)dm(x),(173)

= h(mq1 ) Z mq1 (x) log mq2 (x)dm(x), (174)

mq1 (x)
= Z mq1 (x) log mq2 (x) dm(x), (175)
D [m : m ].
= KL q1 q2 (176)
Thus we have DKL[mq1 : mq2 ] = BF(q1 : q2). By relaxing the mixture densities mq1 and mq2 to
arbitrary densities m1 and m2, we find that the dually flat geometry induced by the negentropy
of densities of a mixture family induces a statistical distance which corresponds to the (forward)
KL divergence. That is, we have recovered the statistical distance D KL from BF,M. Note that in
general the entropy of a mixture is not available in closed-form (because of the log sum term),
except when the component distributions have pairwise disjoint supports. This latter case
includes the case of Dirac distributions whose mixtures represent the categorical distributions.
Let us consider the dually flat spaces induced by the family of discrete Poisson distributions
and the family of continuous gamma distributions:

Example 6. Consider the family P of Poisson distributions with rate parameter l > 0:
x
l e l

P = pl(x) = x! , l 2 (0, ¥) . (177)

Entropy 2020, 22, 1100 34 of 61

This family is a univariate discrete exponential family of order one (i.e., d = 1 and D = 1) with the
following canonical decomposition of its probability mass function pl(x):
m(x) k(x)
• Base measure: n(x) = x! = e m(x) where m is the counting measure and k(x) = log(x!)
represents an auxiliary measure carrier term for defining the base measure n,
• Sufficient statistics: t(x) = x,
• Natural parameter: q = q(l) = log(l) 2 Q = R,
• Log-normalizer: F(q) = exp(q) since F(q(l)) = l.

Thus we can rewrite the Poisson family as the following Discrete Exponential Family (DEF):

P = fpq (x) = exp(qt(x) F(q))dn(x) : q 2 Qg. (178)

0
The expectation is Epq [x] = F (q) = exp(q), or equivalently Epl [x] = l. The variance Varpq [x] =
00
F (q) = exp(q), or or equivalently Varpl [x] = l. The Kullback–Leibler divergence between two
Poisson distributions pl1 and pl2 is:

D p : p
KL l1 l2 = BF(q(l2) : q(l1)), (179)
l1
= l1 log + l2 l1. (180)
l2
We recognize the expression of the univariate Kullback–Leibler divergence extended to the positive scalars.
0 00 1
We have h = F (q) = l and Ih (h) = (F ) (h) = h where F (h) = h log h h is the convex
1
conjugate of F(q). Since h = l, we deduce that the Fisher information is I l(l) = l . Notice that Iq (q) =
00 00 1
exp(q) = l. Thus we check the Crouzeix identity: F (q)(F ) (h) = l l = 1. Beware that although I q
(q) = l, this is not the FIM Il. Using the covariance equation of the FIM of Equation (86), we have:

dq dq
Il(l) = dl Iq (q(l)) dl, (181)
= 1 exp(log(l))1 = 1 . (182)
l l l

The Fisher–Rao distance [78] between two Poisson distributions pl1 and pl2 is:
Dr(l1, l2) = 2 p l1
p l2
. (183)

In general, it is easy to get the Fisher–Rao distance of uniorder families because both the length
elements and the geodesics are available in closed forms.

The following example demonstrates the computational intractability of the Fisher–Rao distance.

Example 7. Consider the parametric family of Gamma distributions [79] with probability density:
a a 1
b x exp( bx)
pa,b(x) = , (184)
G(a)
¥ 2X
for shape parameter a > 0, rate parameter b > 0 and support x = (0, ¥). Function G(z) =
R f a,b g
z 1 x
0 x e dx is the Gamma function defined for z > 0, and satisfying G(n) = (n 1)! for integers n.
The Gamma distributions p , a, b > 0 form an univariate exponential family of order 2 (i.e., d = 1 and
D = 2) with the following canonical decomposition:

• Natural parameters: q = (q1, q2) with q(l) = ( b, a 1) with source parameter l = (a, b),
• Sufficient statistics: t(x) = (x, log(x)),
• Log-normalizer: F (q) = (q2 + 1) log ( q1) + log G (q2 + 1),
Entropy 2020, 22, 1100 35 of 61

q2+1
• Dual parameterization: h = (h1, h2) = Epq [t(x)] = rF (q) = , log ( q1) + y (q2 + 1) ,
d G0(x) q1
where y(x) = ln(G(x)) = denotes the digamma function.
dx G(x)

It follows that the Kullback–Leibler divergence between two Gamma distributions p l1 and pl2
with respective source parameters l1 = (a1, b1) and l2 = (a2, b2) is:

D p : p
KL a1,b1 a2,b2 = BF(q(l2) : q(l1)), (185)
= (a1 a2) y (a1) log G (a1) + log G (a2) (186)
b
b2 1
+a2 (log b1 log b2) + a1 . (187)
b1
2
The Fisher information matrix is Iq (q) = r F(q). It can be expressed using the l-parameterization [80] as:

" 1 #
b
2
b b

(188)
y1(a)
Il(a, b) = 1 a ,

where y1(x) is the trigamma function defined for x > 0 by:

2
d
y (x) := log G(x). (189)
1 dx2
Because the Fisher information matrix is not diagonal using the l-parameterization, we deduce that the
parameters a and b are correlated (non-orthogonal). In general, by mixing the natural parameters q with the
expectation parameters h of an exponential family, we obtain a block-diagonal Fisher information matrix [2,80].
That is, let d = (q1, . . . , ql , h1, . . . , hD l ) be a mixed primal/dual coordinate system for l 2 f1, . . . , D 1g where D
is the order of the family (or the dimension of the dually flat space). Then the Fisher information matrix I d(d) for
the mixed parameterization is block diagonal. Thus we can always diagonalize the Fisher information matrix of
an exponential family of order 2. For example, for the gamma manifold, let us choose the reparameterization d1
= ab and d2 = a. Then we have the Fisher information matrix that rewrites as:
" 1
Id(d) = 01 y1(d2) #
d2

d
2
0 . (190)
d
2

The parameters d1 and d2 are not correlated and orthogonal since the FIM is diagonal.
The numerical evaluation of the Fisher–Rao distance between two gamma distributions has been
a
studied in [81]. Let w = log b . The length element is shown to be in this (a, w) parameterization:
 2 1 2 2
ds = y1(a) (da) + a(dw) . (191)
a

However, no closed-form expression is known for the Fisher–Rao distance between two gamma
distributions because of the intractability of the geodesic equations on the gamma Fisher–Rao
manifold [81]. This example highlights the fact that computing the Fisher–Rao distance for simple
family of distributions can be challenging. In fact, we do not know the Fisher–Rao distance between
any two multivariate Gaussian distibutions [82] (except in a few cases including the univariate case).

3
In general, dually flat spaces can be built from any strictly convex C generator F. Vinberg and
Koszul [48] showed how to obtain such a convex generator for homogeneous cones. A cone C in a
vector space V yields a dual cone of positive linear functionals in the dual vector space V :

C := fw 2 V : 8v 2 C, w(v) 0g . (192)
Entropy 2020, 22, 1100 36 of 61

The characteristic function of the cone is defined by

Z
cC (q) := C exp( w(q))dw 0, (193)
and the function log cC (q) defines a Bregman generator which induces a Hessian structure and a
dually flat space.
Figure 11 displays the main types of information manifolds encountered in information
geometry with their relationships.

4. Some Applications of Information Geometry

Information geometry [2] found broad applications in information sciences. For example, we
can mention:

• Statistics: Asymptotic inference, Expectation-Maximization (EM and the novel information-

geometric em), time series (AutoRegressive Moving Average model, ARMA) models,

• Pattern recognition [83] and machine learning: Restricted Boltzmann machines [2] (RBMs),
neuromanifolds [84] and natural gradient [85],
• Signal processing: Principal Component Analysis (PCA), Independent Component Analysis
(ICA), Non-negative Matrix Factorization (NMF),
• Mathematical programming: Barrier function of interior point methods,
• Game theory: Score functions.

Next, we shall describe a few applications, starting with the celebrated natural gradient descent.

4.1. Natural Gradient in Riemannian Space

The Natural Gradient [86] (NG) is an extension of the ordinary (Cartesian) gradient of
Euclidean geometry to the gradient in a Riemannian space analyzed in an arbitrary coordinate
system. We explain the natural gradient

4.1.1. The Vanilla Gradient Descent Method

Given a real-valued function Lq (q) parameterized by a a D-dimensional vector q on parameter

D
space q 2 Q R , we wish to minimize Lq , i.e., solve minq2Q Lq (q). The gradient descent (GD)
method, also called the steepest descent method, is a first-order local optimization procedure which
starts by initializing the parameter to an arbitrary value (say, q0 2 Q), and then iteratively updates at
stage t the current location of qt to qt+1 as follows:

GD : qt+1 = qt atrq Lq (qt). (194)

The scalar at > 0 is called the step size or learning rate in machine learning. The ordinary
gradient (OG) rq Fq (q) (vector of partial derivatives) represents the steepest vector at q of the
function graph Lq = f(q, Lq (q)) : q 2 Qg. The GD method was pioneered by Cauchy [87] (1847) and its
convergence proof to a stationary point was first reported in Curry [88] (1944).
If we reparameterize the function Lq using a one-to-one and onto differentiable mapping h = h(q)
(with reciprocal inverse mapping q = q(h)), the GD update rule transforms as:

ht+1 = ht atrh Lh (ht), (195)

where
Lh (h) := Lq (q(h)). (196)
Entropy 2020, 22, 1100 37 of 61

Smooth Manifolds
Conjugate Connection Manifolds LC = r+r
r 2 Riemannian Manifolds
(M; g; r; r ) LC
(M; g) = (M; g; )
(M; g; C = Self-dual Manifold r
1+ 1
r = 2 r+ 2 r
(M; g; r ;r ) =2C
(M; g; C) Divergence Manifold Fisher-Riemannian g = Fisherg
g D D D Fisher
(M; D ; r; r = r) Manifold gij = E[@il@jl]
D D
r at , r at
I[p : p 0] = D( :
0
) Multinomial
Parametric family Location-scale
families KL on exponential families family
KL on mixture families
Conformal divergences on deformed families
f-divergences Etc. Bregman divergence
Location
Expected Manifold canonical family
Fisher
(M; g; r ; r ) divergence Spherical Manifold Hyperbolic Manifold
-geometry Dually at Manifolds
(M;F;F )
(Hessian Manifolds) Euclidean Manifold
Cubic skewness tensor Dual Legendre potentials
Cijk = E[@il@jl@kl] Bregman Pythagorean theorem
C = r Fisherg
Distance = Non-metric divergence Distance = Metric geodesic length

Figure 11. Overview of the main types of information manifolds with their relationships in information geometry.
Entropy 2020, 22, 1100 38 of 61

Thus in general, the two gradient descent location sequences fqtgt and fhtgt (initialized at q0 =
q(h0) and h0 = h(q0)) are different (because usually h(q) 6= q), and the two GDs may potentially
reach different stationary points. In other words, the GD local optimization depends on the choice of
the parameterization of the function L (i.e., L q or Lh ). For example, minimizing with the gradient
descent a temperature function L q (q) with respect to Celsius degrees q may yield a different result
than minimizing the same temperature function L h (h) = Lq (q(h)) expressed with respect to
Fahrenheit degrees h. That is, the GD optimization is extrinsic since it depends on the choice of the
parameterization of the function, and does not take into account the underlying geometry of the
parameter space Q.
The natural gradient precisely addresses this problem and solves it by choosing intrinsically the
steepest direction with respect to a Riemannian metric tensor field on the parameter manifold. We
shall explain the natural gradient descent method and highlight its connections with the Riemannian
gradient descent, the mirror descent and even the ordinary gradient descent when the parameter
space is dually flat.

4.1.2. Natural Gradient and Its Connection with the Riemannian Gradient
Let (M, g) be a D-dimensional Riemannian space [10] equipped with a metric tensor g, and L 2
¥
C (M) a smooth function to minimize on the manifold M. The Riemannian gradient [89] uses the
Riemannian exponential map expp : Tp ! M to update the sequence of points p t’s on the manifold as
follows:
p = exp (
RG : t+1 pt atrM L(pt)), (197)
where the Riemannian gradient rM is defined according to a directional derivative rv by:
rM L(p) := rv L expp(v) v=0 , (198)

with
( ) := lim L(p + hv) L(p) . (199)
rv L p h 0 h
!
However, the Riemannian exponential mapping exp p( ) is often computationally intractable since it
requires to solve a system of second-order differential equations [10,22]. Thus instead of using expp, we
D
shall rather use a computable Euclidean retraction R : T p ! R of the exponential map expressed
in a local q-coordinate system as:

RetG : qt+1 = Rqt ( atrq Lq (qt)) . (200)

Using the retraction [22] Rp(v) = p + v which corresponds to a first-order Taylor approximation
of the exponential map, we recover the natural gradient descent [86]:
1
NG : qt+1 = qt at gq (qt)rq Lq (qt). (201)

The natural gradient [86] (NG)

NG 1
rLq (q) := gq (q)rq Lq (q) (202)

encodes the Riemannian steepest descent vector, and the natural gradient descent method yields
the following update rule
NG
NG : qt+1 = qt at rLq (qt). (203)
Notice that the natural gradient is a contravariant vector while the ordinary gradient is a covariant
vector. Recall that a covariant vector [v i] is transformed into a contravariant vector [v i] by vi = åj gijvi, that is
by using the dual Riemannian metric gh (h) = gq (q) 1. The natural gradient is invariant under
Entropy 2020, 22, 1100 39 of 61

an invertible smooth change of parameterization. However, the natural gradient descent does not
guarantee that the locations qt’s always stay on the manifold: Indeed, it may happen that for some t,
D
qt 62Q when Q 6= R .
Property 5 ([89]). The natural gradient descent approximates the intrinsic Riemannian gradient
descent using a contravariant gradient vector induced by the Riemannian metric tensor g. The
natural gradient is invariant to coordinate transformations.

Next, we shall explain how the natural gradient descent is related to the mirror descent and the
ordinary gradient when the Riemannian space Q is dually flat.

4.1.3. Natural Gradient in Dually Flat Spaces: Connections to Bregman Mirror Descent
and Ordinary Gradient
Recall that a dually flat space (M, g, r, r ) is a manifold M equipped with a pair (r, r ) of dual torsion-
free flat connections which are coupled to the Riemannian metric tensor g [2,90] in the sense
r+r LC LC
that = r, where r denotes the unique metric torsion-free Levi–Civita connection.
2
On a dually flat space, there exists a pair of dual global Hessian structures [ 48] with dual
canonical Bregman divergences [2,91]. The dual Riemannian metrics can be expressed as the
Hessians of dual convex potential functions F and F . Examples of Hessian manifolds are the
manifolds of exponential families or the manifolds of mixture families [92]. On a dually flat space
3
induced by a strictly convex and C function F (Bregman generator), we have two dual global
coordinate system: q(h) = rF (h) and h(q) = rF(q), where F denotes the Legendre–Fenchel convex
conjugate function [51,93]. The Hessian metric expressed in the primal q-coordinate system is gq
2 2
(q) = r F(q), and the dual Hessian metric expressed in the dual coordinate system is g h (h) = r F
(h). Crouzeix’s identity [36] shows that gq (q)gh (h) = I, where I denotes the D D matrix identity.
The ordinary gradient descent method can be extended using a proximity function F( , ) as follows:
t+1 arg q2Q h , rLq t i at
F
, t .

PGD : q = min q (q ) + (q q ) (204)

1

2
When F(q, qt) = 12 kq qtk , the PGD update rule becomes the ordinary GD update rule.
Consider a Bregman divergence [91] BF for the proximity function F: F(p, q) = BF(p : q).
Then the PGD yields the following mirror descent (MD):
B
t+1 arg q2Q h , rL t i at F : t .
MD : q = min q (q ) + (q q ) (205)
1

This mirror descent can be interpreted as a natural gradient descent as follows:

2
Property 6 ([94]). Bregman mirror descent on the Hessian manifold (M, g = r F(q)) is equivalent to
2
natural gradient descent on the dual Hessian manifold (M, g = r F(h)), where F is a Bregman
generator, h = rF(q) and q = rF (h).
Indeed, the mirror descent rule yields the following natural gradient update rule:

NG : ht+1 = ht at(gh ) 1(ht)rh Lq (q(ht)), (206)

h
= t at(gh ) 1(ht)rh Lh (ht), (207)
2 2 1
where gh (h) = r F (h) = (r q F(q)) and q(h) = rF (q).
The method is called mirror descent [95] because it performs that gradient step in the dual
space (i.e., mirror space) H = fh = rF(q) : q 2 Qg, and thus solves the inconsistency
Entropy 2020, 22, 1100 40 of 61

contravariant/covariant type problem of subtracting a covariant vector from a contravariant vector of

the ordinary GD (Equation (194)).
Let us prove now the following property of the natural gradient in a dually flat space or
Bregman manifold [90]:

Property 7 ([96]). In a dually flat space induced by potential convex function F, the natural gradient amounts to
NG
the ordinary gradient on the dually parameterized function: rLq (q) = rh Lh (h) where h = rq F(q)
and Lh (h) = Lq (q(h)).

2
Proof. Let (M, g, r, r ) be a dually flat space. We have g q (q) = r F(q) = rq rq F(q) = rq h since
h = rq F(q). The function to minimize can be written either as Lq (q) = Lq (q(h)) or as Lh (h) = Lh (h(q)).
Recall the chain rule in the calculus of differentiation:

rq Lq (q) = rq (Lh (h(q))) = (rq h)(rh Lh (h)). (208)

Thus we have:

NG g 1
rLq (q) := q (q)rq Lq (q), (209)
1
= (rq h) (rq h)rh Lh (h), (210)
= rh L h ( h ). (211)

It follows that the natural gradient descent on a loss function L q (q) amounts to an ordinary
gradient descent on the dually parameterized loss function L h (h) := Lq (q(h)). In short,
NG
rq Lq = rh Lh .

4.1.4. An Application of the Natural Gradient: Natural Evolution Strategies (NESs)

A nice family of applications of the natural gradient is the Natural Evolution Strategies (NESs)
d
for black-box minimization [97]. Let f (x) for x 2 X R be a real-valued function to minimize. Berny
[98] proposed to relax the optimization problem min x2X f (x) by considering a parametric search
distribution pl, and minimize instead:

min Epl [ f (x)], (212)

l2L
D
where l 2 L R denotes the parameter space of the search distributions. Let J (l) =
E pl [ f (x)]. Minimizing J(l) instead of f (x) is particularly useful when X is a discrete space: Indeed, the
combinatorial optimization [98] minx2X f (x) is replaced by a continuous optimization minl2L J(l) when L is
a continuous parameter, and the ordinary or natural GD methods can be used. The gradient rJ( l) is called
the search gradient, and it can be approximated stochastically using the log-likelihood
trick [99] as
1 n
J(l) := n å f (xi)r log pl(xi) rJ(l), (213)
r i=1
where x1, . . . , xn pl. Similarly, the Fisher information matrix (FIM) may be approximated by the
following empirical FIM:

˜ 1 n
I (l) = n å rlll(xi)(rlll(xi))> I(l), (214)
i=1

where ll(x) := log pl(x) denote the log-likelihood function. Notice that the approximated FIM may
potentially be degenerated and may not respect the structure of the true FIM. For example,
Entropy 2020, 22, 1100 41 of 61

2 x m (x m)
2
1 ˜
we have rml(x; m, s )= s2 and rs2 =
4
2s 2s
2 . The non-diagonal of the approximate FIM I (l)
2 1 1
are close to but usually non-zero although the expected FIM is diagonal I(m, s ) = diag s
2
, 2s4
less than a
.
Thus we may estimate the FIM until the non-diagonal elements have absolute values
1
prescribed e > 0. For multivariate normals, we have rml(x; m, S) = S (x m) and rSl(x; m, S) =
1 > 1
2 (rml(x; m, S)rml(x; m, S) S ).

4.2. Some Illustrating Applications of Dually Flat Manifolds

In this part, we describe how to use the dually flat structures for handling an exponential family
E (in a hypothesis testing problem detailed in Section 4.3) and the mixture family M (clustering
statistical mixtures Section 4.4). Note that for a general divergence, neither (E, D) nor (M, D) is
dually flat. However, when D = KL, the Kullback–Leibler divergence, we get dually flat spaces that
are computationally attractive since the primal/dual geodesics are straight lines in the corresponding
global affine coordinate system.

4.3. Hypothesis Testing in the Dually Flat Exponential Family Manifold (E, KL )

Given two probability distributions P 0 p0(x) and P1 p1(x), we ask to classify a set of iid.
observations X1:n = fx1, . . . , xng as either sampled from P0 or from P1? This is a statistical decision
problem [100]. For example, P0 can represent the signal distribution and P 1 the noise distribution.
Figure 12 displays the probability distributions and the unavoidable error that is made by any
statistical decision rule (on observations x1 and x2).

p1(x)
p0(x)

x
x1 x2
Figure 12. Statistical Bayesian hypothesis testing: the best Maximum A Posteriori (MAP) rule
chooses to classify an observation from the class that yields the maximum likelihood.
Assume that both distributions P0 Pq0 and P1 Pq1 belong to the same exponential family
E = fPq : q 2 Qg, and consider the exponential family manifold with the dually flat structure (E, E g, E
e m
r , E r ). That is, the manifold equipped with the Fisher information metric tensor field and the expected
exponential connection and conjugate expected mixture connection. More generally, the expected a-
geometry of an exponential family E with cumulant function F is given by:
gij(q) = ¶i¶j F(q), (215)
1 a
a
Gij ,k = 2 ¶i¶j¶k F(q). (216)
a 1 1
When a = 1, Gij ,k = 0 and r is flat, and so is r by using the fundamental theorem of information
geometry.
The 1-structure can also be derived from a divergence manifold structure by choosing the
reverse Kullback–Leibler divergence KL :

e m
(E, E g, E r , E r ) (E, KL ). (217)
Therefore, the Kullback–Leibler divergence KL[P q : Pq0 ] amounts to a Bregman divergence
(for the cumulant function of the exponential family):

0
KL [Pq0 : Pq ] = KL[Pq : Pq0 ] = BF(q : q). (218)
Entropy 2020, 22, 1100 42 of 61

The best exponent error a of the best Maximum A Priori (MAP) decision rule is found by
minimizing the Bhattacharyya distance to get the Chernoff information [101]:
Z
CP1 , P2 log a2(0,1) x2X p1 x p2 xd x 0.

[ ]= min a( ) 1 a( ) m( ) (219)
On the exponential family manifold E, the Bhattacharyya distance:
Z
a 1 a
Ba[p1 : p2] = log x2X p1 (x)p 2 (x)dm(x), (220)

amounts to a skew Jensen parameter divergence [102] (also called Burbea-Rao divergence):

a
JF (q1 : q2) = aF(q1) + (1 a)F(q2) F(q1 + (1 a)q2). (221)

It can be shown that the Chernoff information [100,103,104] (that minimizes a) is equivalent to
a Bregman divergence: Namely, the Bregman divergence for exponential families at the optimal
exponent value a .

Theorem 10 (Chernoff information [100]). The Chernoff information between two distributions
belonging to the same exponential family amount to a Bregman divergence:

a a
C[Pq1 : Pq2 ] = B(q1 : q12 ) = B(q2 : q12 ), (222)
a
where q12 = (1 a)q1 + aq2, and a denote the best exponent error.

a
Let q12 := q12 denote the best exponent error. The geometry [100] of the best error exponent
can be explained on the dually flat exponential family manifold as follows:

P = Pq = Ge(P1, P2) Bim(P1, P2), (223)

12 \
where Ge denotes the exponential geodesic gre and Bim the m-bisector:

>
Bim(P1, P2) = fP : F(q1) F(q2) + h(P) (q2 q1) = 0g. (224)
Figure 13 illustrates how to retrieve the best error exponent from an exponential arc (q-
geodesic) intersecting the m-bisector.

m-bisector -coordinate system

Bi (P ;P )
m 1 2

e-geodesic G (P ;P )
p 12 e 1 2

p
P 12 2

p
1
C( 1: 2)=B( 1: 12)

Figure 13. Exact geometric characterization (not necessarily i closed-form) of the best exponent
error rate a .

Furthermore, instead of considering two distributions for this statistical binary decision problem, we
may consider a set of n distributions of P 1, . . . , Pn 2 E. The geometry of the error exponent in this
multiple hypothesis testing setting has been investigated in [105]. On the dually flat exponential family
Entropy 2020, 22, 1100 43 of 61

manifold, it corresponds to check the exponential arcs between natural neighbors (sharing Voronoi
subfaces) of a Bregman Voronoi diagram [40]. See Figure 14 for an illustration.

-coordinate system

Cherno distribution between

natural neighbours
Figure 14. Geometric characterization of the best exponent error rate in the multiple hypothesis
testing case.

4.4. Clustering Mixtures in the Dually Flat Mixture Family Manifold (M, KL)

Given a set of k prescribed statistical distributions p0(x), . . . , pk 1(x), all sharing the same support
X (say, R), a mixture family M of order D = k 1 consists of all strictly convex combinations of these
component distributions [56]:
M ( i=1 i=1 ! i=1 )

q
k 1
:= m(x; q) = å qi pi(x) + 1 k 1 å
i p0(x) such that qi > 0, å qi < 1
k 1
.(225)
Figure 15 displays two mixtures obtained as convex combinations of prescribed Laplacian,
Gaussian and Cauchy component distributions (D = 2). When considering a set of prescribed
Gaussian component distributions, we obtain a w-Gaussian Mixture Model, or w-GMM for short.

0.5
M1
M2
0.45 Gaussian(-2,1)
Cauchy(2,1)
Laplace(0,1)
0.4

0.35

0.3

0.25

0.2

0.15

0.1

0.05

0
-4 -2 0 2 4 6 8

Figure 15. Example of a mixture family of order D = 2 (3 components: Laplacian, Gaussian and
Cauchy prefixed distributions).
Entropy 2020, 22, 1100 44 of 61

M Mm Me
We consider the expected information manifold (M, g, r , r ) which is dually flat and
equivalent to (MQ, KL). That is, the KL between two mixtures with prescribed components (w-
mixtures, for short) is equivalent to a Bregman divergence for F(q) = h(mq ), where h(p) =
R

p(x) log p(x)dm(x) is the differential Shannon information (negative entropy) [56]:

KL[mq1 : mq2 ] = BF(q1 : q2). (226)

Consider a set fmq1 , . . . , mqn g of n w-mixtures [56]. Because F(q) = h(m(x; q)) is the negative
differential entropy of a mixture (not available in closed form [106]), we approximate the untractable F
˜
by another close tractable generator . We use Monte Carlo stochastic sampling to get Monte-Carlo
F
˜
convex FS for an independent and identically distributed sample S.

˜ ˜
Thus we can build a nested sequence (M, FS1 ), . . . , (M, FSm ) of tractable dually flat manifolds

for nested sample sets S1. . .Sm converging

M
˜
M
to the ideal mixture manifold (M, F):
limm!¥( , FSm ) = ( , F) (where convergence is defined with respect to the induced canonical Bregman
divergence). A key advantage of this approach is that for a given sample S, all computations
M˜

carried inside the dually flat manifold ( , FS ) are consistent, see [56].
For example, we can apply Bregman k-means [107] on these Monte Carlo dually flat spaces
[108] of w-GMMs (Gaussian Mixture Models) to cluster a set of w-GMMs. Figure 16 displays the
result of such a clustering.

0.25

0.2

0.15

0.1

0.05

0
-4 -2 0 2 4

Figure 16. Example of w-GMM clustering into k = 2 clusters.

We have briefly described two applications using dually flat manifolds: (1) the dually flat
exponential manifold induced by the statistical reverse Kullback–Leibler divergence on an
exponential family (structure (E, KL )), and (2) the dually flat mixture manifold induced by the
statistical Kullback–Leibler divergence on a mixture family (structure (M, KL)). There are many other
dually flat structures that can be met in a statistical context. For example, two other dually flat
structures for the D-dimensional probability simplex D D are reported in Amari’s textbook [2]: (1) the
conformally deforming of the a-geometry (page 88, Equation 4.95 of [2]), and (2) the c-escort
geometry (page 91, Equation 4.114 of [2]).

5. Conclusions: Summary, Historical Background, and Perspectives

5.1. Summary
We explained the dualistic nature of information manifolds (M, g, r, r ) in information geometry. The
dualistic structure is defined by a pair of conjugate connections coupled with the metric tensor that provides
a dual parallel transport that preserves the metric. We showed how to extend this structure to a 1-
parameter family of structures. From a pair of conjugate connections, the pipeline to build this 1-parameter
family of structures can be informally summarized as:
Entropy 2020, 22, 1100 45 of 61

a a
(M, g, r, r ) ) (M, g, C) ) (M, g, aC) ) (M, g, r , r ), 8a 2 R. (227)
We stated the fundamental theorem of information geometry on dual constant-curvature
manifolds, including the special but important case of dually flat manifolds on which there exists two
potential functions and global affine coordinate systems related by the Legendre–Fenchel
transformation. Although, information geometry historically started with the Riemannian modeling (P ,

P g) of a parametric family of probability distributions P by letting the metric tensor be the Fisher
information matrix, we have emphasized the dualistic view of information geometry which considers non-
Riemannian manifolds that can be derived from any divergence, and not necessarily tied to a statistical
context (e.g., information manifold can be used in mathematical programming [109]). Let us notice that for
any symmetric divergence (e.g. any symmetrized f -divergence like the squared Hellinger divergence),
the induced conjugate connections coincide with the Levi–Civita connection but the Fisher–Rao metric
distance does not coincide with the squared Hellinger divergence.
On one hand, a Riemannian metric distance D r is never a divergence because the rooted
distance functions fail to be smooth at the extremities but a squared Riemmanian metric distance is
d
always a divergence. On the other hand, taking the power d of a divergence D (i.e., D ) for some d
> 0 may yield a metric distance (e.g., the square root of the Jensen–Shannon divergence [ 110]), but
d
this may not always be the case: the powered Jeffreys divergence J is never a metric distance (see
[111], page 889). Recently, the Optimal Transport (OT) theory [112] gained interest in statistics and
machine learning. However, the optimal transport between two members of a same elliptically-
contoured family has the same optimal transport formula distance (see [113] Eq. 16 and Eq. 17,
although they have different Kullback–Leibler divergences). Another essential difference is that the
Fisher–Rao manifold of location-scale families is hyperbolic but the Wasserstein manifold of
location-scale families has positive curvature [113,114].
Notice that we may convert back and forth a similarity S(p, q) 2 (0, 1] to a dissimilarity D(p, q) 2
[0, ¥) as follows:

S(p, q) = exp ( D(p, q)) 2 (0, 1], (228)

D(p, q) = log (S(p, q)) 2 [0, ¥). (229)
When the dissimilarity satisfies the (additive) triangle inequality (i.e., D(p, q) + D(q, r) D(p, r) for any
triple (p, q, r)) then the corresponding similarity satisfies the multiplicative triangle inequality: S(p, q)
S(q, r) S(p, r). A metric transform on a metric distance D is a transformation T such that T(D(p, q)) is
1
a metric. The transformation T(u) = 1+ u is a metric transform which bounds potentially
D(p,q)
unbounded metric distances; that is, if D is an unbounded metric, then T(D(p, q)) = is a
1+D(p,q)
2
bounded metric distance. The transformation S(u) = u is not a metric transform since the squared
of the Euclidean metric distance is not a metric distance.

5.2. A Brief Historical Review of Information Geometry

The field of Information Geometry (IG) was historically motivated by providing some differential-
geometric structures to statistical models in order to reason geometrically about statistical problems
with the endeavor goal of geometrizing mathematical statistics [4,12–14,115–118]: Professor Harold
Hotelling [65] first considered in the late 1920s the Fisher Information Matrix (FIM) I as a
Riemannian metric tensor g (i.e., the Fisher Information metric, FIm), and interpreted a parametric
family of probability distributions M as a Riemannian manifold (M, g). Historically speaking, Hotelling
attended the American Mathematical Society’s Annual Meeting in Bethlehem (Pennsylvania, USA)
on 26–29 December 1929, but left before his scheduled talk on December 27. His handwritten notes
on the “Spaces of Statistical Parameters” was read by a colleague and are fully typeset in [68]. We
warmly thank Professor Stigler for sending us the scanned handwritten notes and for discussing by emails
some historical aspects of the birth of information geometry. In this pioneering work,
Entropy 2020, 22, 1100 46 of 61

Hotelling mentioned that location-scale probability families yield Riemannian manifolds of constant
non-positive curvatures. This Riemannian modeling of parametric family of densities was further
independently studied by Calyampudi Radhakrishna Rao (C.R. Rao) in his celebrated paper [ 66]
(1945) that also includes the Cramér–Rao lower bound [51] and the Rao–Blackwellization technique
used in statistics. Nowadays the induced Riemannian metric distance is often called the Fisher–Rao
distance [119] or Rao distance [81]. Yet another use of Riemannian geometry in statistics was
pioneered by Harold Jeffreys [70] that proposed to use as an invariant prior the normalized volume
element of the Fisher–Riemannian manifold. In those seminal papers, there was no theoretical
justification of using the Fisher information matrix as a metric tensor (besides the fact that it is a
well-defined positive-definite matrix for regular identifiable models). Nowadays, this Riemmanian
metric tensor is called the information metric for short. Modern information geometry considers a
generalization of this approach using a non-Riemannian dualistic modeling (M, g, r, r ) which
LC
coincides with the Riemannian manifold when r = r = r, the Levi–Civita connection (the unique
torsion-free affine connection compatible with the metric tensor). The Fisher–Rao geometry has also
been explored in thermodynamics yielding the Ruppeiner geometry [120], and the geometry of
thermodynamics is called nowadays called geometrothermodynamics [121].
ˇ

In the 1960s, Nikolai Chentsov (also commonly written Cencov) studied the algebraic category
of all statistical decision rules with its induced geometric structures: Namely, the a-geometries
(“equivalent differential geometry”) and the dually flat manifolds (“Nonsymmetric Pythagorean
geometry” of the exponential families with respect to the Kullback–Leibler divergence). In the
preface of the english translation of his 1972 russian monograph [115], the field of investigation is
defined as “geometrical statistics.” However in the original Russian monograph, Chentsov used the
russian term geometrostatistics. According to Professor Alexander Holevo, the geometrostatistics
term was coined by Andrey Kolmogorov to define the field of differential geometry of statistical
models. In the monograph of Chentsov [115], the Fisher information metric is shown to be the
unique metric tensor (up to a scaling factor) yielding statistical invariance under Markov morphisms
(see [57] for a simpler proof that generalizes to positive measures).
The dual nature of the information geometry was thoroughly investigated by Professor Shun-
ichi Amari [122]. In the preface of his 1985 monograph [116], Professor Amari coined the term
information geometry as follows: “The differential-geometrical method developed in statistics is also
applicable to other fields of sciences such as information theory and systems theory... They together
will open a new field, which I would like to call information geometry.” Professor Amari mentioned in
[116] that he considered the Gaussian Riemannian manifold as a hyperbolic manifold in 1959, and
was strongly influenced by Efron’s paper on statistical curvature [123] (1975) to study the family of
a-connections in the 1980s [122,124]. Professor Amari prepared his PhD under the supervision of
Professor Kondo [125], an expert of differential geometry in touch with Professor Kawaguchi [126].
The role of differential geometry in statistics has been discussed in [127].
Note that the dual affine connections of information geometry have also been investigated
independently in affine differential geometry [128] which considers invariance under volume-
preserving affine transformations by defining a volume form instead of a metric form for Riemannian
geometry. The notion of dual parallel transport compatible with the metric is due to Aleksandr
Norden [129] and Rabindra Nath Sen [130–132] (see the Senian geometry in
http://insaindia.res.in/detail/N54-0728).
Entropy 2020, 22, 1100 47 of 61

We summarize the main fundamental structures of information manifolds below:

(M, g) Riemannian manifold
(P, P g) Fisher–Riemannian (expected) Riemannian manifold
(M, g, r) Riemannian manifold (M, g) with affine connection r
e a
(P, P g, P r ) Chentsov’s manifold with affine exponential a-connection
(M, g, r, r ) Amari’s dualistic information manifold
a a
(P, P g, P r , P r ) Amari’s (expected) information a-manifold, a-geometry
(M, g, C) Lauritzen’s statistical manifold [29]
D D D
(M, g, r, r) Eguchi’s conjugate connection manifold induced by divergence D
F F
(M, g, C) Chentsov/Amari’s dually flat manifold induced by convex potential F
We use the symbol to denote the equivalence of geometric structures. For example, we have
LC LC LC
(M, g) (M, g, r, r= r).

5.3. Perspectives
We recommend the two recent textbooks [2,16] for an indepth covering of (parametric) information
geometry, and the book [133] for a thorough description of some infinite-dimensional statistical models.
(Japanese readers may refer to [134,135]) We did not report the various coefficients of the metric
tensors, Christoffel symbols and skewness tensors for the expected a-geometry of common parametric
models like the multivariate Gaussian distributions, the Gamma/Beta distributions, etc. They can be found
in [15,16] and in various articles dealing with less common family of distributions [15,64,136–140].
Although we have focused on the finite parametric setting, information geometry is also considering non-
parametric families of distributions [141], and quantum information geometry [142].
We have shown that we can always create an information manifold (M, D) from any divergence
function D. It is therefore important to consider generic classes of divergences in applications, that
are ideally axiomatized and shown to have exhaustive characteristics. The a-skewed Jensen
divergences [102] are defined by for a real-valued strictly convex function F(q) by:
a
JF (q1 : q2) := (1 a)F(q1) + aF(q2) F((1 a)q1 + aq2) > 0, (230)

(q2 : q1). F F
a 1 a
where both q1 and q2 belong to the parameter space Q. Clearly, we have J (q1 : q2) = J

1 a
JF (q1 : q2)
lim = BF(q1 : q2), (231)
+
a!0 a (1 a)
1 a
JF (q1 : q2)
lim = BF(q2 : q1), (232)
a!1 a(1 a)
where BF(q1 : q2) is the Bregman divergence [91] induced by a strictly convex and differentiable
function F(q):
0
BF(q1 : q2) := F(q1) F(q2) (q1 q2)F (q2). (233)
Appendix C further reports how to interpret geometrically these Jensen/Bregman divergences from
the chordal slope theorem. Beyond the three main Bregman/Csiszár/Jensen classes (theses
classes overlap [143]), we may also mention the class of conformal divergences [73,144,145], the
class of projective divergences [146,147], etc. Figure 17 illustrates the relationships between the
principal classes of distances.
There are many perspectives on information geometry as attested by the new Springer journal
(see online at https://www.springer.com/mathematics/geometry/journal/41884), and the biannual
international conference “Geometric Sciences of Information” (GSI) [148–150] with its collective
post-conference edited books [151,152]. We also mention the edited book [153] on the Occasion of
Shun-ichi Amari’s 80th birthday.
Entropy 2020, 22, 1100 48 of 61

Additional materials are available online at https://FrankNielsen.github.io/SurveyIG/

Dissimilarity measure

C3 Divergence

v Projective divergence
v-Divergence D
double sided
one-sided
scaled conformal divergence CD;g( : ; ) -divergence
0 0 0
D( p : p ) = D(p : p )
Hyvarinen SM/RM
0 0
D( p : p ) = D(p : p )

conformal divergence CD;g( : ) scaled Bregman divergence BF ( : ; )

total Bregman divergence tB( : ) Bregman divergence BF ( : ) Csiszar f-divergence If ( : )

BF (P:Q)
v
D (P : Q) = D(v(P ) : v(Q)) tBF (P : Q) = p 1+krF (Q)k2
 q(x) CD;g(P : Q) = g(Q)D(P : Q)
R
B (P : Q) = F (P ) Fp((Q) P Q; F(Q)

d (x)
P Q
B F;g(P : Q; W ) = W BF :

If (P : Q) = p(x)f ( x)

F h r i Q W
Figure 17. Principled classes of distances/divergences.

Funding: This research received no external funding.

Acknowledgments: FN would like to thank the organizers of the Geometry In Machine Learning workshop in
2018 (GiMLi, http://gimli.cc/2018/) for their kind keynote talk invitation, and specially Professor Søren Hauberg
(Technical University of Denmark, DTU). This survey is based on the talk given at GiMLi. I am very thankful to
Professor Stigler (University of Chicago, USA) and Professor Holevo (Steklov Mathematical Institute, Russia)
for providing me feedback on some historical aspects of the field of information geometry. Finally, I would like
to express my sincere thanks to Gaëtan Hadjeres (Sony Computer Science Laboratories Inc., Paris) for his
careful proofreading and feedback.
Conflicts of Interest: The author declare no conflict of interest.

Appendix A. Monte Carlo Estimations of f -Divergences

Let (X, F, m) be a probability space [154] with X denoting the sample space, F the s-algebra,
and m a reference positive measure. The f -divergence [62,63] between two probability measures P
and Q both absolutely continuous with respect to a positive measure m for a convex generator f : (0, ¥)
! R strictly convex at 1 and satisfying f (1) = 0 is
Z
If (P : Q) = If (p : q) = p(x) f p(x) dm(x), (A1)
q(x)

where P = pdm and Q = qdm (i.e., p and q denote the Radon-Nikodym derivatives with respect to m).
We use the following conventions:
+ uf a .
0f 0 0, f 0 u!0 fu 8a 0, 0 f 0 u!0+ u u!¥ u
0 = ( ) = lim ( ), > a = lim a = lim f (u) (A2)
Entropy 2020, 22, 1100 49 of 61

When f (u) = log u, we retrieve the Kullback–Leibler divergence (KLD):

p(x)

p(x) log q(x) m(x).

DKL(p : q) =
Z
(A3) d
The KLD is usually difficult to calculate in closed-form, say, for example, between statistical
mixture models [155]. A common technique is to estimate the KLD using Monte Carlo sampling using a
proposal distribution r:
n
1 p(xi) p(xi)
KLn(p : q) =
å log , (A4)

c n i =1 r(xi) q(xi)
where x1, . . . , xn iid r. When r is chosen as p, the KLD can be estimated as:
n
KLn(p : q) = 1 å log p(xi) . (A5)
n
c i=1 q(xi)
Monte Carlo estimators are consistent under mild conditions: lim n!¥ KLcn(p : q) = KL(p : q).
In practice, one problem when implementing Equation (A5), is that we may end up potentially
with KLcn(p : q) < 0. This may have disastrous consequences as algorithms implemented by
programs consider non-negative divergences to execute a correct workflow. The potential negative
value problem of Equation (A5) comes from the fact that å i p(xi) 6= 1 and åi q(xi) 6= 1. One way to
circumvent this problem is to consider the extended f -divergences:

Definition A1 (Extended f -divergence). The extended f -divergence for a convex generator f , strictly
convex at 1 and satisfying f (1) = 0 is defined by
Z 0
e
I f (p : q) = p(x) f p(x) f (1) p(x) 1 dm(x). (A6)
q(x) q(x)

Indeed, for a strictly convex generator f , let us consider the scalar Bregman divergence [91]:

0 (A7)
Bf (a : b) = f (a) f (b) (a b) f (b) 0.
q(x)
Setting a = and b = 1 in Equation (A7), and using the fact that f (1) = 0, we get
p(x)
f p(x) p(x) 1 f 0(1) 0.
q(x) q(x)
(A8)

Therefore we define the extended f -divergences as

Z
p(x)Bf p(x) : 1
e
I f (p : q) = dm(x) 0.
q(x) (A9)

That is, the formula for the extended f -divergences is

e Z 1
I f (p : q) = p(x) f p(x) f 0(1) p(x) dm(x) 0. (A10)
q(x) q(x)

Then we estimate the extended f -divergence using importance sampling of the integral with
respect to distribution r, using n variates x1, . . . , xn iid p as:
n
1
n i=1
q(xi)
p(xi)
q(xi)
p(xi)

ˆ 0
I f ,n(p : q) = åf f (1) 1 0. (A11)
Entropy 2020, 22, 1100 50 of 61

For example, for the KLD, we obtain the following Monte Carlo estimator:
n
KLn(p : q) = 1
n
å log p(xi) + q(xi) 1 0, (A12)
i=1
q(x i ) p(x i )

c
since the extended KLD is
DKLe (p : q) =
Z p(x) log q(x) + q(x) p(x) dm(x). (A13)
p(x)

Equation (A12) can be interpreted as a sum of scalar Itakura–Saito divergences since the Itakura–
1 n
Saito divergence is scale-invariant: KLcn(p : q) = n åi =1 DIS(p(xi) : q(xi)) with the scalar Itakura–
Saito divergence
a a a

DIS(a : b) = DIS b : 1 =b log b 1 0, (A14)

a Bregman divergence obtained for the generator f (u) = log u.
Notice that the extended f -divergence is a f -divergence for the generator

0
fe(u) = f (u) f (1)(u 1). (A15)
0 e
We check that the generator fe satisfies both f (1) = 0 and f (1) = 0, and we have I f (p : q) = Ife (p : q).
e
Thus DKLe (p : q) = IfKLe (p : q) with fKL (u) = log u + u 1.
Let us remark that we only need to have the scalar function strictly convex at 1 to ensure that
a
Bf b : 1 0. Indeed, we may use the definition of Bregman divergences extended to strictly convex
functions but not necessarily smooth functions [156,157]:
B
f (x : y ) = max )f f (x ) f (y ) (x y )g (y )g, (A16)
() ¶ (

gy 2 f y

where ¶ f (y) denotes the subderivative of f at y.

0 (1) = (x)) =
Furthermore, noticing that Il f (p : q) = lIf (p : q) for l > 0, we may enforce that f 1, and
>
obtain a standard f -divergence [2] which enjoys the property that If (pq (x) : pq+dq dq I(q)dq,
pq gq of
where I(q) denotes the Fisher information matrix of the parameteric family f densities.

Appendix B. The Multivariate Gaussian Family: An Exponential Family

We report the canonical decomposition of the multivariate Gaussian [158] family fN(m, S) such that
m 2 Rd, S 0g following [159]. The multivariate Gaussian family is also called the MultiVariate Normal
family, or MVN family for short.
Let l := (lv, lM) = (m, S) denote the composite (vector,matrix) parameter of an MVN.
The d-dimensional MVN density is given by
p
(2p) 2 jlMj 2 M
1 1 > 1
pl(x; l) := d exp (x lv) l (x lv) , (A17)

where j j denotes the matrix determinant. The natural parameters q are also expressed using both a
vector parameter qv and a matrix parameter qM in a compound object q = (qv, qM). By defining the
following compound inner product on a composite (vector,matrix) object

0 > 0 0 >
hq, q i := qv qv + tr q M qM , (A18)
Entropy 2020, 22, 1100 51 of 61

where tr( ) denotes the matrix trace, we rewrite the MVN density of Equation ( A17) in the canonical
form of an exponential family [52]:

pq (x; q) := exp (ht(x), qi Fq (q)) = pl(x; l(q)), (A19)

1 1 1 1
where q = (q v, q M) = S
m, 2 S = q(l) = lM lv, 2 lM , (A20)
1 1

is the compound natural parameter and

>
t(x) = (x, xx ) (A21)
is the compound sufficient statistic. The function F q is the strictly convex and continuously
differentiable log-normalizer defined by:

1 1 > 1
Fq (q) = 2 d log p log jqMj + 2 qv qM qv ,
(A22)

The log-normalizer can be expressed using the ordinary parameters, l = (m, S), as:
1
Fl(l) = > 1 , (A23)
2 lv lM lv + log jlMj + d log 2p
1
= (A24)
> 1
2 m S m + log jSj + d log 2p .
The moment/expectation parameters [2] are

h = (hv, hM) = E[t(x)] = rF(q). (A25)

We report the conversion formula between the three types of coordinate systems (namely the
ordinary parameter l, the natural parameter q and the moment parameter h) as follows:
(
qM(l) = 21 lM1 = 21 S 1 , ( lM(q) = 1 1
2 qM =S
1 1 1
qv(l) = lM lv = S 1m lv(q) = 2 qM qv = m (A26)
(
hM(q) = 2 qM
1
1 1 1 1 1 >
4 (qM qv)(qM qv) ,
(
qM(h) = 1 > 1
2 (hM + hvhv )
1
hv(q) = 1
q qv qv(h) = (hM + hvh >) hv
2 M v (A27)
(
lM(h) = hM hvhv = S
>
,
(
hM(l) = lM lvlv
>
= S mm
>

lv(h) = hv = m hv(l) = lv = m (A28)

The dual Legendre convex conjugate [2] is

1
> 1
Fh (h) = 2 log(1 + hv hM hv) + log j hMj + d(1 + log 2p) , (A29)
and q = rh Fh (h).

We check the Fenchel-Young equality when h = rF(q) and q = rF (h):

q h h i

F (q ) + F ( h ) q, h = 0. (A30)
The Kullback-Leibler divergence between two d-dimensional Gaussians distributions p (m1,S1) and
p (with = m m ) is
(m2,S2) Dm 2 1

1 S2
KL(p : p ) = 1 > 1 j
(m1,S1) (m2,S2) 2 tr(S2 S 1) + D m S 2 Dm + log jj S1j d = KL(pl1 : pl2 ). (A31)
Entropy 2020, 22, 1100 52 of 61

1
We check that KL(p(m,S) : p(m,S)) = 0 since Dm = 0 and tr(S S) = tr(I) = d. Notice that when
S1 = S2 = S, we have
> 1 2
KL(p :p ) =1 D S D =1 D 1 ( m , m ), (A32)
m
(m1,S) (m2 ,S) 2 m 2S 1 2
1
that is half the squared Mahalanobis distance for the precision matrix S (a positive-definite matrix:
1
S 0), where the Mahalanobis distance is defined for any positive matrix Q 0 as follows:
q
>
DQ(p1 : p2) = (p1 p2) Q(p1 p2). (A33)
The Kullback–Leibler divergence between two probability densities of the same exponential
families amount to a Bregman divergence [2]:

KL(p : p ) = KL(p : p ) = B (q : q ) = B (h : h ),
(m1,S1) (m2,S2) l1 l2 F 2 1 F 1 2 (A34)
where the Bregman divergence is defined by

0 0 0 0
BF(q : q ) := F(q) F(q ) h q q , rF(q )i, (A35)
0 0
with h = rF(q ). Define the canonical divergence [2]

AF(q1 : h2) = F(q1) + F (h2) h q1, h2i = AF (h2 : q1), (A36)

since F = F. We have BF(q1 : q2) = AF(q1 : h2).

Appendix C. Skew Jensen Divergences and Bregman Divergences

First, let us interpret geometrically the skewed Jensen divergences and the Bregman
divergences using the chordal slope lemma of convexity theory [160] for univariate generators F:

Lemma A1 (Chordal slope lemma). Let F be a strictly convex function on interval I = (a, b) for a < b.
For any q1 < q < q2 in I, we have:

F(q) F (q1) <F (q2) F (q1) <F (q2) F(q) . (A37)

q q q q
q 1 2 1 2 q

That is, define the points P1 = (q1, F (q1)), P = (q, F(q)), and P2 = (q2, F (q2)). Then the chordal
slope lemma states that the slope of the chord [P 1P] is less than the slope of the chord [P1P2],
which is less than the slope of [PP2] (Figure A1).

slope(TP1 ) slope([P1P ]) < slope([P1P2]) < slope([P P2]) slope(TP2 )

0
F ( 1)
0
F() F(1) F( 2) F( 1) F(2) F() F ()
0 0
F ( 1) 1 < 2 1 < 2 F ( 2) 2

P2 = ( 2;F( 2))
P1 = ( 1;F( 1))

P =( ;F( ))

1 2

Figure A1. Illustration of the chordal slope lemma.

Entropy 2020, 22, 1100 53 of 61
 Let q = (1 a)q1 + aq2 for a 2 (0, 1). Then the inequalities of the chordal slope lemma can be
rewritten as:
F(q) F (q1) < F (q2) F (q1) , (A38)
a(q2 q1) (q2 q1)
F (q2) F (q1)
<
F (q2) F(q)
, (A39)
(q2 q1) (1 a)(q2 q1)
since q q1 = a(q2 q1) and q2 q = (1 a)(q2 q1). Thus we have:

F(q) F (q1) < a(F (q2) F (q1)), (A40)

(1 a)(F (q2) F (q1)) < F (q2) F(q), (A41)

or equivalently the following inequalities:

a(F (q2) F (q1)) F(q) + F (q1) > 0, (A42)

0 < F (q2) F(q) + (1 a)(F (q1) F (q2)). (A43)

That is, we recover for q1 < (1 a)q1 + aq2 < q2 (i.e., a 2 (0, 1) and q1 6= q2) the a-skewed
Jensen divergence [102]:

a
JF (q1 : q2) := (1 a)F(q1) + aF(q2) F((1 a)q1 + aq2) > 0. (A44)
Now, a consequence of the chordal slope lemma is that for a strictly convex and differentiable
function F, we have:
F(q2) F(q1)
0 q q 0
F (q1) 2 1 F (q2). (A45)
This can be geometrically visualized in Figure A1.
That is,

0
F(q2) F(q1) (q 2 q1)F (q1) 0, (A46)
0
F(q2) F(q1) (q 2 q1)F (q2) 0. (A47)
We recognize the expressions of the Bregman divergences [91]:

0
BF(q1 : q2) := F(q1) F(q2) (q1 q2)F (q2), (A48)
and get:

BF(q2 : q1) 0, (A49)

BF(q1 : q2) 0. (A50)
For multivariate strictly convex functions F, we observe that we can build a multivariate Bregman
divergence from a family of 1D Bregman divergences [161] induced by the 1D strictly convex functions
F ((1 l)q + q ):
q1,q2 1 2

Theorem A1. A multivariate Bregman divergence between two parameters q1 and q2 can be
expressed as a univariate Bregman divergence for the generator F q1,q2 induced by the parameters:

B (q : q ) = B (0 : 1),
F 1 2 Fq1,q2 8q1 6= q2, (A51)
where
Fq1,q2 (u) := F(q1 + u(q2 q1)). (A52)
Entropy 2020, 22, 1100 54 of 61

Proof. The functions fFq1,q2 g(q1,q2)2Q2 are 1D Bregman generators. Consider the directional derivative:

( ) = lim F(q1 + (e + u)(q2 q1)) F(q1 + u(q2 q1))

r
q2 q1
F
q1,q2 u : e
! 0 e , (A53)

>
= (q 2 q 1 ) rF (q 1 + u (q 2 q1)), (A54)
0
Since F ( 0 ) = F( q ), F (1) = F(q2), and F (u ) = F (u), it follows that
r
q1 ,q2 1 q1,q2 q1,q2 q2 q1 q1,q2
B (0 : 1) = F (0) F (1) 1)r F (1),
Fq1,q2 q1,q2 q1,q2 (0 q2 q1 q1,q2 (A55)
>
= F(q1) F(q2) + (q2 q1) rF(q2), (A56)
= BF(q1 : q2). (A57)

Notations
Below is a list of notations we used in this document:
[D] [D] := f1, . . . , Dg
h,i inner product
i j
MQ(u, v) = ku vkQ
Mahalanobis distance ( , )= ( i )( j ) , 0
0 MQ Q
D (q : q ) parameter divergence uv q åi,j u v u v ij Q
0
D[p(x) : p (x)] statistical divergence
D, D Divergence and dual (reverse) divergence
0
q
0 D
If (q : q ) := åi =1 qi f with f (1) = 0
i

q
Csiszár divergence If Bregman i
0 0 0> 0
BF (q : q ) := F(q) F(q ) (q q ) rF(q )
divergence BF Canonical 0 0 > 0
AF,F (q : h ) = F(q) + F (h ) q h
divergence AF,F Bhattacharyya a 1 a
Ba[p1 : p2] = log p (x)p (x)dm(x)
distance Jensen/Burbea-Rao J Fa

( ) x 2X 1
(q 1 : q 2) = aF(q 1R) + (1 a)F(q 2) F(q 1 + (1 a)q 2 )

2
divergence Chernoff information
a 1 a R
C[P1, P2] = log mina2(0,1)
x2X p1 (x)p2 (x)dm(x)
F, F Potential functions related by Legendre–Fenchel transformation
Dr(p, q) R 1 0
Riemannian distance Dr(p, q) := 0 kg (t)kg(t)dt
B, B basis, reciprocal basis
B = fe1 = ¶1, . . . , eD = ¶D natural basis
g fdxi gi covector basis (one-forms)
i contravariant components of vector v
(v)B := (v )
(v)B := (vi) u covariant components of vector v
?v vector u is perpendicular to vector v (hu, vi = 0)
p

kvk = hv, vi induced norm, length of a vector v

M, S Manifold, submanifold
Tp tangent plane at p
TM Tangent bundle TM = [p Tp = f(p, v), p 2 M, v 2 Tpg
F(M) space of smooth functions on M
X(M) = G(TM) space of smooth vector fields on M
vf direction derivative of f with respect to vector v
X, Y, Z 2 X(M) Vector fields
S
metric tensor (field)
g = gijdxi dxj
(U, x) local coordinates x in a chat U
¶ natural basis vector
¶i :=: ¶xi
i ¶ natural reciprocal basis vector
¶ :=: ¶x i
Entropy 2020, 22, 1100 55 of 61

r affine connection
rXr Y covariant derivative
Õ
c
parallel transport of vectors along a smooth curve c
Parallel transport of v 2 Tc(0) along a smooth curve
g, gr c geodesic, geodesic with respect to connection r
G
ij,l Christoffel symbols of the first kind (functions)
k
Gij Christoffel symbols of the second kind (functions)
R Riemann–Christoffel curvature tensor
[X, Y] Lie bracket [X, Y]( f ) = X(Y( f )) Y(X( f )), 8 f 2 F(M)
r-projection PS = arg minQ2S D(q(P) : q(Q))
r -projection PS = arg minQ2S D(q(Q) : q(P))
C Amari–Chentsov totally symmetric cubic 3-covariant tensor
P = fpq (x)gqi parametric family of probability distributions exponential
nQ E, M, DD family, mixture family, probability simplex Fisher
P I(q) information matrix of family P
P I(q) Fisher Information Matrix (FIM) for a parametric family P
g Fisher information metric tensor field
P
h i

e e
exponential connection P P r := Eq (¶i¶jl)(¶kl)
h i

m m
r mixture connection Pr Pr := Eq (¶i¶jl + ¶i l¶jl)(¶kl)
h i
expected skewness tensor Cijk := Eq ¶il¶jl¶kl
hi

Cijk expected a-connections a k 1+ a 1 a

P G ij := 2 Cijk = Eq ¶i ¶jl + 2 ¶il¶jl (¶kl)
equivalence of geometric structures

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