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An Information-Theoretic View of Stochastic Localization

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 Added by Andrea Montanari
 Publication date 2021
and research's language is English




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Given a probability measure $mu$ over ${mathbb R}^n$, it is often useful to approximate it by the convex combination of a small number of probability measures, such that each component is close to a product measure. Recently, Ronen Eldan used a stochastic localization argument to prove a general decomposition result of this type. In Eldans theorem, the `number of components is characterized by the entropy of the mixture, and `closeness to product is characterized by the covariance matrix of each component. We present an elementary proof of Eldans theorem which makes use of an information theory (or estimation theory) interpretation. The proof is analogous to the one of an earlier decomposition result known as the `pinning lemma.



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