Two Types of Geometric Jensen-Shannon Divergences.

The geometric Jensen-Shannon divergence (G-JSD) has gained popularity in machine learning and information sciences thanks to its closed-form expression between Gaussian distributions. In this work, we introduce an alternative definition of the geometric Jensen-Shannon divergence tailored to positive densities which does not normalize geometric mixtures. This novel divergence is termed the extended G-JSD, as it applies to the more general case of positive measures. We explicitly report the gap between the extended G-JSD and the G-JSD when considering probability densities, and show how to express the G-JSD and extended G-JSD using the Jeffreys divergence and the Bhattacharyya distance or Bhattacharyya coefficient. The extended G-JSD is proven to be an f-divergence, which is a separable divergence satisfying information monotonicity and invariance in information geometry. We derive a corresponding closed-form formula for the two types of G-JSDs when considering the case of multivariate Gaussian distributions that is often met in applications. We consider Monte Carlo stochastic estimations and approximations of the two types of G-JSD using the projective γ-divergences. Although the square root of the JSD yields a metric distance, we show that this is no longer the case for the two types of G-JSD. Finally, we explain how these two types of geometric JSDs can be interpreted as regularizations of the ordinary JSD.