Single-constraint KL minimization reduces to 1-D bisection on the dual

caglar_ee · x · 2026-11-13

In a technical thread, the author notes that with a single linear expectation constraint, constrained KL minimization reduces to a 1-D convex problem in the dual variable, solvable by bisection. Optimal posteriors have the analytic form qₙ(yₙ, zₙ=k) ∝ p(yₙ, zₙ=k|xₙ)·exp(λₙwᵀyₙ), a Gaussian mixture with modified means and responsibilities.

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