A Variational Formula for Infinity-Rényi Divergence with Applications to Information Leakage

We present a variational characterization for the Rényi divergence of order infinity. Our characterization is related to guessing: the objective functional is a ratio of maximal expected values of a gain function applied to the probability of correctly guessing an unknown random variable. An important aspect of our variational characterization is that it remains agnostic to the particular gain function considered, as long as it satisfies some regularity conditions. Also, we define two variants of a tunable measure of information leakage, the maximal $α$-leakage, and obtain closed-form expressions for these information measures by leveraging our variational characterization.

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