Convex solutions of a functional equation arising in information theory

Given a convex function f defined for positive real variables, the so-called Csiszár f-divergence is a function If defined for two n-dimensional probability vectors p=(p1,…,pn) and q=(q1,…,qn) as . For this generalized measure of entropy to have distance-like properties, especially symmetry, it is necessary for f to satisfy the following functional equation: for all x>0. In the present paper we determine all the convex solutions of this functional equation by proposing a way of generating all of them. In doing so, existing usual f-divergences are recovered and new ones are proposed.