Computation of Csiszár's mutual Information of order α

Csiszar introduced the mutual information of order alpha in [1] as a parameterized version of Shannon's mutual information. It involves a minimization over the probability space, and it cannot be computed in closed form. An alternating minimization algorithm for its computation is presented in this paper, along with a proof of its convergence. Furthermore, it is proved that the algorithm is an instance of the Csiszar-Tusnady iterative minimization procedure [2].