The Bayesian Learning Rule Beyond KL Geometry

The Bayesian learning rule (BLR) exploits the relation between Bayesian updating and the Kullback-Leibler divergence (KLD) to derive efficient additive updates for exponential-family variational posteriors. The KL geometry is powerful but restrictive: combined with posterior families with parameter-dependent support it can lead to undefined objectives. We ask which non-KL geometries preserve the additive BLR computation. Previous works that use $f$-divergences suggest that this is only possible with KLD. Here, we show that this is not true. We show that additive information-geometric optimization algorithms can be derived for the class of mixed-space Bregman or Fenchel-Young discrepancies. These discrepancies induce generalized maximum entropy families, dual coordinates, and generalized BLR canonical gradient updates, recovering the classical BLR. The generalized BLR leads to new algorithms that cannot be derived from the KL-based BLR. For the Tsallis negentropy with quadratic statistics, the generalized BLR yields bounded-support and heavy-tailed $q$-Gaussian posteriors and an easy Newton-like implementation. Experiments up to CIFAR-100 illustrate controllable support and tail behavior and competitive performance.