Tight Lower Bounds for $α$-Divergences Under Moment Constraints and Relations Between Different $α$

The $\alpha$-divergences include Kullback-Leibler divergence, Hellinger distance and $\chi^2$-divergence. We derive differntial and integral relations between $\alpha$-divergences that are generalizations of the relation between the Kullback-Leibler divergence and the $\chi^2$-divergence. We also show tight lower bounds for $\alpha$-divergences under given means and variances. In particular, we show the necessary and sufficient condition such that the binary divergences, which are divergences between probability measures on the same $2$-point set, always attain lower bounds. Kullback-Leibler divergence, Hellinger distance, and $\chi^2$-divergence satisfy this condition.