Kullback–Leibler divergence is written as $$\sum_{i=1}^\infty p_i \log\left(\frac{p_i}{q_i}\right).$$ With $p_i$ as a variable, now Mosek, touts that the epigraph of this divergence function, which is $\displaystyle\sum_{i=1}^\infty p_i \log\left(\frac{p_i}{q_i}\right) \leq z $, can be written as an exponential cone. Can somebody show me how?
By the way exponential cone is expressed as $ t \geq y \exp(\frac{x}{y}) $.
Some presentation slides from MOSEK gives some clue (slide/page 99), https://docs.mosek.com/slides/2017/aau/conic-opt.pdf.
Thanks for helping!!!