Difference between revisions of "Entropy, Relative Entropy, Mutual Information"

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== Entropy ==
 
== Entropy ==
The entropy of a discrete random variable is
+
The entropy of a discrete random variable, <math>X</math>, is
  
 
{{NumBlk|:|<math>H\left(X\right)=-\sum_{x\in \mathcal{X}} p\left(x\right) \log_2\left(p\left(x\right)\right)</math>|{{EquationRef|1}}}}
 
{{NumBlk|:|<math>H\left(X\right)=-\sum_{x\in \mathcal{X}} p\left(x\right) \log_2\left(p\left(x\right)\right)</math>|{{EquationRef|1}}}}
 +
 +
where <math>p\left(x\right)<\math> is the probability mass function (pmf) of <math>X</math>.

Revision as of 13:30, 25 June 2020

Definitions

Entropy

  • a measure of the uncertainty of a random variable
  • The entropy of a random variable is a measure of the uncertainty of the random variable
    • it is a measure of the amount of information required on the average to describe the random variable

Relative Entropy

  • a measure of the distance between two distributions
  • a measure of the inefficiency of assuming that the distribution is when the true distribution is .

Mutual Information

  • a measure of the amount of information that one random variable contains about another random variable

Entropy

The entropy of a discrete random variable, , is

 

 

 

 

(1)

where .