Entropy, Relative Entropy, Mutual Information

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 $q$ when the true distribution is $p$.

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, $X$, is

$H\left(X\right)=-\sum _{x\in {\mathcal {X}}}p\left(x\right)\log _{2}p\left(x\right)$

(1)

where $X$ has a probability mass function (pmf), $p\left(x\right)$, and an alphabet ${\mathcal {X}}$.

Expected Value

For a discrete random variable, $X$, with probability mass function, $p\left(x\right)$, the expected value of $X$ is

$E\left[X\right]=\sum _{x\in {\mathcal {X}}}x\cdot p\left(x\right)$

(2)

For a discrete random variable, $X$, with probability mass function, $p\left(x\right)$, the expected value of $g\left(X\right)$ is

$E\left[g\left(X\right)\right]=\sum _{x\in {\mathcal {X}}}g\left(x\right)\cdot p\left(x\right)$

(3)

Consider the case where $g\left(x\right)=\log _{2}\left({\tfrac {1}{p\left(x\right)}}\right)$. We get

$E\left[\log _{2}\left({\tfrac {1}{p\left(x\right)}}\right)\right]=\sum _{x\in {\mathcal {X}}}\log _{2}\left({\tfrac {1}{p\left(x\right)}}\right)\cdot p\left(x\right)=-\sum _{x\in {\mathcal {X}}}p\left(x\right)\log _{2}p\left(x\right)=H\left(X\right)$

(4)