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

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

(1)

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

Expected Value

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