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第1行： − − {{Short description|Concept in information theory}} − − {{Information theory}} − 第13行：
第8行： − − − < math > h (x _ 1，ldots，xn) = sum _ { i = 1} ^ { n } h (x _ i | x _ 1，ldots，x _ { i-1}) leq sum _ { i = 1} ^ { n } h (x _ i) </math > . − + − − [ math > h (x + c) = h (x) </math > − {{Equation box 1+ − − In particular, for a constant <math>a</math> − − 特别地，对于一个常量 − − |indent = − − <math>h(aX) = h(X)+ \log |a|</math> − − H (aX) = h (x) + log | a | </math − − |title= − − For a vector valued random variable <math>\mathbf{X}</math> and an invertible (square) matrix <math>\mathbf{A}</math> − − 对于向量值随机变量 < math > mathbf { x } </math > 和可逆矩阵 < math > mathbf { a } </math > − − |equation = <math>h(X) = -\int_\mathcal{X} f(x)\log f(x)\,dx</math> − − <math>h(\mathbf{A}\mathbf{X})=h(\mathbf{X})+\log \left( |\det \mathbf{A}| \right)</math> − − < math > h (mathbf { a } mathbf { x }) = h (mathbf { x }) + log left (| det mathbf { a } | right) </math > − − |cellpadding= 6 − − |border − − <math>h(\mathbf{Y}) \leq h(\mathbf{X}) + \int f(x) \log \left\vert \frac{\partial m}{\partial x} \right\vert dx</math> − − [ math > h (mathbf { y }) leq h (mathbf { x }) + int f (x) log left vert frac { partial m }{ partial x } right vert dx </math > − − |border colour = #0073CF − − where <math>\left\vert \frac{\partial m}{\partial x} \right\vert</math> is the Jacobian of the transformation <math>m</math>. − − 其中“ math” > “ left vert”{ partial m }{ partial x }“ right vert” >/math > 是变换的雅可比矩阵。 − − |background colour=#F5FFFA}} − − − However, differential entropy does not have other desirable properties: − − 然而，微分熵并没有其他令人满意的特性: 第79行：
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第36行： − − − With a normal distribution, differential entropy is maximized for a given variance. A Gaussian random variable has the largest entropy amongst all random variables of equal variance, or, alternatively, the maximum entropy distribution under constraints of mean and variance is the Gaussian. − − 在一个正态分布下，对于给定的方差，微分熵是最大的。在所有方差相等的随机变量中，高斯型随机变量的熵最大，或者说在均值和方差约束下的最大熵分布是高斯型随机变量。 − − − − Let <math>g(x)</math> be a Gaussian PDF with mean μ and variance <math>\sigma^2</math> and <math>f(x)</math> an arbitrary PDF with the same variance. Since differential entropy is translation invariant we can assume that <math>f(x)</math> has the same mean of <math>\mu</math> as <math>g(x)</math>. − − 设g(x) 是一个高斯分布的 PDF，平均值μ 和方差σ2和f(x)一个任意的 PDF，方差相同。由于微分熵是平移不变的，我们可以假设 f(x) 与g(x）具有相同的平均值。 + − Consider the Kullback–Leibler divergence between the two distributions − − 考虑两个分布之间的 Kullback-Leibler 散度 − − Note that the continuous [[mutual information]] <math>I(X;Y)</math> has the distinction of retaining its fundamental significance as a measure of discrete information since it is actually the limit of the discrete mutual information of ''partitions'' of <math>X</math> and <math>Y</math> as these partitions become finer and finer. Thus it is invariant under non-linear [[homeomorphisms]] (continuous and uniquely invertible maps), <ref>{{cite journal − − <math> 0 \leq D_{KL}(f || g) = \int_{-\infty}^\infty f(x) \log \left( \frac{f(x)}{g(x)} \right) dx = -h(f) - \int_{-\infty}^\infty f(x)\log(g(x)) dx.</math> − − (f | | g) = int _ {-infty } ^ infty f (x) log left (frac { f (x)}{ g (x)} right) dx =-h (f)-int _ {-infty } ^ infty f (x) log (g (x)) dx − − | first = Alexander − − Now note that − − 现在注意 − − | last = Kraskov − − <math>\begin{align} − − 1.1.1.2.2.2.2.2.2.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.3.4.3.3.3.3.3.3.3.3.3.3.3.4.3.3.3.3.3.3.3.3.3 − − |author2=Stögbauer, Grassberger − − \int_{-\infty}^\infty f(x)\log(g(x)) dx &= \int_{-\infty}^\infty f(x)\log\left( \frac{1}{\sqrt{2\pi\sigma^2}}e^{-\frac{(x-\mu)^2}{2\sigma^2}}\right) dx \\ − − Int _ {-infty } ^ infty f (x) log (g (x)) dx & = int _ {-infty } ^ infty f (x) log left (frac {1}{ sqrt {2 pi sigma ^ 2} e ^ {-frac {(x-mu) ^ 2}{2 sigma ^ 2} right) dx − − | year = 2004 − − &= \int_{-\infty}^\infty f(x) \log\frac{1}{\sqrt{2\pi\sigma^2}} dx + \log(e)\int_{-\infty}^\infty f(x)\left( -\frac{(x-\mu)^2}{2\sigma^2}\right) dx \\ − − & = int _ {-infty } ^ infty f (x) log frac {1}{ sqrt {2 pi sigma ^ 2} dx + log (e) int _ {-infty } ^ infty f (x) left (- frac {(x-mu) ^ 2}{2 sigma ^ 2} right) dx − − | title = Estimating mutual information − − &= -\tfrac{1}{2}\log(2\pi\sigma^2) - \log(e)\frac{\sigma^2}{2\sigma^2} \\ − − & =-tfrac {1}{2} log (2 pi sigma ^ 2)-log (e) frac { sigma ^ 2}{2 sigma ^ 2} − − | journal = [[Physical Review E]] − − &= -\tfrac{1}{2}\left(\log(2\pi\sigma^2) + \log(e)\right) \\ − − & =-tfrac {1}{2}左(log (2 pi sigma ^ 2) + log (e) right) − − | volume = 60 − − &= -\tfrac{1}{2}\log(2\pi e \sigma^2) \\ − − & =-tfrac {1}{2} log (2 pi e sigma ^ 2) − − | pages = 066138 − − &= -h(g) − − & =-h (g) − − | doi =10.1103/PhysRevE.69.066138 − − \end{align}</math> − − 结束{ align } </math > − − |arxiv = cond-mat/0305641 |bibcode = 2004PhRvE..69f6138K }}</ref> including linear <ref name = Reza>{{ cite book | title = An Introduction to Information Theory | author = Fazlollah M. Reza | publisher = Dover Publications, Inc., New York | origyear = 1961| year = 1994 | isbn = 0-486-68210-2 | url = https://books.google.com/books?id=RtzpRAiX6OgC&pg=PA8&dq=intitle:%22An+Introduction+to+Information+Theory%22++%22entropy+of+a+simple+source%22&as_brr=0&ei=zP79Ro7UBovqoQK4g_nCCw&sig=j3lPgyYrC3-bvn1Td42TZgTzj0Q }}</ref> transformations of <math>X</math> and <math>Y</math>, and still represents the amount of discrete information that can be transmitted over a channel that admits a continuous space of values. − − because the result does not depend on <math>f(x)</math> other than through the variance. Combining the two results yields − − 因为结果并不依赖于f(x)，而是通过方差。将这两个结果结合起来就会产生结果 − − − − <math> h(g) - h(f) \geq 0 \!</math> − − [数学]-[数学] − − with equality when <math>f(x)=g(x)</math> following from the properties of Kullback–Leibler divergence. − − 当f (x) = g (x)遵循 Kullback-Leibler 分歧的性质时。 − − This result may also be demonstrated using the variational calculus. A Lagrangian function with two Lagrangian multipliers may be defined as: − − 这个结果也可以用变分法来证明。具有两个拉格朗日乘数的拉格朗日函数可定义为: 第206行：
第61行： − − < math > l = int _ {-infty } ^ infty g (x) ln (g (x)) ，dx-lambda _ 0 left (1-int _ {-infty } ^ infty g (x) ，dx 右)-lambda left (sigma ^ 2-int _ {-infty } ^ infty g (x)(x-mu) ^ 2，dx 右) </math > − − where g(x) is some function with mean μ. When the entropy of g(x) is at a maximum and the constraint equations, which consist of the normalization condition <math>\left(1=\int_{-\infty}^\infty g(x)\,dx\right)</math> and the requirement of fixed variance <math>\left(\sigma^2=\int_{-\infty}^\infty g(x)(x-\mu)^2\,dx\right)</math>, are both satisfied, then a small variation δg(x) about g(x) will produce a variation δL about L which is equal to zero: − − 其中 g (x)是平均 μ 的函数。当 g (x)的熵处于最大值时，由归一化条件 1=∫∞−∞g(x)dx和固定方差σ2=∫∞−∞g(x)(x−μ)2dx组成的约束方程都满足时，那么关于 g (x)的一个小变化 δg (x)将产生一个等于零的关于L的变化δL: 第223行：
第72行： − 0 = delta l = int _ {-infty } ^ infty delta g (x) left (ln (g (x)) + 1 + lambda _ 0 + lambda (x-mu) ^ 2 right) ，dx </math > − − Since this must hold for any small δg(x), the term in brackets must be zero, and solving for g(x) yields: − − 因为这对任何小的 δg (x)都成立，括号中的项必须为零，求 g (x)的结果是: 第238行：
第82行： − − < math > g (x) = e ^ {-lambda _ 0-1-lambda (x-mu) ^ 2} </math > − − Using the constraint equations to solve for λ<sub>0</sub> and λ yields the normal distribution: − − 用约束方程求解 λ0和 λ 得到正态分布: − − − <math>g(x)=\frac{1}{\sqrt{2\pi\sigma^2}}e^{-\frac{(x-\mu)^2}{2\sigma^2}}</math> − − < math > g (x) = frac {1}{ sqrt {2 pi sigma ^ 2} e ^ {-frac {(x-mu) ^ 2}{2 sigma ^ 2}} </math > − − However, differential entropy does not have other desirable properties: − 然而，微分熵并没有期望的性质 第268行：
第98行： − − − − <math>f(x) = \lambda e^{-\lambda x} \mbox{ for } x \geq 0.</math> − − { for } x geq 0. </math > 第281行：
第105行： − + − {| − − {| − − − − |- − |- − | <math>h_e(X)\,</math> − − | < math > h _ e (x) ，</math > − − | <math>=-\int_0^\infty \lambda e^{-\lambda x} \log (\lambda e^{-\lambda x})\,dx</math> − − | < math > =-int _ 0 ^ infty lambda e ^ {-lambda x } log (lambda e ^ {-lambda x }) ，dx </math > − − − − |- − − |- − − | − − | − − − | <math>= -\left(\int_0^\infty (\log \lambda)\lambda e^{-\lambda x}\,dx + \int_0^\infty (-\lambda x) \lambda e^{-\lambda x}\,dx\right) </math> − − | < math > =-left (int _ 0 ^ infty (log lambda) lambda e ^ {-lambda x } ，dx + int _ 0 ^ infty (- lambda x) lambda e ^ {-lambda x } ，dx right) </math > − − − |- − − |- − − − | − − | − − − | <math>= -\log \lambda \int_0^\infty f(x)\,dx + \lambda E[X]</math> − − | < math > =-log lambda int _ 0 ^ infty f (x) ，dx + lambda e [ x ] </math > − − − |- − − |- − − − | − − | − − − | <math>= -\log\lambda + 1\,.</math> − − | < math > =-log lambda + 1，. </math > − − − |} − − |} − − − Here, <math>h_e(X)</math> was used rather than <math>h(X)</math> to make it explicit that the logarithm was taken to base e, to simplify the calculation. − − 在这里，使用he(X)而不是h(X) 来明确对数是以 e 为底，以简化计算。 第379行：
第133行： − The differential entropy yields a lower bound on the expected squared error of an estimator. For any random variable <math>X</math> and estimator <math>\widehat{X}</math> the following holds: − 对于估计量的预期平方误差，微分熵产生一个下限。对于任何随机变量x和估计量Xˆ 下面的值: − − − − <math>\operatorname{E}[(X - \widehat{X})^2] \ge \frac{1}{2\pi e}e^{2h(X)}</math> − − (x-widehat { x }) ^ 2] ge frac {1}{2 pi e } e ^ {2 h (x)} </math > − with equality if and only if <math>X</math> is a Gaussian random variable and <math>\widehat{X}</math> is the mean of <math>X</math>. − − 当且仅当x是一个 Gaussian 随机变量，而x 是Xˆ 的平均值。 − − − − In the table below <math>\Gamma(x) = \int_0^{\infty} e^{-t} t^{x-1} dt</math> is the gamma function, <math>\psi(x) = \frac{d}{dx} \ln\Gamma(x)=\frac{\Gamma'(x)}{\Gamma(x)}</math> is the digamma function, <math>B(p,q) = \frac{\Gamma(p)\Gamma(q)}{\Gamma(p+q)}</math> is the beta function, and γ<sub>E</sub> is Euler's constant.<math>- (\beta-1)[\psi(\beta) - \psi(\alpha + \beta)] \, </math>||<math>[0,1]\,</math> − − 在下面的表格中，Gamma (x) = int _ 0 ^ { infty } e ^ {-t } t ^ { x-1} dt </math > 是 Gamma 函数,{ math > psi (x) = frac { d }{ dx } ln Gamma (x) = frac { Gamma’(x)}{ Gamma (x)} </math > 是双伽玛函数,b (p，q) = frac { Gamma (p) Gamma (q)}{ Gamma (p + q)} </math > 是 β 函数，γ < sub > e </sub > 是欧拉常数。[ math ]-(beta-1)[ psi (beta)-psi (alpha + beta)] | | < math > [0,1] ，</math > − − − − |- − − |- − − | Cauchy || <math>f(x) = \frac{\gamma}{\pi} \frac{1}{\gamma^2 + x^2}</math> || <math>\ln(4\pi\gamma) \, </math>||<math>(-\infty,\infty)\,</math> − − | Cauchy | | < math > f (x) = frac { gamma }{ pi }{ pi ^ 2 + x ^ 2} </math > | < math > ln (4pi gamma) ，</math > | < math > (- infty，infty) ，</math > − − − − |- − − |- − − | Chi || <math>f(x) = \frac{2}{2^{k/2} \Gamma(k/2)} x^{k-1} \exp\left(-\frac{x^2}{2}\right)</math> || <math>\ln{\frac{\Gamma(k/2)}{\sqrt{2}}} - \frac{k-1}{2} \psi\left(\frac{k}{2}\right) + \frac{k}{2}</math>||<math>[0,\infty)\,</math> − − | Chi | | < math > f (x) = frac {2}{2 ^ { k/2} Gamma (k/2)}} x ^ { k-1} exp left (- frac { x ^ 2}{2}右) </math > | < math > ln { frac {(k/2)}}}{2}}}-frac {2} psi (frac { k }{2}右) + frac {2} </math > | | math > [0，infty) ，</math > − − − − |- − − |- − − | Chi-squared || <math>f(x) = \frac{1}{2^{k/2} \Gamma(k/2)} x^{\frac{k}{2}\!-\!1} \exp\left(-\frac{x}{2}\right)</math> || <math>\ln 2\Gamma\left(\frac{k}{2}\right) - \left(1 - \frac{k}{2}\right)\psi\left(\frac{k}{2}\right) + \frac{k}{2}</math>||<math>[0,\infty)\,</math> − − | Chi-squared | < math > f (x) = frac {1}{2 ^ { k/2} Gamma (k/2)} x ^ { frac { k }{2} !-! 1} exp left (- frac { x }{2}右) </math > | < math > | < math > ln 2 Gamma left (frac { k }{2}右)-left (1-frac { k }{2}右)左(frac { k }2}右) + c { k {2}{ infmath | < < math > [0，fraty) ，</math > − − − − |- − − |- − − | Erlang || <math>f(x) = \frac{\lambda^k}{(k-1)!} x^{k-1} \exp(-\lambda x)</math> || <math>(1-k)\psi(k) + \ln \frac{\Gamma(k)}{\lambda} + k</math>||<math>[0,\infty)\,</math> − − | Erlang | | < math > f (x) = frac { lambda ^ k }{(k-1) ! }X ^ { k-1} exp (- lambda x) </math > | < math > (1-k) psi (k) + ln frac { Gamma (k)}{ lambda } + k </math > | < math > [0，infty ] ，</math > − − − − |- − − |- − − | F || <math>f(x) = \frac{n_1^{\frac{n_1}{2}} n_2^{\frac{n_2}{2}}}{B(\frac{n_1}{2},\frac{n_2}{2})} \frac{x^{\frac{n_1}{2} - 1}}{(n_2 + n_1 x)^{\frac{n_1 + n2}{2}}}</math> || <math>\ln \frac{n_1}{n_2} B\left(\frac{n_1}{2},\frac{n_2}{2}\right) + \left(1 - \frac{n_1}{2}\right) \psi\left(\frac{n_1}{2}\right) -</math><br /><math>\left(1 + \frac{n_2}{2}\right)\psi\left(\frac{n_2}{2}\right) + \frac{n_1 + n_2}{2} \psi\left(\frac{n_1\!+\!n_2}{2}\right)</math>||<math>[0,\infty)\,</math> − − 我们会找到你的| | < math > f (x) = frac{ n _ 1 ^ { frac { n _ 1}{2}{ frac { n _ 2}{2}}{ b (frac { n _ 1}{2} ，frac { n _ 2}{2}}}}}} frac { x ^ { frac { n _ 1}{2}-1}{(n _ 2 + n _ 1 x) ^ { frac { n _ 1 + n _ 2}{2}}{2}{2}} </} </math > | | | (frac { n _ 1}{ n _ 2} b left (frac { n _ 1}{2} ,2}{2}{2}{2}{2}{2}{1}{2}{2}{2}{2}{2}{2}{2}{2}{2}{2}{1}{2}{2}{2}{2}{2}{2}{2}{2}{2}{2}{2}{2}{2}{2}{2}{2}{2}{2} psi 左(frac { n _ 1！+\！[0，infty) ，</math > | < math > − − − − |- − − |- − | Gamma || <math>f(x) = \frac{x^{k - 1} \exp(-\frac{x}{\theta})}{\theta^k \Gamma(k)}</math> || <math>\ln(\theta \Gamma(k)) + (1 - k)\psi(k) + k \, </math>||<math>[0,\infty)\,</math> − − | Gamma | | < math > f (x) = frac { x ^ { k-1} exp (- frac { x }{ theta })}{ theta ^ k Gamma (k)} </math > | < math > ln (theta Gamma (k)) + (1-k) psi (k) + k，</math > | < math > [0，infty) ，</math > − − − − |- − − |- − | Laplace || <math>f(x) = \frac{1}{2b} \exp\left(-\frac{|x - \mu|}{b}\right)</math> || <math>1 + \ln(2b) \, </math>||<math>(-\infty,\infty)\,</math> − − | Laplace | | < math > f (x) = frac {1}{2b } exp left (- frac { | x-mu | }{ b } right) </math > | < math > 1 + ln (2b) ，</math > | < math > (- infty，infty) ，</math > − − − |- − − |- − − − − | Logistic || <math>f(x) = \frac{e^{-x}}{(1 + e^{-x})^2}</math> || <math>2 \, </math>||<math>(-\infty,\infty)\,</math> − − | Logistic | | < math > f (x) = frac { e ^ {-x }{(1 + e ^ {-x }) ^ 2} </math > | < math > 2，</math > | < math > (- infty，infty) ，</math > − − |- − − |- − − − − | Lognormal || <math>f(x) = \frac{1}{\sigma x \sqrt{2\pi}} \exp\left(-\frac{(\ln x - \mu)^2}{2\sigma^2}\right)</math> || <math>\mu + \frac{1}{2} \ln(2\pi e \sigma^2)</math>||<math>[0,\infty)\,</math> − − | Lognormal | < math > f (x) = frac {1}{ sigma x sqrt {2 pi } exp left (- frac {(ln x-mu) ^ 2}{2 sigma ^ 2} right) </math > | < math > mu + frac {1}{2} ln (2 pi e sigma ^ 2) </math > | < math > [0，infty) ，</math > − − |- − − |- − − − | Maxwell–Boltzmann || <math>f(x) = \frac{1}{a^3}\sqrt{\frac{2}{\pi}}\,x^{2}\exp\left(-\frac{x^2}{2a^2}\right)</math> || <math>\ln(a\sqrt{2\pi})+\gamma_E-\frac{1}{2}</math>||<math>[0,\infty)\,</math> − − | Maxwell-Boltzmann | | < math > f (x) = frac {1}{ a ^ 3}{ frac {2}{ pi } ，x ^ {2} exp left (- frac { x ^ 2}{2a ^ 2}右) </math > | < math > ln (a sqrt {2 pi }) + e-frac {1} </math > | | math < 0，infty) ，</math > − − |- − − |- − − − − | Generalized normal || <math>f(x) = \frac{2 \beta^{\frac{\alpha}{2}}}{\Gamma(\frac{\alpha}{2})} x^{\alpha - 1} \exp(-\beta x^2)</math> || <math>\ln{\frac{\Gamma(\alpha/2)}{2\beta^{\frac{1}{2}}}} - \frac{\alpha - 1}{2} \psi\left(\frac{\alpha}{2}\right) + \frac{\alpha}{2}</math>||<math>(-\infty,\infty)\,</math> − − | 广义正态| | < math > f (x) = frac{2 beta ^ { frac { alpha }{2}{ Gamma (frac { alpha }{2})} x ^ { alpha-1} exp (- beta x ^ 2) </math > | | < math > ln { frac { Gamma (alpha/2)}{2 beta ^ { frac {1}{2}}}}}-frac { alpha-1}{2} psi left (frac { alpha }{2} right) + frac { alpha }{2}}{2}| | < math > (- infty，infty) ，</math > − − − |- − − |- − − − | Pareto || <math>f(x) = \frac{\alpha x_m^\alpha}{x^{\alpha+1}}</math> || <math>\ln \frac{x_m}{\alpha} + 1 + \frac{1}{\alpha}</math>||<math>[x_m,\infty)\,</math> − − | Pareto | < math > f (x) = frac { alpha x _ m ^ alpha }{ x ^ { alpha + 1}} </math > | < math > ln frac { x _ m }{ alpha } + 1 + frac {1}{ alpha } </math > | < math > [ x _ m，infty ] ，</math > − − − |- − − |- − − − | Student's t || <math>f(x) = \frac{(1 + x^2/\nu)^{-\frac{\nu+1}{2}}}{\sqrt{\nu}B(\frac{1}{2},\frac{\nu}{2})}</math> || <math>\frac{\nu\!+\!1}{2}\left(\psi\left(\frac{\nu\!+\!1}{2}\right)\!-\!\psi\left(\frac{\nu}{2}\right)\right)\!+\!\ln \sqrt{\nu} B\left(\frac{1}{2},\frac{\nu}{2}\right)</math>||<math>(-\infty,\infty)\,</math> − − | Student’s t | < math > f (x) = frac {(1 + x ^ 2/nu) ^ {-frac { nu + 1}{2}}{{ sqrt { nu } b (frac {1}{2} ，frac { nu }{2})} </math | | | < math > frac { nu! + ! 1}{2}右) !-! 左(psi (frac { nu! + 1}{2}右) !-! 左(frac { nu }{2右) ! + ! { nu }{ n 左(frac {2}右) − − − |- − − |- − − − | Triangular || <math> f(x) = \begin{cases} − − | 三角形 | | < math > f (x) = begin { cases } − − − \frac{2(x-a)}{(b-a)(c-a)} & \mathrm{for\ } a \le x \leq c, \\[4pt] − − Frac {2(x-a)}{(b-a)(c-a)} & mathrm { for } a le x leq c，[4 pt ] − − − \frac{2(b-x)}{(b-a)(b-c)} & \mathrm{for\ } c < x \le b, \\[4pt] − − Frac {2(b-x)}{(b-a)(b-c)} & mathrm { for } c < x le b，[4 pt ] − − − \end{cases}</math> || <math>\frac{1}{2} + \ln \frac{b-a}{2}</math>||<math>[0,1]\,</math> − − 结束{ cases } </math > | | < math > frac {1}{2} + ln frac { b-a }{2} </math > | < math > [0,1] ，</math > − − − |- − − |- − − − | Weibull || <math>f(x) = \frac{k}{\lambda^k} x^{k-1} \exp\left(-\frac{x^k}{\lambda^k}\right)</math> || <math>\frac{(k-1)\gamma_E}{k} + \ln \frac{\lambda}{k} + 1</math>||<math>[0,\infty)\,</math> − − | Weibull | | < math > f (x) = frac { k }{ lambda ^ k } x ^ { k-1} exp left (- frac { x ^ k }{ lambda ^ k } right) </math > | < math > | < math > frac {(k-1) gamma _ e }{ k } + ln frac { lambda }{ k } + 1 </math > | < math > [0，infty) ，</math > − − − − |- − − |- − − | Multivariate normal || <math> − − 多元正态 | | < 数学 > − − − − f_X(\vec{x}) =</math><br /><math> \frac{\exp \left( -\frac{1}{2} ( \vec{x} - \vec{\mu})^\top \Sigma^{-1}\cdot(\vec{x} - \vec{\mu}) \right)} {(2\pi)^{N/2} \left|\Sigma\right|^{1/2}}</math> || <math>\frac{1}{2}\ln\{(2\pi e)^{N} \det(\Sigma)\}</math>||<math>\mathbb{R}^N</math> − − F _ x (vec { x }) = </math > < br/> < math > frac { exp left (- frac {1}{2}(vec { x }-vec { mu }) ^ top Sigma ^ {-1} cdot (vec { x }-vec { mu }) right)}{(2 pi) ^ { N/2}左 Sigma | right | ^ {1/2} < | < math > | < < | < math > frac {1}{ ln (2 pi e){{ n } | math < | | | | > 数学 < bb > − 与估计量误差的联系 − |- − − |- − − − |} − − |} − − − − Many of the differential entropies are from. − − 许多熵的差异来自于。 − − − <math>H_h=-\sum_i hf(ih)\log (f(ih)) - \sum hf(ih)\log(h).</math>+ − − [数学] h =-sum _ i hf (ih) log (f (ih)-sum hf (ih) log (h) − − − − − The first term on the right approximates the differential entropy, while the second term is approximately <math>-\log(h)</math>. Note that this procedure suggests that the entropy in the discrete sense of a continuous random variable should be <math>\infty</math>. − − 右边的第一个术语近似于微分熵，而第二个术语近似于log(h)。请注意，这个过程表明，连续随机变量的离散意义上的熵应该是“无穷”。 − − − − − − − − − − − − − − − − Category:Entropy and information − − 类别: 熵和信息 − + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + − Category:Information theory+ − − 范畴: 信息论 − − − Category:Statistical randomness − 分类: 统计的随机性 − <noinclude>+ − <small>This page was moved from [[wikipedia:en:Differential entropy]]. Its edit history can be viewed at [[微分熵/edithistory]]</small></noinclude>+ − + +
无编辑摘要
此词条暂由Henry翻译。
此词条暂由Henry翻译。
由CecileLi初步审校。
由CecileLi初步审校。
<font color="#ff8000"> 微分熵Differential entropy</font>(也被称为连续熵)是信息论中的一个概念，其来源于香农尝试将他的香农熵的概念扩展到连续的概率分布。香农熵是衡量一个随机变量的平均惊异程度的指标。可惜的是，香农只是假设它是离散熵的正确连续模拟而并没有推导出公式，但事实上它并不是离散熵的正确连续模拟。
<font color="#ff8000"> 微分熵Differential entropy</font>(也被称为连续熵)是信息论中的一个概念，其来源于香农尝试将他的香农熵的概念扩展到连续的概率分布。香农熵是衡量一个随机变量的平均惊异程度的指标。可惜的是，香农只是假设它是离散熵的正确连续模拟而并没有推导出公式，但事实上它并不是离散熵的正确连续模拟。
<math>h(X_1, \ldots, X_n) = \sum_{i=1}^{n} h(X_i|X_1, \ldots, X_{i-1}) \leq \sum_{i=1}^{n} h(X_i)</math>.
<math>h(X_1, \ldots, X_n) = \sum_{i=1}^{n} h(X_i|X_1, \ldots, X_{i-1}) \leq \sum_{i=1}^{n} h(X_i)</math>.
==Definition==
==Definition==
定义
定义
Let <math>X</math> be a random variable with a [[probability density function]] <math>f</math> whose [[support (mathematics)|support]] is a set <math>\mathcal X</math>. The ''differential entropy'' <math>h(X)</math> or <math>h(f)</math> is defined as<ref name="cover_thomas">{{cite book|first1=Thomas M.|first2=Joy A.|last1=Cover|last2=Thomas|isbn=0-471-06259-6|title=Elements of Information Theory|year=1991|publisher=Wiley|location=New York|url=https://archive.org/details/elementsofinform0000cove|url-access=registration}}</ref>{{rp|243}}
Let <math>X</math> be a random variable with a [[probability density function]] <math>f</math> whose [[support (mathematics)|support]] is a set <math>\mathcal X</math>. The ''differential entropy'' <math>h(X)</math> or <math>h(f)</math> is defined as<ref name="cover_thomas">{{cite book|first1=Thomas M.|first2=Joy A.|last1=Cover|last2=Thomas|isbn=0-471-06259-6|title=Elements of Information Theory|year=1991|publisher=Wiley|location=New York|url=https://archive.org/details/elementsofinform0000cove|url-access=registration}}</ref>
<math>h(X+c) = h(X)</math>
<math>h(X+c) = h(X)</math>
--[[用户:CecileLi|CecileLi]]([[用户讨论:CecileLi|讨论]]) 【审校】此处缺无格式的英文及翻译 补充：设随机变量X，其概率密度函数F的的定义域是X的集合
--[[用户:CecileLi|CecileLi]]([[用户讨论:CecileLi|讨论]]) 【审校】此处缺无格式的英文及翻译 补充：设随机变量X，其概率密度函数F的的定义域是X的集合
:<math>h(X) = -\int_\mathcal{X} f(x)\log f(x)\,dx</math>
For probability distributions which don't have an explicit density function expression, but have an explicit [[quantile function]] expression, <math>Q(p)</math>, then <math>h(Q)</math> can be defined in terms of the derivative of <math>Q(p)</math> i.e. the quantile density function <math>Q'(p)</math> as <ref>{{Citation |last1=Vasicek |first1=Oldrich |year=1976 |title=A Test for Normality Based on Sample Entropy |journal=[[Journal of the Royal Statistical Society, Series B]] |volume=38 |issue=1 |jstor=2984828 |postscript=. }}</ref>{{rp|54–59}}
For probability distributions which don't have an explicit density function expression, but have an explicit [[quantile function]] expression, <math>Q(p)</math>, then <math>h(Q)</math> can be defined in terms of the derivative of <math>Q(p)</math> i.e. the quantile density function <math>Q'(p)</math> as <ref>{{Citation |last1=Vasicek |first1=Oldrich |year=1976 |title=A Test for Normality Based on Sample Entropy |journal=[[Journal of the Royal Statistical Society, Series B]] |volume=38 |issue=1 |jstor=2984828 |postscript=. }}</ref>{{rp|54–59}}
--[[用户:CecileLi|CecileLi]]([[用户讨论:CecileLi|讨论]]) 【审校】此处缺无格式的英文及翻译 补充：For probability distributions which don't have an explicit density function expression, but have an explicit quantile function expression, , then can be defined in terms of the derivative of i.e. the quantile density function as
--[[用户:CecileLi|CecileLi]]([[用户讨论:CecileLi|讨论]]) 【审校】此处缺无格式的英文及翻译 补充：For probability distributions which don't have an explicit density function expression, but have an explicit quantile function expression, , then can be defined in terms of the derivative of i.e. the quantile density function as
对于没有显式密度函数表达式，但有显式分位数函数表达式的概率分布，我们则可以用分位数密度函数的导数来定义，即
对于没有显式密度函数表达式，但有显式分位数函数表达式的概率分布，我们则可以用分位数密度函数的导数来定义，即
:<math>h(Q) = \int_0^1 \log Q'(p)\,dp</math>.
:<math>h(Q) = \int_0^1 \log Q'(p)\,dp</math>.
As with its discrete analog, the units of differential entropy depend on the base of the [[logarithm]], which is usually 2 (i.e., the units are [[bit]]s). See [[logarithmic units]] for logarithms taken in different bases. Related concepts such as [[joint entropy|joint]], [[conditional entropy|conditional]] differential entropy, and [[Kullback–Leibler divergence|relative entropy]] are defined in a similar fashion. Unlike the discrete analog, the differential entropy has an offset that depends on the units used to measure <math>X</math>.<ref name="gibbs">{{cite book |last=Gibbs |first=Josiah Willard |authorlink=Josiah Willard Gibbs |title=[[Elementary Principles in Statistical Mechanics|Elementary Principles in Statistical Mechanics, developed with especial reference to the rational foundation of thermodynamics]] |year=1902 |publisher=Charles Scribner's Sons |location=New York}}</ref>{{rp|183–184}} For example, the differential entropy of a quantity measured in millimeters will be {{not a typo|log(1000)}} more than the same quantity measured in meters; a dimensionless quantity will have differential entropy of {{not a typo|log(1000)}} more than the same quantity divided by 1000.
As with its discrete analog, the units of differential entropy depend on the base of the [[logarithm]], which is usually 2 (i.e., the units are [[bit]]s). See [[logarithmic units]] for logarithms taken in different bases. Related concepts such as [[joint entropy|joint]], [[conditional entropy|conditional]] differential entropy, and [[Kullback–Leibler divergence|relative entropy]] are defined in a similar fashion. Unlike the discrete analog, the differential entropy has an offset that depends on the units used to measure <math>X</math>.<ref name="gibbs">{{cite book |last=Gibbs |first=Josiah Willard |authorlink=Josiah Willard Gibbs |title=[[Elementary Principles in Statistical Mechanics|Elementary Principles in Statistical Mechanics, developed with especial reference to the rational foundation of thermodynamics]] |year=1902 |publisher=Charles Scribner's Sons |location=New York}}</ref>{{rp|183–184}} For example, the differential entropy of a quantity measured in millimeters will be {{not a typo|log(1000)}} more than the same quantity measured in meters; a dimensionless quantity will have differential entropy of {{not a typo|log(1000)}} more than the same quantity divided by 1000.
One must take care in trying to apply properties of discrete entropy to differential entropy, since probability density functions can be greater than 1. For example, the [[Uniform distribution (continuous)|uniform distribution]] <math>\mathcal{U}(0,1/2)</math> has ''negative'' differential entropy
One must take care in trying to apply properties of discrete entropy to differential entropy, since probability density functions can be greater than 1. For example, the [[Uniform distribution (continuous)|uniform distribution]] <math>\mathcal{U}(0,1/2)</math> has ''negative'' differential entropy
:<math>\int_0^\frac{1}{2} -2\log(2)\,dx=-\log(2)\,</math>.
:<math>\int_0^\frac{1}{2} -2\log(2)\,dx=-\log(2)\,</math>.
Thus, differential entropy does not share all properties of discrete entropy.
Thus, differential entropy does not share all properties of discrete entropy.
Note that the continuous [[mutual information]] <math>I(X;Y)</math> has the distinction of retaining its fundamental significance as a measure of discrete information since it is actually the limit of the discrete mutual information of ''partitions'' of <math>X</math> and <math>Y</math> as these partitions become finer and finer. Thus it is invariant under non-linear [[homeomorphisms]] (continuous and uniquely invertible maps), <ref>{{cite journal | first = Alexander | last = Kraskov |author2=Stögbauer, Grassberger | year = 2004 | title = Estimating mutual information | journal = [[Physical Review E]] | volume = 60 | pages = 066138 | doi =10.1103/PhysRevE.69.066138|arxiv = cond-mat/0305641 |bibcode = 2004PhRvE..69f6138K }}</ref> including linear <ref name = Reza>{{ cite book | title = An Introduction to Information Theory | author = Fazlollah M. Reza | publisher = Dover Publications, Inc., New York | origyear = 1961| year = 1994 | isbn = 0-486-68210-2 | url = https://books.google.com/books?id=RtzpRAiX6OgC&pg=PA8&dq=intitle:%22An+Introduction+to+Information+Theory%22++%22entropy+of+a+simple+source%22&as_brr=0&ei=zP79Ro7UBovqoQK4g_nCCw&sig=j3lPgyYrC3-bvn1Td42TZgTzj0Q }}</ref> transformations of <math>X</math> and <math>Y</math>, and still represents the amount of discrete information that can be transmitted over a channel that admits a continuous space of values.
For the direct analogue of discrete entropy extended to the continuous space, see [[limiting density of discrete points]].
For the direct analogue of discrete entropy extended to the continuous space, see [[limiting density of discrete points]].
==Properties of differential entropy==
==Properties of differential entropy==
微分熵的性质
微分熵的性质
* For probability densities <math>f</math> and <math>g</math>, the [[Kullback–Leibler divergence]] <math>D_{KL}(f || g)</math> is greater than or equal to 0 with equality only if <math>f=g</math> [[almost everywhere]]. Similarly, for two random variables <math>X</math> and <math>Y</math>, <math>I(X;Y) \ge 0</math> and <math>h(X|Y) \le h(X)</math> with equality [[if and only if]] <math>X</math> and <math>Y</math> are [[Statistical independence|independent]].
* For probability densities <math>f</math> and <math>g</math>, the [[Kullback–Leibler divergence]] <math>D_{KL}(f || g)</math> is greater than or equal to 0 with equality only if <math>f=g</math> [[almost everywhere]]. Similarly, for two random variables <math>X</math> and <math>Y</math>, <math>I(X;Y) \ge 0</math> and <math>h(X|Y) \le h(X)</math> with equality [[if and only if]] <math>X</math> and <math>Y</math> are [[Statistical independence|independent]].
* The chain rule for differential entropy holds as in the discrete case<ref name="cover_thomas" />{{rp|253}}
* The chain rule for differential entropy holds as in the discrete case<ref name="cover_thomas" />{{rp|253}}
<math>L=\int_{-\infty}^\infty g(x)\ln(g(x))\,dx-\lambda_0\left(1-\int_{-\infty}^\infty g(x)\,dx\right)-\lambda\left(\sigma^2-\int_{-\infty}^\infty g(x)(x-\mu)^2\,dx\right)</math>
<math>L=\int_{-\infty}^\infty g(x)\ln(g(x))\,dx-\lambda_0\left(1-\int_{-\infty}^\infty g(x)\,dx\right)-\lambda\left(\sigma^2-\int_{-\infty}^\infty g(x)(x-\mu)^2\,dx\right)</math>
* Differential entropy is translation invariant, i.e. for a constant <math>c</math>.<ref name="cover_thomas" />{{rp|253}}
* Differential entropy is translation invariant, i.e. for a constant <math>c</math>.<ref name="cover_thomas" />{{rp|253}}
::<math>h(X+c) = h(X)</math>
::<math>h(X+c) = h(X)</math>
* Differential entropy is in general not invariant under arbitrary invertible maps.
* Differential entropy is in general not invariant under arbitrary invertible maps.
<math>0=\delta L=\int_{-\infty}^\infty \delta g(x)\left (\ln(g(x))+1+\lambda_0+\lambda(x-\mu)^2\right )\,dx</math>
<math>0=\delta L=\int_{-\infty}^\infty \delta g(x)\left (\ln(g(x))+1+\lambda_0+\lambda(x-\mu)^2\right )\,dx</math>
:::<math>h(aX) = h(X)+ \log |a|</math>
:::<math>h(aX) = h(X)+ \log |a|</math>
:: For a vector valued random variable <math>\mathbf{X}</math> and an invertible (square) [[matrix (mathematics)|matrix]] <math>\mathbf{A}</math>
:: For a vector valued random variable <math>\mathbf{X}</math> and an invertible (square) [[matrix (mathematics)|matrix]] <math>\mathbf{A}</math>
:::<math>h(\mathbf{A}\mathbf{X})=h(\mathbf{X})+\log \left( |\det \mathbf{A}| \right)</math><ref name="cover_thomas" />{{rp|253}}
:::<math>h(\mathbf{A}\mathbf{X})=h(\mathbf{X})+\log \left( |\det \mathbf{A}| \right)</math><ref name="cover_thomas" />{{rp|253}}
<math>g(x)=e^{-\lambda_0-1-\lambda(x-\mu)^2}</math>
<math>g(x)=e^{-\lambda_0-1-\lambda(x-\mu)^2}</math>
::<math>h(\mathbf{Y}) \leq h(\mathbf{X}) + \int f(x) \log \left\vert \frac{\partial m}{\partial x} \right\vert dx</math>
::<math>h(\mathbf{Y}) \leq h(\mathbf{X}) + \int f(x) \log \left\vert \frac{\partial m}{\partial x} \right\vert dx</math>
:where <math>\left\vert \frac{\partial m}{\partial x} \right\vert</math> is the [[Jacobian matrix and determinant|Jacobian]] of the transformation <math>m</math>.<ref>{{cite web |title=proof of upper bound on differential entropy of f(X) |work=[[Stack Exchange]] |date=April 16, 2016 |url=https://math.stackexchange.com/q/1745670 }}</ref> The above inequality becomes an equality if the transform is a bijection. Furthermore, when <math>m</math> is a rigid rotation, translation, or combination thereof, the Jacobian determinant is always 1, and <math>h(Y)=h(X)</math>.
:where <math>\left\vert \frac{\partial m}{\partial x} \right\vert</math> is the [[Jacobian matrix and determinant|Jacobian]] of the transformation <math>m</math>.<ref>{{cite web |title=proof of upper bound on differential entropy of f(X) |work=[[Stack Exchange]] |date=April 16, 2016 |url=https://math.stackexchange.com/q/1745670 }}</ref> The above inequality becomes an equality if the transform is a bijection. Furthermore, when <math>m</math> is a rigid rotation, translation, or combination thereof, the Jacobian determinant is always 1, and <math>h(Y)=h(X)</math>.
* If a random vector <math>X \in \mathbb{R}^n</math> has mean zero and [[covariance]] matrix <math>K</math>, <math>h(\mathbf{X}) \leq \frac{1}{2} \log(\det{2 \pi e K}) = \frac{1}{2} \log[(2\pi e)^n \det{K}]</math> with equality if and only if <math>X</math> is [[Multivariate normal distribution#Joint normality|jointly gaussian]] (see [[#Maximization in the normal distribution|below]]).<ref name="cover_thomas" />{{rp|254}}
* If a random vector <math>X \in \mathbb{R}^n</math> has mean zero and [[covariance]] matrix <math>K</math>, <math>h(\mathbf{X}) \leq \frac{1}{2} \log(\det{2 \pi e K}) = \frac{1}{2} \log[(2\pi e)^n \det{K}]</math> with equality if and only if <math>X</math> is [[Multivariate normal distribution#Joint normality|jointly gaussian]] (see [[#Maximization in the normal distribution|below]]).<ref name="cover_thomas" />{{rp|254}}
* It is not invariant under [[change of variables]], and is therefore most useful with dimensionless variables.
* It is not invariant under [[change of variables]], and is therefore most useful with dimensionless variables.
它在变量变化下不是不变的，因此对无量纲变量最有用
它在变量变化下不是不变的，因此对无量纲变量最有用
A modification of differential entropy that addresses these drawbacks is the '''relative information entropy''', also known as the Kullback–Leibler divergence, which includes an [[invariant measure]] factor (see [[limiting density of discrete points]]).
A modification of differential entropy that addresses these drawbacks is the '''relative information entropy''', also known as the Kullback–Leibler divergence, which includes an [[invariant measure]] factor (see [[limiting density of discrete points]]).
==Maximization in the normal distribution==
==Maximization in the normal distribution==
Its differential entropy is then
Its differential entropy is then
它的微分熵就会
它的微分熵就会
With a [[normal distribution]], differential entropy is maximized for a given variance. A Gaussian random variable has the largest entropy amongst all random variables of equal variance, or, alternatively, the maximum entropy distribution under constraints of mean and variance is the Gaussian.<ref name="cover_thomas" />{{rp|255}}
With a [[normal distribution]], differential entropy is maximized for a given variance. A Gaussian random variable has the largest entropy amongst all random variables of equal variance, or, alternatively, the maximum entropy distribution under constraints of mean and variance is the Gaussian.<ref name="cover_thomas" />
对于正态分布，对于给定的方差，微分熵是最大的。在所有等方差随机变量中，高斯随机变量的熵最大，或者在均值和方差约束下的最大熵分布是高斯分布
对于正态分布，对于给定的方差，微分熵是最大的。在所有等方差随机变量中，高斯随机变量的熵最大，或者在均值和方差约束下的最大熵分布是高斯分布
===Proof===
===Proof===
证明
证明
Let <math>g(x)</math> be a [[Normal distribution|Gaussian]] [[Probability density function|PDF]] with mean μ and variance <math>\sigma^2</math> and <math>f(x)</math> an arbitrary [[Probability density function|PDF]] with the same variance. Since differential entropy is translation invariant we can assume that <math>f(x)</math> has the same mean of <math>\mu</math> as <math>g(x)</math>.
Let <math>g(x)</math> be a [[Normal distribution|Gaussian]] [[Probability density function|PDF]] with mean μ and variance <math>\sigma^2</math> and <math>f(x)</math> an arbitrary [[Probability density function|PDF]] with the same variance. Since differential entropy is translation invariant we can assume that <math>f(x)</math> has the same mean of <math>\mu</math> as <math>g(x)</math>.
Consider the [[Kullback–Leibler divergence]] between the two distributions
Consider the [[Kullback–Leibler divergence]] between the two distributions
:<math> 0 \leq D_{KL}(f || g) = \int_{-\infty}^\infty f(x) \log \left( \frac{f(x)}{g(x)} \right) dx = -h(f) - \int_{-\infty}^\infty f(x)\log(g(x)) dx.</math>
:<math> 0 \leq D_{KL}(f || g) = \int_{-\infty}^\infty f(x) \log \left( \frac{f(x)}{g(x)} \right) dx = -h(f) - \int_{-\infty}^\infty f(x)\log(g(x)) dx.</math>
Now note that
Now note that
:<math>\begin{align}
:<math>\begin{align}
\int_{-\infty}^\infty f(x)\log(g(x)) dx &= \int_{-\infty}^\infty f(x)\log\left( \frac{1}{\sqrt{2\pi\sigma^2}}e^{-\frac{(x-\mu)^2}{2\sigma^2}}\right) dx \\
\int_{-\infty}^\infty f(x)\log(g(x)) dx &= \int_{-\infty}^\infty f(x)\log\left( \frac{1}{\sqrt{2\pi\sigma^2}}e^{-\frac{(x-\mu)^2}{2\sigma^2}}\right) dx \\
&= \int_{-\infty}^\infty f(x) \log\frac{1}{\sqrt{2\pi\sigma^2}} dx + \log(e)\int_{-\infty}^\infty f(x)\left( -\frac{(x-\mu)^2}{2\sigma^2}\right) dx \\
&= \int_{-\infty}^\infty f(x) \log\frac{1}{\sqrt{2\pi\sigma^2}} dx + \log(e)\int_{-\infty}^\infty f(x)\left( -\frac{(x-\mu)^2}{2\sigma^2}\right) dx \\
&= -\tfrac{1}{2}\log(2\pi\sigma^2) - \log(e)\frac{\sigma^2}{2\sigma^2} \\
&= -\tfrac{1}{2}\log(2\pi\sigma^2) - \log(e)\frac{\sigma^2}{2\sigma^2} \\
&= -\tfrac{1}{2}\left(\log(2\pi\sigma^2) + \log(e)\right) \\
&= -\tfrac{1}{2}\left(\log(2\pi\sigma^2) + \log(e)\right) \\
&= -\tfrac{1}{2}\log(2\pi e \sigma^2) \\
&= -\tfrac{1}{2}\log(2\pi e \sigma^2) \\
&= -h(g)
&= -h(g)
\end{align}</math>
\end{align}</math>
because the result does not depend on <math>f(x)</math> other than through the variance. Combining the two results yields
because the result does not depend on <math>f(x)</math> other than through the variance. Combining the two results yields
with equality when <math>f(x)=g(x)</math> following from the properties of Kullback–Leibler divergence.
with equality when <math>f(x)=g(x)</math> following from the properties of Kullback–Leibler divergence.
===Alternative proof===
===Alternative proof===
替代证明
替代证明
This result may also be demonstrated using the [[variational calculus]]. A Lagrangian function with two [[Lagrangian multiplier]]s may be defined as:
This result may also be demonstrated using the [[variational calculus]]. A Lagrangian function with two [[Lagrangian multiplier]]s may be defined as:
:<math>L=\int_{-\infty}^\infty g(x)\ln(g(x))\,dx-\lambda_0\left(1-\int_{-\infty}^\infty g(x)\,dx\right)-\lambda\left(\sigma^2-\int_{-\infty}^\infty g(x)(x-\mu)^2\,dx\right)</math>
:<math>L=\int_{-\infty}^\infty g(x)\ln(g(x))\,dx-\lambda_0\left(1-\int_{-\infty}^\infty g(x)\,dx\right)-\lambda\left(\sigma^2-\int_{-\infty}^\infty g(x)(x-\mu)^2\,dx\right)</math>
where ''g(x)'' is some function with mean μ. When the entropy of ''g(x)'' is at a maximum and the constraint equations, which consist of the normalization condition <math>\left(1=\int_{-\infty}^\infty g(x)\,dx\right)</math> and the requirement of fixed variance <math>\left(\sigma^2=\int_{-\infty}^\infty g(x)(x-\mu)^2\,dx\right)</math>, are both satisfied, then a small variation δ''g''(''x'') about ''g(x)'' will produce a variation δ''L'' about ''L'' which is equal to zero:
where ''g(x)'' is some function with mean μ. When the entropy of ''g(x)'' is at a maximum and the constraint equations, which consist of the normalization condition <math>\left(1=\int_{-\infty}^\infty g(x)\,dx\right)</math> and the requirement of fixed variance <math>\left(\sigma^2=\int_{-\infty}^\infty g(x)(x-\mu)^2\,dx\right)</math>, are both satisfied, then a small variation δ''g''(''x'') about ''g(x)'' will produce a variation δ''L'' about ''L'' which is equal to zero:
:<math>0=\delta L=\int_{-\infty}^\infty \delta g(x)\left (\ln(g(x))+1+\lambda_0+\lambda(x-\mu)^2\right )\,dx</math>
:<math>0=\delta L=\int_{-\infty}^\infty \delta g(x)\left (\ln(g(x))+1+\lambda_0+\lambda(x-\mu)^2\right )\,dx</math>
Since this must hold for any small δ''g''(''x''), the term in brackets must be zero, and solving for ''g(x)'' yields:
Since this must hold for any small δ''g''(''x''), the term in brackets must be zero, and solving for ''g(x)'' yields:
:<math>g(x)=e^{-\lambda_0-1-\lambda(x-\mu)^2}</math>
:<math>g(x)=e^{-\lambda_0-1-\lambda(x-\mu)^2}</math>
Using the constraint equations to solve for λ<sub>0</sub> and λ yields the normal distribution:
Using the constraint equations to solve for λ<sub>0</sub> and λ yields the normal distribution:
:<math>g(x)=\frac{1}{\sqrt{2\pi\sigma^2}}e^{-\frac{(x-\mu)^2}{2\sigma^2}}</math>
:<math>g(x)=\frac{1}{\sqrt{2\pi\sigma^2}}e^{-\frac{(x-\mu)^2}{2\sigma^2}}</math>
==Example: Exponential distribution==
==Example: Exponential distribution==
例子：指数分布
例子：指数分布
Let <math>X</math> be an [[exponential distribution|exponentially distributed]] random variable with parameter <math>\lambda</math>, that is, with probability density function
Let <math>X</math> be an [[exponential distribution|exponentially distributed]] random variable with parameter <math>\lambda</math>, that is, with probability density function
:<math>f(x) = \lambda e^{-\lambda x} \mbox{ for } x \geq 0.</math>
:<math>f(x) = \lambda e^{-\lambda x} \mbox{ for } x \geq 0.</math>
Its differential entropy is then
Its differential entropy is then
{|
{|
|-
|-
| <math>h_e(X)\,</math>
| <math>h_e(X)\,</math>
| <math>=-\int_0^\infty \lambda e^{-\lambda x} \log (\lambda e^{-\lambda x})\,dx</math>
| <math>=-\int_0^\infty \lambda e^{-\lambda x} \log (\lambda e^{-\lambda x})\,dx</math>
|-
|-
|
|
| <math>= -\left(\int_0^\infty (\log \lambda)\lambda e^{-\lambda x}\,dx + \int_0^\infty (-\lambda x) \lambda e^{-\lambda x}\,dx\right) </math>
| <math>= -\left(\int_0^\infty (\log \lambda)\lambda e^{-\lambda x}\,dx + \int_0^\infty (-\lambda x) \lambda e^{-\lambda x}\,dx\right) </math>
|-
|-
|
|
| <math>= -\log \lambda \int_0^\infty f(x)\,dx + \lambda E[X]</math>
| <math>= -\log \lambda \int_0^\infty f(x)\,dx + \lambda E[X]</math>
|-
|-
|
|
| <math>= -\log\lambda + 1\,.</math>
| <math>= -\log\lambda + 1\,.</math>
|}
|}
Here, <math>h_e(X)</math> was used rather than <math>h(X)</math> to make it explicit that the logarithm was taken to base ''e'', to simplify the calculation.
Here, <math>h_e(X)</math> was used rather than <math>h(X)</math> to make it explicit that the logarithm was taken to base ''e'', to simplify the calculation.
==Relation to estimator error==
==Relation to estimator error==
The differential entropy yields a lower bound on the expected squared error of an [[estimator]]. For any random variable <math>X</math> and estimator <math>\widehat{X}</math> the following holds:<ref name="cover_thomas" />
The differential entropy yields a lower bound on the expected squared error of an [[estimator]]. For any random variable <math>X</math> and estimator <math>\widehat{X}</math> the following holds:<ref name="cover_thomas" />
:<math>\operatorname{E}[(X - \widehat{X})^2] \ge \frac{1}{2\pi e}e^{2h(X)}</math>
:<math>\operatorname{E}[(X - \widehat{X})^2] \ge \frac{1}{2\pi e}e^{2h(X)}</math>
with equality if and only if <math>X</math> is a Gaussian random variable and <math>\widehat{X}</math> is the mean of <math>X</math>.
with equality if and only if <math>X</math> is a Gaussian random variable and <math>\widehat{X}</math> is the mean of <math>X</math>.
==Differential entropies for various distributions==
==Differential entropies for various distributions==
In the table below <math>\Gamma(x) = \int_0^{\infty} e^{-t} t^{x-1} dt</math> is the [[gamma function]], <math>\psi(x) = \frac{d}{dx} \ln\Gamma(x)=\frac{\Gamma'(x)}{\Gamma(x)}</math> is the [[digamma function]], <math>B(p,q) = \frac{\Gamma(p)\Gamma(q)}{\Gamma(p+q)}</math> is the [[beta function]], and γ<sub>''E''</sub> is [[Euler-Mascheroni constant|Euler's constant]].<ref>{{cite journal |last1=Park |first1=Sung Y. |last2=Bera |first2=Anil K. |year=2009 |title=Maximum entropy autoregressive conditional heteroskedasticity model |journal=Journal of Econometrics |publisher=Elsevier |url=http://www.wise.xmu.edu.cn/Master/Download/..%5C..%5CUploadFiles%5Cpaper-masterdownload%5C2009519932327055475115776.pdf |access-date=2011-06-02 |archive-url=https://web.archive.org/web/20160307144515/http://wise.xmu.edu.cn/uploadfiles/paper-masterdownload/2009519932327055475115776.pdf |archive-date=2016-03-07 |url-status=dead }}</ref>{{rp|219–230}}
In the table below <math>\Gamma(x) = \int_0^{\infty} e^{-t} t^{x-1} dt</math> is the [[gamma function]], <math>\psi(x) = \frac{d}{dx} \ln\Gamma(x)=\frac{\Gamma'(x)}{\Gamma(x)}</math> is the [[digamma function]], <math>B(p,q) = \frac{\Gamma(p)\Gamma(q)}{\Gamma(p+q)}</math> is the [[beta function]], and γ<sub>''E''</sub> is [[Euler-Mascheroni constant|Euler's constant]].<ref>{{cite journal |last1=Park |first1=Sung Y. |last2=Bera |first2=Anil K. |year=2009 |title=Maximum entropy autoregressive conditional heteroskedasticity model |journal=Journal of Econometrics |publisher=Elsevier |url=http://www.wise.xmu.edu.cn/Master/Download/..%5C..%5CUploadFiles%5Cpaper-masterdownload%5C2009519932327055475115776.pdf |accessdate=2011-06-02 |archive-url=https://web.archive.org/web/20160307144515/http://wise.xmu.edu.cn/uploadfiles/paper-masterdownload/2009519932327055475115776.pdf |archive-date=2016-03-07 |url-status=dead }}</ref>{{rp|219–230}}
{| class="wikitable" style="background:white"
{| class="wikitable" style="background:white"
|+ Table of differential entropies
|+ Table of differential entropies
|-
|-
! Distribution Name !! Probability density function (pdf) !! Entropy in [[Nat (unit)|nat]]s || Support
! Distribution Name !! Probability density function (pdf) !! Entropy in [[Nat (unit)|nat]]s || Support
|-
|-
| [[Uniform distribution (continuous)|Uniform]] || <math>f(x) = \frac{1}{b-a}</math> || <math>\ln(b - a) \,</math> ||<math>[a,b]\,</math>
| [[Uniform distribution (continuous)|Uniform]] || <math>f(x) = \frac{1}{b-a}</math> || <math>\ln(b - a) \,</math> ||<math>[a,b]\,</math>
|-
|-
| [[Normal distribution|Normal]] || <math>f(x) = \frac{1}{\sqrt{2\pi\sigma^2}} \exp\left(-\frac{(x-\mu)^2}{2\sigma^2}\right)</math> || <math>\ln\left(\sigma\sqrt{2\,\pi\,e}\right) </math>||<math>(-\infty,\infty)\,</math>
| [[Normal distribution|Normal]] || <math>f(x) = \frac{1}{\sqrt{2\pi\sigma^2}} \exp\left(-\frac{(x-\mu)^2}{2\sigma^2}\right)</math> || <math>\ln\left(\sigma\sqrt{2\,\pi\,e}\right) </math>||<math>(-\infty,\infty)\,</math>
|-
|-
| [[Exponential distribution|Exponential]] || <math>f(x) = \lambda \exp\left(-\lambda x\right)</math> || <math>1 - \ln \lambda \, </math>||<math>[0,\infty)\,</math>
| [[Exponential distribution|Exponential]] || <math>f(x) = \lambda \exp\left(-\lambda x\right)</math> || <math>1 - \ln \lambda \, </math>||<math>[0,\infty)\,</math>
|-
|-
| [[Rayleigh distribution|Rayleigh]] || <math>f(x) = \frac{x}{\sigma^2} \exp\left(-\frac{x^2}{2\sigma^2}\right)</math> || <math>1 + \ln \frac{\sigma}{\sqrt{2}} + \frac{\gamma_E}{2}</math>||<math>[0,\infty)\,</math>
| [[Rayleigh distribution|Rayleigh]] || <math>f(x) = \frac{x}{\sigma^2} \exp\left(-\frac{x^2}{2\sigma^2}\right)</math> || <math>1 + \ln \frac{\sigma}{\sqrt{2}} + \frac{\gamma_E}{2}</math>||<math>[0,\infty)\,</math>
|-
|-
| [[Beta distribution|Beta]] || <math>f(x) = \frac{x^{\alpha-1}(1-x)^{\beta-1}}{B(\alpha,\beta)}</math> for <math>0 \leq x \leq 1</math> || <math> \ln B(\alpha,\beta) - (\alpha-1)[\psi(\alpha) - \psi(\alpha +\beta)]\,</math><br /><math>- (\beta-1)[\psi(\beta) - \psi(\alpha + \beta)] \, </math>||<math>[0,1]\,</math>
| [[Beta distribution|Beta]] || <math>f(x) = \frac{x^{\alpha-1}(1-x)^{\beta-1}}{B(\alpha,\beta)}</math> for <math>0 \leq x \leq 1</math> || <math> \ln B(\alpha,\beta) - (\alpha-1)[\psi(\alpha) - \psi(\alpha +\beta)]\,</math><br /><math>- (\beta-1)[\psi(\beta) - \psi(\alpha + \beta)] \, </math>||<math>[0,1]\,</math>
|-
|-
| [[Cauchy distribution|Cauchy]] || <math>f(x) = \frac{\gamma}{\pi} \frac{1}{\gamma^2 + x^2}</math> || <math>\ln(4\pi\gamma) \, </math>||<math>(-\infty,\infty)\,</math>
| [[Cauchy distribution|Cauchy]] || <math>f(x) = \frac{\gamma}{\pi} \frac{1}{\gamma^2 + x^2}</math> || <math>\ln(4\pi\gamma) \, </math>||<math>(-\infty,\infty)\,</math>
|-
| [[Chi distribution|Chi]] || <math>f(x) = \frac{2}{2^{k/2} \Gamma(k/2)} x^{k-1} \exp\left(-\frac{x^2}{2}\right)</math> || <math>\ln{\frac{\Gamma(k/2)}{\sqrt{2}}} - \frac{k-1}{2} \psi\left(\frac{k}{2}\right) + \frac{k}{2}</math>||<math>[0,\infty)\,</math>
|-
| [[Chi-squared distribution|Chi-squared]] || <math>f(x) = \frac{1}{2^{k/2} \Gamma(k/2)} x^{\frac{k}{2}\!-\!1} \exp\left(-\frac{x}{2}\right)</math> || <math>\ln 2\Gamma\left(\frac{k}{2}\right) - \left(1 - \frac{k}{2}\right)\psi\left(\frac{k}{2}\right) + \frac{k}{2}</math>||<math>[0,\infty)\,</math>
|-
| [[Erlang distribution|Erlang]] || <math>f(x) = \frac{\lambda^k}{(k-1)!} x^{k-1} \exp(-\lambda x)</math> || <math>(1-k)\psi(k) + \ln \frac{\Gamma(k)}{\lambda} + k</math>||<math>[0,\infty)\,</math>
|-
| [[F distribution|F]] || <math>f(x) = \frac{n_1^{\frac{n_1}{2}} n_2^{\frac{n_2}{2}}}{B(\frac{n_1}{2},\frac{n_2}{2})} \frac{x^{\frac{n_1}{2} - 1}}{(n_2 + n_1 x)^{\frac{n_1 + n2}{2}}}</math> || <math>\ln \frac{n_1}{n_2} B\left(\frac{n_1}{2},\frac{n_2}{2}\right) + \left(1 - \frac{n_1}{2}\right) \psi\left(\frac{n_1}{2}\right) -</math><br /><math>\left(1 + \frac{n_2}{2}\right)\psi\left(\frac{n_2}{2}\right) + \frac{n_1 + n_2}{2} \psi\left(\frac{n_1\!+\!n_2}{2}\right)</math>||<math>[0,\infty)\,</math>
|-
| [[Gamma distribution|Gamma]] || <math>f(x) = \frac{x^{k - 1} \exp(-\frac{x}{\theta})}{\theta^k \Gamma(k)}</math> || <math>\ln(\theta \Gamma(k)) + (1 - k)\psi(k) + k \, </math>||<math>[0,\infty)\,</math>
|-
| [[Laplace distribution|Laplace]] || <math>f(x) = \frac{1}{2b} \exp\left(-\frac{|x - \mu|}{b}\right)</math> || <math>1 + \ln(2b) \, </math>||<math>(-\infty,\infty)\,</math>
|-
| [[Logistic distribution|Logistic]] || <math>f(x) = \frac{e^{-x}}{(1 + e^{-x})^2}</math> || <math>2 \, </math>||<math>(-\infty,\infty)\,</math>
|-
| [[Log-normal distribution|Lognormal]] || <math>f(x) = \frac{1}{\sigma x \sqrt{2\pi}} \exp\left(-\frac{(\ln x - \mu)^2}{2\sigma^2}\right)</math> || <math>\mu + \frac{1}{2} \ln(2\pi e \sigma^2)</math>||<math>[0,\infty)\,</math>
|-
| [[Maxwell–Boltzmann distribution|Maxwell–Boltzmann]] || <math>f(x) = \frac{1}{a^3}\sqrt{\frac{2}{\pi}}\,x^{2}\exp\left(-\frac{x^2}{2a^2}\right)</math> || <math>\ln(a\sqrt{2\pi})+\gamma_E-\frac{1}{2}</math>||<math>[0,\infty)\,</math>
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| [[Generalized Gaussian distribution|Generalized normal]] || <math>f(x) = \frac{2 \beta^{\frac{\alpha}{2}}}{\Gamma(\frac{\alpha}{2})} x^{\alpha - 1} \exp(-\beta x^2)</math> || <math>\ln{\frac{\Gamma(\alpha/2)}{2\beta^{\frac{1}{2}}}} - \frac{\alpha - 1}{2} \psi\left(\frac{\alpha}{2}\right) + \frac{\alpha}{2}</math>||<math>(-\infty,\infty)\,</math>
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| [[Pareto distribution|Pareto]] || <math>f(x) = \frac{\alpha x_m^\alpha}{x^{\alpha+1}}</math> || <math>\ln \frac{x_m}{\alpha} + 1 + \frac{1}{\alpha}</math>||<math>[x_m,\infty)\,</math>
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| [[Student's t-distribution|Student's t]] || <math>f(x) = \frac{(1 + x^2/\nu)^{-\frac{\nu+1}{2}}}{\sqrt{\nu}B(\frac{1}{2},\frac{\nu}{2})}</math> || <math>\frac{\nu\!+\!1}{2}\left(\psi\left(\frac{\nu\!+\!1}{2}\right)\!-\!\psi\left(\frac{\nu}{2}\right)\right)\!+\!\ln \sqrt{\nu} B\left(\frac{1}{2},\frac{\nu}{2}\right)</math>||<math>(-\infty,\infty)\,</math>
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| [[Triangular distribution|Triangular]] || <math> f(x) = \begin{cases}
\frac{2(x-a)}{(b-a)(c-a)} & \mathrm{for\ } a \le x \leq c, \\[4pt]
\frac{2(b-x)}{(b-a)(b-c)} & \mathrm{for\ } c < x \le b, \\[4pt]
\end{cases}</math> || <math>\frac{1}{2} + \ln \frac{b-a}{2}</math>||<math>[0,1]\,</math>
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| [[Weibull distribution|Weibull]] || <math>f(x) = \frac{k}{\lambda^k} x^{k-1} \exp\left(-\frac{x^k}{\lambda^k}\right)</math> || <math>\frac{(k-1)\gamma_E}{k} + \ln \frac{\lambda}{k} + 1</math>||<math>[0,\infty)\,</math>
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| [[Multivariate normal distribution|Multivariate normal]] || <math>
f_X(\vec{x}) =</math><br /><math> \frac{\exp \left( -\frac{1}{2} ( \vec{x} - \vec{\mu})^\top \Sigma^{-1}\cdot(\vec{x} - \vec{\mu}) \right)} {(2\pi)^{N/2} \left|\Sigma\right|^{1/2}}</math> || <math>\frac{1}{2}\ln\{(2\pi e)^{N} \det(\Sigma)\}</math>||<math>\mathbb{R}^N</math>
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|}
Many of the differential entropies are from.<ref name="lazorathie">{{cite journal|author=Lazo, A. and P. Rathie|title=On the entropy of continuous probability distributions|journal=IEEE Transactions on Information Theory|year=1978|volume=24 |issue=1|doi=10.1109/TIT.1978.1055832|pages=120–122}}</ref>{{rp|120–122}}
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[[Category:信息论]]
[[Category:统计的随机性]]