relative entropy

Let $p$ and $q$ be probability distributions with supports   $\mathcal{X}$ and $\mathcal{Y}$ respectively, where $\mathcal{X}\subset\mathcal{Y}$. The relative entropy or Kullback-Leibler distance  between two probability distributions $p$ and $q$ is defined as

 $D(p||q):=\sum_{x\in\mathcal{X}}p(x)\log\frac{p(x)}{q(x)}.$ (1)
 $\displaystyle-D(p||q)$ $\displaystyle=-\sum_{x\in\mathcal{X}}p(x)\log\frac{p(x)}{q(x)}$ (2) $\displaystyle=\sum_{x\in\mathcal{X}}p(x)\log\frac{q(x)}{p(x)}$ (3) $\displaystyle\leq\log\left(\sum_{x\in\mathcal{X}}p(x)\frac{q(x)}{p(x)}\right)$ (4) $\displaystyle=\log\left(\sum_{x\in\mathcal{X}}q(x)\right)$ (5) $\displaystyle\leq\log\left(\sum_{x\in\mathcal{Y}}q(x)\right)$ (6) $\displaystyle=0$ (7)

where the first inequality  follows from the concavity of $\log(x)$ and the second from expanding the sum over the support of $q$ rather than $p$.

Relative entropy also comes in a continuous   version which looks just as one might expect. For continuous distributions $f$ and $g$, $\mathcal{S}$ the support of $f$, we have

 $D(f||g):=\int_{\mathcal{S}}f\log\frac{f}{g}.$ (8)
 Title relative entropy Canonical name RelativeEntropy Date of creation 2013-03-22 12:19:32 Last modified on 2013-03-22 12:19:32 Owner Mathprof (13753) Last modified by Mathprof (13753) Numerical id 10 Author Mathprof (13753) Entry type Definition Classification msc 60E05 Classification msc 94A17 Synonym Kullback-Leibler distance Related topic Metric Related topic ConditionalEntropy Related topic MutualInformation Related topic ProofOfGaussianMaximizesEntropyForGivenCovariance