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Register a new userRelative $alpha$-Entropy Minimizers Subject to Linear Statistical Constraints
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M. Ashok Kumar
Publication date
2014
fields
Informatics Engineering
and research's language is
English
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We study minimization of a parametric family of relative entropies, termed relative $alpha$-entropies (denoted $mathscr{I}_{alpha}(P,Q)$). These arise as redundancies under mismatched compression when cumulants of compressed lengths are considered instead of expected compressed lengths. These parametric relative entropies are a generalization of the usual relative entropy (Kullback-Leibler divergence). Just like relative entropy, these relative $alpha$-entropies behave like squared Euclidean distance and satisfy the Pythagorean property. Minimization of $mathscr{I}_{alpha}(P,Q)$ over the first argument on a set of probability distributions that constitutes a linear family is studied. Such a minimization generalizes the maximum R{e}nyi or Tsallis entropy principle. The minimizing probability distribution (termed $mathscr{I}_{alpha}$-projection) for a linear family is shown to have a power-law.
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Minimization problems with respect to a one-parameter family of generalized relative entropies are studied. These relative entropies, which we term relative $alpha$-entropies (denoted $mathscr{I}_{alpha}$), arise as redundancies under mismatched compression when cumulants of compressed lengths are considered instead of expected compressed lengths. These parametric relative entropies are a generalization of the usual relative entropy (Kullback-Leibler divergence). Just like relative entropy, these relative $alpha$-entropies behave like squared Euclidean distance and satisfy the Pythagorean property. Minimizers of these relative $alpha$-entropies on closed and convex sets are shown to exist. Such minimizations generalize the maximum R{e}nyi or Tsallis entropy principle. The minimizing probability distribution (termed forward $mathscr{I}_{alpha}$-projection) for a linear family is shown to obey a power-law. Other results in connection with statistical inference, namely subspace transitivity and iterated projections, are also established. In a companion paper, a related minimization problem of interest in robust statistics that leads to a reverse $mathscr{I}_{alpha}$-projection is studied.
In part I of this two-part work, certain minimization problems based on a parametric family of relative entropies (denoted $mathscr{I}_{alpha}$) were studied. Such minimizers were called forward $mathscr{I}_{alpha}$-projections. Here, a complementary class of minimization problems leading to the so-called reverse $mathscr{I}_{alpha}$-projections are studied. Reverse $mathscr{I}_{alpha}$-projections, particularly on log-convex or power-law families, are of interest in robust estimation problems ($alpha >1$) and in constrained compression settings ($alpha <1$). Orthogonality of the power-law family with an associated linear family is first established and is then exploited to turn a reverse $mathscr{I}_{alpha}$-projection into a forward $mathscr{I}_{alpha}$-projection. The transformed problem is a simpler quasiconvex minimization subject to linear constraints.
Consider the set of all sequences of $n$ outcomes, each taking one of $m$ values, that satisfy a number of linear constraints. If $m$ is fixed while $n$ increases, most sequences that satisfy the constraints result in frequency vectors whose entropy approaches that of the maximum entropy vector satisfying the constraints. This well-known entropy concentration phenomenon underlies the maximum entropy method. Existing proofs of the concentration phenomenon are based on limits or asymptotics and unrealistically assume that constraints hold precisely, supporting maximum entropy inference more in principle than in practice. We present, for the first time, non-asymptotic, explicit lower bounds on $n$ for a number of variants of the concentration result to hold to any prescribed accuracies, with the constraints holding up to any specified tolerance, taking into account the fact that allocations of discrete units can satisfy constraints only approximately. Again unlike earlier results, we measure concentration not by deviation from the maximum entropy value, but by the $ell_1$ and $ell_2$ distances from the maximum entropy-achieving frequency vector. One of our results holds independently of the alphabet size $m$ and is based on a novel proof technique using the multi-dimensional Berry-Esseen theorem. We illustrate and compare our results using various detailed examples.
We introduce an axiomatic approach to entropies and relative entropies that relies only on minimal information-theoretic axioms, namely monotonicity under mixing and data-processing as well as additivity for product distributions. We find that these axioms induce sufficient structure to establish continuity in the interior of the probability simplex and meaningful upper and lower bounds, e.g., we find that every relative entropy must lie between the Renyi divergences of order $0$ and $infty$. We further show simple conditions for positive definiteness of such relative entropies and a characterisation in term of a variant of relative trumping. Our main result is a one-to-one correspondence between entropies and relative entropies.
Non-orthogonal access techniques have recently gained renewed interest in the context of next generation wireless networks. As the relative gain, with respect to traditionally employed orthogonal-access techniques depends on many factors, it is of interest to obtain insights by considering the simplest scenario, the two-user downlink (broadcast) channel where all nodes are equipped with a single antenna. Further, we focus on rate pairs that are in the vicinity of sum-rate optimalilty with respect to the capacity region of the broadcast channel. A simple and explicit characterization of the relative gain of non-orthogonal transmission with respect to orthogonal transmission is obtained under these conditions as an immediate consequence of the capacity regions of the two.
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