Entropy rate - Alchetron, The Free Social Encyclopedia

In the mathematical theory of probability, the entropy rate or source information rate of a stochastic process is, informally, the time density of the average information in a stochastic process. For stochastic processes with a countable index, the entropy rate H(X) is the limit of the joint entropy of n members of the process X_k divided by n, as n tends to infinity:

H ( X ) = lim n → ∞ 1 n H ( X 1 , X 2 , … X n )

when the limit exists. An alternative, related quantity is:

H ′ ( X ) = lim n → ∞ H ( X n | X n − 1 , X n − 2 , … X 1 )

For strongly stationary stochastic processes, H ( X ) = H ′ ( X ) . The entropy rate can be thought of as a general property of stochastic sources; this is the asymptotic equipartition property.

Entropy rates for Markov chains

Since a stochastic process defined by a Markov chain that is irreducible, aperiodic and positive recurrent has a stationary distribution, the entropy rate is independent of the initial distribution.

For example, for such a Markov chain Y_k defined on a countable number of states, given the transition matrix P_ij, H(Y) is given by:

H ( Y ) = − ∑ i j μ i P i j log ⁡ P i j

where μ_i is the asymptotic distribution of the chain.

A simple consequence of this definition is that an i.i.d. stochastic process has an entropy rate that is the same as the entropy of any individual member of the process.

References

Entropy rate Wikipedia

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