Gelfand-Yaglom-Perez theorem for generalized relative entropy functionals

  • Authors:
  • Ambedkar Dukkipati;Shalabh Bhatnagar;M. Narasimha Murty

  • Affiliations:
  • Department of Computer Science and Automation, Indian Institute of Science, Bangalore 560 012, India;Department of Computer Science and Automation, Indian Institute of Science, Bangalore 560 012, India;Department of Computer Science and Automation, Indian Institute of Science, Bangalore 560 012, India

  • Venue:
  • Information Sciences: an International Journal
  • Year:
  • 2007

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Abstract

The measure-theoretic definition of Kullback-Leibler relative-entropy (or simply KL-entropy) plays a basic role in defining various classical information measures on general spaces. Entropy, mutual information and conditional forms of entropy can be expressed in terms of KL-entropy and hence properties of their measure-theoretic analogs will follow from those of measure-theoretic KL-entropy. These measure-theoretic definitions are key to extending the ergodic theorems of information theory to non-discrete cases. A fundamental theorem in this respect is the Gelfand-Yaglom-Perez (GYP) Theorem [M.S. Pinsker, Information and Information Stability of Random Variables and Process, 1960, Holden-Day, San Francisco, CA (English ed., 1964, translated and edited by Amiel Feinstein), Theorem. 2.4.2] which states that measure-theoretic relative-entropy equals the supremum of relative-entropies over all measurable partitions. This paper states and proves the GYP-theorem for Renyi relative-entropy of order greater than one. Consequently, the result can be easily extended to Tsallis relative-entropy.