Joint entropy


Joint entropy

The joint entropy is an entropy measure used in information theory. The joint entropy measures how much entropy is contained in a joint system of two random variables. If the random variables are X and Y, the joint entropy is written H(X,Y). Like other entropies, the joint entropy can be measured in bits, nits, or hartleys depending on the base of the logarithm.

Background

Given a random variable X, the entropy H(X) describes our uncertainty about the value of X. If X consists of several events x, which each occur with probability p_x, then the entropy of X is

:H(X) = -sum_x p_x log_2(p_x) !

Consider another random variable Y, containing events y occurring with probabilities p_y. Y has entropy H(Y).

However, if X and Y describe related events, the total entropy of the system may not be H(X)+H(Y). For example, imagine we choose an integer between 1 and 8, with equal probability for each integer. Let X represent whether the integer is even, and Y represent whether the integer is prime. One-half of the integers between 1 and 8 are even, and one-half are prime, so H(X)=H(Y)=1. However, if we know that the integer is even, there is only a 1 in 4 chance that it is also prime; the distributions are related. The total entropy of the system is less than 2 bits. We need a way of measuring the total entropy of both systems.

Definition

We solve this by considering each "pair" of possible outcomes (x,y). If each pair of outcomes occurs with probability p_{x,y}, the joint entropy is defined as

:H(X,Y) = -sum_{x,y} p_{x,y} log_2(p_{x,y}) !

In the example above we are not considering 1 as a prime. Then the joint probability distribution becomes:

P(even,prime)=P(odd,not prime)=1/8 quad

P(even,not prime)=P(odd,prime)=3/8 quad

Thus, the joint entropy is

-2frac{1}{8}log_2(1/8) -2frac{3}{8}log_2(3/8) approx 1.8 bits.

Properties

Greater than subsystem entropies

The joint entropy is always at least equal to the entropies of the original system; adding a new system can never reduce the available uncertainty.

:H(X,Y) geq H(X)

This inequality is an equality if and only if Y is a (deterministic) function of X.

if Y is a (deterministic) function of X, we also have

:H(X) geq H(Y)

ubadditivity

Two systems, considered together, can never have more entropy than the sum of the entropy in each of them. This is an example of subadditivity.

:H(X,Y) leq H(X) + H(Y)

This inequality is an equality if and only if X and Y are statistically independent.

Bounds

Like other entropies, H(X,Y) geq 0 always.

Relations to Other Entropy Measures

The joint entropy is used in the definitions of the conditional entropy:

:H(X|Y) = H(X,Y) - H(Y),

and the mutual information:

:I(X;Y) = H(X) + H(Y) - H(X,Y),

In quantum information theory, the joint entropy is generalized into the joint quantum entropy.

References

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