Correction published on 3 November 2017,
Entropy 2017, 19(11), 588
Estimating Mixture Entropy with Pairwise Distances
Santa Fe Institute, Santa Fe, NM 87501, USA
Department of Aeronautics and Astronautics, Massachusetts Institute of Technology, Cambridge, MA 02139, USA
Author to whom correspondence should be addressed.
Received: 8 June 2017 / Revised: 8 July 2017 / Accepted: 12 July 2017 / Published: 14 July 2017
Mixture distributions arise in many parametric and non-parametric settings—for example, in Gaussian mixture models and in non-parametric estimation. It is often necessary to compute the entropy of a mixture, but, in most cases, this quantity has no closed-form expression, making some form of approximation necessary. We propose a family of estimators based on a pairwise distance function between mixture components, and show that this estimator class has many attractive properties. For many distributions of interest, the proposed estimators are efficient to compute, differentiable in the mixture parameters, and become exact when the mixture components are clustered. We prove this family includes lower and upper bounds on the mixture entropy. The Chernoff
-divergence gives a lower bound when chosen as the distance function, with the Bhattacharyaa distance providing the tightest lower bound for components that are symmetric and members of a location family. The Kullback–Leibler divergence gives an upper bound when used as the distance function. We provide closed-form expressions of these bounds for mixtures of Gaussians, and discuss their applications to the estimation of mutual information. We then demonstrate that our bounds are significantly tighter than well-known existing bounds using numeric simulations. This estimator class is very useful in optimization problems involving maximization/minimization of entropy and mutual information, such as MaxEnt and rate distortion problems.
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Kolchinsky, A.; Tracey, B.D. Estimating Mixture Entropy with Pairwise Distances. Entropy 2017, 19, 361.
Kolchinsky A, Tracey BD. Estimating Mixture Entropy with Pairwise Distances. Entropy. 2017; 19(7):361.
Kolchinsky, Artemy; Tracey, Brendan D. 2017. "Estimating Mixture Entropy with Pairwise Distances." Entropy 19, no. 7: 361.
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