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Gelfand-Yaglom-Perez Theorem for Generalized Relative Entropies

Ambedkar Dukkipati·Shalabh Bhatnagar·M Narasimha Murty
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Abstract

The measure-theoretic definition of Kullback-Leibler relative-entropy (KL-entropy) plays a basic role in the definitions of classical information measures. 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 (Pinsker, 1960, 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.

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BibTeXRIS

Ambedkar Dukkipati, Shalabh Bhatnagar, M Narasimha Murty. 2006-01-18. Gelfand-Yaglom-Perez Theorem for Generalized Relative Entropies. https://arxiv.org/abs/math-ph/0601035

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