Gelfand-Yaglom-Perez Theorem for Generalized Relative Entropies
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.
Keywords
Cite
@article{arxiv.math-ph/0601035,
title = {Gelfand-Yaglom-Perez Theorem for Generalized Relative Entropies},
author = {Ambedkar Dukkipati and Shalabh Bhatnagar and M Narasimha Murty},
journal= {arXiv preprint arXiv:math-ph/0601035},
year = {2007}
}