**Part Of**: Information Theory sequence

**Content Summary**: 900 words, 9 min read

Motivations

What do probabilities mean?

A **frequentist** believes that they represent frequencies. P(snow) =10% means that on 100 days just like this one, 10 of them will have snow.

A **Bayesian**, on the other hand, views probability as degree of belief. P(snow) = 10% means that you believe there is a 10% chance it will snow today.

This subjective approach views reasoning as **probability **(degree of belief) spread over **possibility**. On this view, Bayes Theorem provides a complete theory of inference:

From this equation, we see how information updates our belief probabilities. Bayesian updating describes this transition from prior to posterior, P(H) → P(H|E).

As evidence accumulates, one’s “belief distributions” tend to become sharply peaked. Here, we see degree of belief in a hockey goalie’s skill, as we observe him play. (Image credit Greater Than Plus Minus):

What does it mean for a distribution to be uncertain? We would like to say that our certainty grows as the distribution sharpens. Unfortunately, probability theory provides no language to quantify this intuition.

This is where information theory comes to the rescue. In 1948 Claude Shannon discovered a unique, unambiguous way to measure probabilistic uncertainty.

What is this function? And how did he discover it? Let’s find out.

Desiderata For An Uncertainty Measure

We desire some quantity H(p) which measures the **uncertainty** of a distribution.

To derive H, we must specify its **desiderata**, or what we want it to do. This task may feel daunting. But in fact, very simple conditions already determine H to within a constant factor.

We require H to meet the following conditions:

**Continuous**. H(p) is a continuous function.**Monotonic**. H(p) for an equiprobable distribution (that is, A(n) = H(1/n, 1/n, 1/n)) is a monotonic increasing function of n.**Compositionally Invariant**. If we reorganize X by bundling individual outcomes into single variables (b: X → W), H is unchanged, H(X) = H(W).

Let’s explore compositional invariance in more detail.

Deriving H

Let us consider some variable that can assume discrete values . Our partial understanding of the processes which determine are the probabilities . We would like to find some , which measures the uncertainty of this distribution.

Suppose has three possible outcomes. We can derive by combining events x_{2 }and x_{3}.

The uncertainty of must be invariant to such bundling. So we have that:

The right tree has two distributions and . The uncertainty of two distributions is the sum of each individual uncertainty. Thus we add H(⅔, ⅓). But this distribution is reached only ½ of the time, so we multiply by 0.5.

How does composition affect equiprobable distributions ? Consider a new with 12 possible outcomes, each equally likely to occur. The uncertainty , by definition. Suppose we choose to bundle these branches by . Then we have:

But suppose we choose a different bundling function . This simplifies things:

For what function of does hold? There is only one solution, as shown in Shannon’s paper:

varies with logarithmic base (bits, trits, nats, etc). With this solution we can derive a general formula for entropy .

Recall,

← Found by uniform bundling (eg., )

← Found by arbitrary bundling (eg., )

Hence,

We have arrived at our definition of uncertainty, the entropy H(X):

To illustrate, consider a coin with bias p. Our uncertainty is maximized for a fair coin, p = 0.5, and smallest at p = 0.0 (certain tails) or 1.0 (certain heads).

Entropy vs Information

What is the relationship between uncertainty and information? To answer this, we must first understand information.

Consider the number of possible sentences in a book. Is this information? Two books contain exponentially more possible sentences than one book.

When we speak of information, we desire it to scale linearly with its length. Two books should contain approximately twice as much information.

If we take the logarithm of the possible messages , we can preserve this intuition:

Recall that,

From here, we can show that entropy is expected information:

What does this discovery mean, though?

Imagine a device that produces 3 symbols, A, B, or C. As we wait for the next symbol, we are *uncertain* which symbol comes next. Once a symbol appears our uncertainty decreases, because we have received more *information*. **Information is a decrease in entropy.**

If A, B, and C occur at the same frequency, we should not be surprised to see any one letter. But if P(A) approaches 0, then we will be very surprised to see it appear, and the formula says I(X) approaches ∞. **For the receiver of a message, information represents surprisal**.

On this interpretation, the above formula becomes clear. **Uncertainty is anticipated surprise.** If our knowledge is incomplete, we expect surprise. But confident knowledge is “surprised by surprise”.

Conclusions

The great contribution of information theory lies in a measure for probabilistic uncertainty.

We desire this measure to be continuous, monotonic, and compositionally invariant. There is only one such function, the entropy H:

This explains why a broad distribution is more uncertain than one that is narrow.

Henceforth, we will view the words “entropy” and “uncertainty” as synonymous.

Related Works

- Shannon (1948).
*A Mathematical Theory of Communication* - Jaynes (1957).
*Information Theory and Statistical Mechanics* - Schneider (1995).
*Information theory primer*