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In information theory, Gibbs' inequality is a statement about the mathematical entropy of a discrete probability distribution. Several other bounds on the entropy of probability distributions are derived from Gibbs' inequality, including Fano's inequality. It was first presented by J. Willard Gibbs in the 19th century.
is a probability distribution. Then for any other probability distribution
the following inequality between positive quantities (since the pi and qi are positive numbers less than one) holds
with equality if and only if
The difference between the two quantities is the Kullback–Leibler divergence or relative entropy, so the inequality can also be written:
it is sufficient to prove the statement using the natural logarithm (ln). Note that the natural logarithm satisfies
for all x > 0 with equality if and only if x=1.
Let denote the set of all for which pi is non-zero. Then
and then trivially
since the right hand side does not grow, but the left hand side may grow or may stay the same.
For equality to hold, we require:
- for all so that the approximation is exact.
- so that equality continues to hold between the third and fourth lines of the proof.
This can happen if and only if
for i = 1, ..., n.
The entropy of is bounded by:
The proof is trivial - simply set for all i.