Sanov's theorem

In information theory, Sanov's theorem gives a bound on the probability of observing an atypical sequence of samples from a given probability distribution. In the language of large deviations theory, Sanov's theorem identifies the rate function for large deviations of the empirical measure of a sequence of i.i.d. random variables.

Let A be a set of probability distributions over an alphabet X, and let q be an arbitrary distribution over X (where q may or may not be in A). Suppose we draw n i.i.d. samples from q, represented by the vector $x^{n}=x_{1},x_{2},\ldots ,x_{n}$. Further, let us ask that the empirical measure, ${\hat {p}}_{x^{n}}$, of the samples falls within the set A—formally, we write $\{x^{n}:{\hat {p}}_{x^{n}}\in A\}$. Then,

$q^{n}(x^{n})\leq (n+1)^{|X|}2^{-nD_{\mathrm {KL} }(p^{*}||q)}$,

where

• $q^{n}(x^{n})$ is shorthand for $q(x_{1})q(x_{2})\cdots q(x_{n})$, and
• $p^{*}$ is the information projection of q onto A.

In words, the probability of drawing an atypical distribution is a function of the KL divergence from the true distribution to the atypical one; in the case that we consider a set of possible atypical distributions, there is a dominant atypical distribution, given by the information projection.

Furthermore, if A is the closure of its interior,

$\lim _{n\to \infty }{\frac {1}{n}}\log q^{n}(x^{n})=-D_{\mathrm {KL} }(p^{*}||q).$

References

• Cover, Thomas M.; Thomas, Joy A. (2006). Elements of Information Theory (2 ed.). Hoboken, New Jersey: Wiley Interscience. pp. 362.

• Sanov, I. N. (1957) "On the probability of large deviations of random variables". Mat. Sbornik 42(84), No. 1, 11–44.
• Санов, И. Н. (1957) "О вероятности больших отклонений случайных величин". МАТЕМАТИЧЕСКИЙ СБОРНИК' 42(84), No. 1, 11–44.