Laplace principle (large deviations theory)

From Wikipedia, the free encyclopedia
Jump to: navigation, search

In mathematics, Laplace's principle is a basic theorem in large deviations theory, similar to Varadhan's lemma. It gives an asymptotic expression for the Lebesgue integral of exp(−θφ(x)) over a fixed set A as θ becomes large. Such expressions can be used, for example, in statistical mechanics to determining the limiting behaviour of a system as the temperature tends to absolute zero.

Statement of the result[edit]

Let A be a Lebesgue-measurable subset of d-dimensional Euclidean space Rd and let φ : Rd → R be a measurable function with


where ess inf denotes the essential infimum. Heuristically, this may be read as saying that for large θ,


The Laplace principle can be applied to the family of probability measures Pθ given by

to give an asymptotic expression for the probability of some set/event A as θ becomes large. For example, if X is a standard normally distributed random variable on R, then

for every measurable set A.

See also[edit]


  • Dembo, Amir; Zeitouni, Ofer (1998). Large deviations techniques and applications. Applications of Mathematics (New York) 38 (Second ed.). New York: Springer-Verlag. pp. xvi+396. ISBN 0-387-98406-2.  MR 1619036