Maximum entropy probability distribution


In statistics and information theory, a maximum entropy probability distribution has entropy that is at least as great as that of all other members of a specified class of probability distributions. According to the principle of maximum entropy, if nothing is known about a distribution except that it belongs to a certain class, then the distribution with the largest entropy should be chosen as the least-informative default. The motivation is twofold: first, maximizing entropy minimizes the amount of prior information built into the distribution; second, many physical systems tend to move towards maximal entropy configurations over time.

Definition of entropy and differential entropy

If X is a discrete random variable with distribution given by
then the entropy of X is defined as
If X is a continuous random variable with probability density p, then the differential entropy of X is defined as
The quantity is understood to be zero whenever.
This is a special case of more general forms described in the articles Entropy, Principle of maximum entropy, and differential entropy. In connection with maximum entropy distributions, this is the only one needed, because maximizing will also maximize the more general forms.
The base of the logarithm is not important as long as the same one is used consistently: change of base merely results in a rescaling of the entropy. Information theorists may prefer to use base 2 in order to express the entropy in bits; mathematicians and physicists will often prefer the natural logarithm, resulting in a unit of nats for the entropy.
The choice of the measure is however crucial in determining the entropy and the resulting maximum entropy distribution, even though the usual recourse to the Lebesgue measure is often defended as "natural"

Distributions with measured constants

Many statistical distributions of applicable interest are those for which the moments or other measurable quantities are constrained to be constants. The following theorem by Ludwig Boltzmann gives the form of the probability density under these constraints.

Continuous case

Suppose S is a closed subset of the real numbers R and we choose to specify n measurable functions f1,...,fn and n numbers a1,...,an. We consider the class C of all real-valued random variables which are supported on S
and which satisfy
the n moment conditions:
If there is a member in C whose density function is positive everywhere in S, and if there exists a maximal entropy distribution for C, then its probability density p has the following shape:
where we assume that. The constant and the n Lagrange multipliers solve the constrained optimization problem with :
Using the Karush–Kuhn–Tucker conditions, it can be shown that the optimization problem has a unique solution, because the objective function in the optimization is concave in.
Note that if the moment conditions are equalities, that is,
then the constraint condition is dropped, making the optimization over the Lagrange multipliers unconstrained.

Discrete case

Suppose S = is a discrete subset of the reals and we choose to specify n functions f1,...,fn and n numbers a1,...,an. We consider the class C of all discrete random variables X which are supported on S and which satisfy the n moment conditions
If there exists a member of C which assigns positive probability to all members of S and if there exists a maximum entropy distribution for C, then this distribution has the following shape:
where we assume that and the constants solve the constrained optimization problem with :
Again, if the moment conditions are equalities, then the constraint condition is not present in the optimization.

Proof in the case of equality constraints

In the case of equality constraints, this theorem is proved with the calculus of variations and Lagrange multipliers. The constraints can be written as
We consider the functional
where and are the Lagrange multipliers. The zeroth constraint ensures the second axiom of probability. The other constraints are that the measurements of the function are given constants up to order. The entropy attains an extremum when the functional derivative is equal to zero:
It is an exercise for the reader that this extremum is indeed a maximum. Therefore, the maximum entropy probability distribution in this case must be of the form
The proof of the discrete version is essentially the same.

Uniqueness of the maximum

Suppose, are distributions satisfying the expectation-constraints. Letting and considering the distribution it is clear that this distribution satisfies the expectation-constraints and furthermore has as support. From basic facts about entropy, it holds that. Taking limits and respectively yields.
It follows that a distribution satisfying the expectation-constraints and maximising entropy must necessarily have full support — i. e. the distribution is almost everywhere positive. It follows that the maximising distribution must be an internal point in the space of distributions satisfying the expectation-constraints, that is, it must be a local extreme. Thus it suffices to show that the local extreme is unique, in order to show both that the entropy-maximising distribution is unique.
Suppose are local extremes. Reformulating the above computations these are characterised by parameters via and similarly for, where. We now note a series of identities: Via the satisfaction of the expectation-constraints and utilising gradients/directional derivatives, one has and similarly for. Letting one obtains:
where for some. Computing further one has
where is similar to the distribution above, only parameterised by. Assuming that no non-trivial linear combination of the observables is almost everywhere constant,, it holds that has non-zero variance, unless. By the above equation it is thus clear, that the latter must be the case. Hence, so the parameters characterising the local extrema are identical, which means that the distributions themselves are identical. Thus, the local extreme is unique and by the above discussion, the maximum is unique—provided a local extreme actually exists.

Caveats

Note that not all classes of distributions contain a maximum entropy distribution. It is possible that a class contain distributions of arbitrarily large entropy, or that the entropies are bounded above but there is no distribution which attains the maximal entropy. It is also possible that the expected value restrictions for the class C force the probability distribution to be zero in certain subsets of S. In that case our theorem doesn't apply, but one can work around this by shrinking the set S.

Examples

Every probability distribution is trivially a maximum entropy probability distribution under the constraint that the distribution have its own entropy. To see this, rewrite the density as and compare to the expression of the theorem above. By choosing to be the measurable function and
to be the constant, is the maximum entropy probability distribution under the constraint
Nontrivial examples are distributions that are subject to multiple constraints that are different from the assignment of the entropy. These are often found by starting with the same procedure and finding that can be separated into parts.
A table of examples of maximum entropy distributions is given in Lisman and Park & Bera

Uniform and piecewise uniform distributions

The uniform distribution on the interval is the maximum entropy distribution among all continuous distributions which are supported in the interval , and thus the probability density is 0 outside of the interval. This uniform density can be related to Laplace's principle of indifference, sometimes called the principle of insufficient reason. More generally, if we're given a subdivision a=a0 < a1 <... < ak = b of the interval and probabilities p1,...,pk which add up to one, then we can consider the class of all continuous distributions such that
The density of the maximum entropy distribution for this class is constant on each of the intervals aj-1,aj). The uniform distribution on the [finite set is the maximum entropy distribution among all discrete distributions supported on this set.

Positive and specified mean: the exponential distribution

The exponential distribution, for which the density function is
is the maximum entropy distribution among all continuous distributions supported in 0,∞) that have a specified mean of 1/λ.

Specified variance: the [normal distribution

The normal distribution N, for which the density function is
has maximum entropy among all real-valued distributions supported on with a specified variance σ2. Therefore, the assumption of normality imposes the minimal prior structural constraint beyond this moment.
In the case of distributions supported on 0,∞), the maximum entropy distribution depends on relationships between the first and second moments. In specific cases, it may be the exponential distribution, or may be another distribution, or may be undefinable.

Discrete distributions with specified mean

Among all the discrete distributions supported on the set with a specified mean μ, the maximum entropy distribution has the following shape:
where the positive constants C and r can be determined by the requirements that [the sum of all the probabilities must be 1 and the expected value must be μ.
For example, if a large number N of dice are thrown, and you are told that the sum of all the shown numbers is S. Based on this information alone, what would be a reasonable assumption for the number of dice showing 1, 2,..., 6? This is an instance of the situation considered above, with = and μ = S/N.
Finally, among all the discrete distributions supported on the infinite set with mean μ, the maximum entropy distribution has the shape:
where again the constants C and r were determined by the requirements that the sum of all the probabilities must be 1 and the expected value must be μ. For example, in the case that xk = k, this gives
such that respective maximum entropy distribution is the geometric distribution.

Circular random variables

For a continuous random variable distributed about the unit circle, the Von Mises distribution maximizes the entropy when the real and imaginary parts of the first circular moment are specified or, equivalently, the circular mean and circular variance are specified.
When the mean and variance of the angles modulo are specified, the wrapped normal distribution maximizes the entropy.

Maximizer for specified mean, variance and skew

There exists an upper bound on the entropy of continuous random variables on with a specified mean, variance, and skew. However, there is no distribution which achieves this upper bound, because is unbounded except when .
However, the maximum entropy is -achievable: a distribution's entropy can be arbitrarily close to the upper bound. Start with a normal distribution of the specified mean and variance. To introduce a positive skew, perturb the normal distribution upward by a small amount at a value many larger than the mean. The skewness, being proportional to the third moment, will be affected more than the lower order moments.

Maximizer for specified mean and deviation risk measure

Every distribution with log-concave density is a maximal entropy distribution with specified mean μ and Deviation risk measure D.
In particular, the maximal entropy distribution with specified mean and deviation is:
In the table below, each listed distribution maximizes the entropy for a particular set of functional constraints listed in the third column, and the constraint that x be included in the support of the probability density, which is listed in the fourth column. Several examples listed are trivially true because their associated constraints are equivalent to the assignment of their entropy. They are included anyway because their constraint is related to a common or easily measured quantity. For reference, is the gamma function, is the digamma function, is the beta function, and is the Euler-Mascheroni constant.
Distribution NameProbability density/mass functionMaximum Entropy ConstraintSupport
Uniform -
Uniform -
Bernoulli
Geometric
Exponential
Laplace
Asymmetric Laplace
Pareto
Normal
von Mises
Rayleigh
Betafor
Cauchy
Chi
Chi-squared
Erlang
Gamma
Lognormal
Maxwell–Boltzmann
Weibull
Multivariate normal
Binomial
Poisson

Citations