Gibbs' inequality
Statement
For any two probability distributions and on the same outcomes (all ), , with equality if and only if .
Why is it true?
The logarithm is concave, so "on average" it lies below its tangent line. Gibbs' inequality is exactly Jensen's inequality applied to the concave function , weighted by : it says that replacing each ratio by its -weighted average (which equals ) inside the logarithm can only increase the sum, forcing the divergence to be nonnegative.
Proof sketch
Start from the elementary inequality for all , with equality only at (this follows since has , , which is positive for and negative for , so has a unique maximum at ). Dividing by gives .
Apply this with for each : . Multiply both sides by (which does not flip the inequality) and sum over : , since both and are probability distributions summing to .
The left side is exactly (note the sign flip from versus inside the log), so this proves .
Equality throughout requires equality in for every with , which happens only when for every such , i.e. .
Topics that use this theorem
Step-by-step proofs
No step-by-step proof yet for this theorem.
References
- Claude E. Shannon (1948). A Mathematical Theory of Communication
- Thomas M. Cover, Joy A. Thomas (2006). Elements of Information Theory
- David J. C. MacKay (2003). Information Theory, Inference, and Learning Algorithms
- Erdal Arıkan (2009). Channel Polarization: A Method for Constructing Capacity-Achieving Codes for Symmetric Binary-Input Memoryless Channels · arXiv:0807.3917