From Typical Sequences to Typical Genotypes
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Entropy Rate of Stochastic Processes
Entropy Rate of Stochastic Processes Timo Mulder Jorn Peters [email protected] [email protected] February 8, 2015 The entropy rate of independent and identically distributed events can on average be encoded by H(X) bits per source symbol. However, in reality, series of events (or processes) are often randomly distributed and there can be arbitrary dependence between each event. Such processes with arbitrary dependence between variables are called stochastic processes. This report shows how to calculate the entropy rate for such processes, accompanied with some denitions, proofs and brief examples. 1 Introduction One may be interested in the uncertainty of an event or a series of events. Shannon entropy is a method to compute the uncertainty in an event. This can be used for single events or for several independent and identically distributed events. However, often events or series of events are not independent and identically distributed. In that case the events together form a stochastic process i.e. a process in which multiple outcomes are possible. These processes are omnipresent in all sorts of elds of study. As it turns out, Shannon entropy cannot directly be used to compute the uncertainty in a stochastic process. However, it is easy to extend such that it can be used. Also when a stochastic process satises certain properties, for example if the stochastic process is a Markov process, it is straightforward to compute the entropy of the process. The entropy rate of a stochastic process can be used in various ways. An example of this is given in Section 4.1. -
Entropy Rate Estimation for Markov Chains with Large State Space
Entropy Rate Estimation for Markov Chains with Large State Space Yanjun Han Department of Electrical Engineering Stanford University Stanford, CA 94305 [email protected] Jiantao Jiao Department of Electrical Engineering and Computer Sciences University of California, Berkeley Berkeley, CA 94720 [email protected] Chuan-Zheng Lee, Tsachy Weissman Yihong Wu Department of Electrical Engineering Department of Statistics and Data Science Stanford University Yale University Stanford, CA 94305 New Haven, CT 06511 {czlee, tsachy}@stanford.edu [email protected] Tiancheng Yu Department of Electronic Engineering Tsinghua University Haidian, Beijing 100084 [email protected] Abstract Entropy estimation is one of the prototypicalproblems in distribution property test- ing. To consistently estimate the Shannon entropy of a distribution on S elements with independent samples, the optimal sample complexity scales sublinearly with arXiv:1802.07889v3 [cs.LG] 24 Sep 2018 S S as Θ( log S ) as shown by Valiant and Valiant [41]. Extendingthe theory and algo- rithms for entropy estimation to dependent data, this paper considers the problem of estimating the entropy rate of a stationary reversible Markov chain with S states from a sample path of n observations. We show that Provided the Markov chain mixes not too slowly, i.e., the relaxation time is • S S2 at most O( 3 ), consistent estimation is achievable when n . ln S ≫ log S Provided the Markov chain has some slight dependency, i.e., the relaxation • 2 time is at least 1+Ω( ln S ), consistent estimation is impossible when n . √S S2 log S . Under both assumptions, the optimal estimation accuracy is shown to be S2 2 Θ( n log S ). -
Entropy Power, Autoregressive Models, and Mutual Information
entropy Article Entropy Power, Autoregressive Models, and Mutual Information Jerry Gibson Department of Electrical and Computer Engineering, University of California, Santa Barbara, Santa Barbara, CA 93106, USA; [email protected] Received: 7 August 2018; Accepted: 17 September 2018; Published: 30 September 2018 Abstract: Autoregressive processes play a major role in speech processing (linear prediction), seismic signal processing, biological signal processing, and many other applications. We consider the quantity defined by Shannon in 1948, the entropy rate power, and show that the log ratio of entropy powers equals the difference in the differential entropy of the two processes. Furthermore, we use the log ratio of entropy powers to analyze the change in mutual information as the model order is increased for autoregressive processes. We examine when we can substitute the minimum mean squared prediction error for the entropy power in the log ratio of entropy powers, thus greatly simplifying the calculations to obtain the differential entropy and the change in mutual information and therefore increasing the utility of the approach. Applications to speech processing and coding are given and potential applications to seismic signal processing, EEG classification, and ECG classification are described. Keywords: autoregressive models; entropy rate power; mutual information 1. Introduction In time series analysis, the autoregressive (AR) model, also called the linear prediction model, has received considerable attention, with a host of results on fitting AR models, AR model prediction performance, and decision-making using time series analysis based on AR models [1–3]. The linear prediction or AR model also plays a major role in many digital signal processing applications, such as linear prediction modeling of speech signals [4–6], geophysical exploration [7,8], electrocardiogram (ECG) classification [9], and electroencephalogram (EEG) classification [10,11]. -
Source Coding: Part I of Fundamentals of Source and Video Coding
Foundations and Trends R in sample Vol. 1, No 1 (2011) 1–217 c 2011 Thomas Wiegand and Heiko Schwarz DOI: xxxxxx Source Coding: Part I of Fundamentals of Source and Video Coding Thomas Wiegand1 and Heiko Schwarz2 1 Berlin Institute of Technology and Fraunhofer Institute for Telecommunica- tions — Heinrich Hertz Institute, Germany, [email protected] 2 Fraunhofer Institute for Telecommunications — Heinrich Hertz Institute, Germany, [email protected] Abstract Digital media technologies have become an integral part of the way we create, communicate, and consume information. At the core of these technologies are source coding methods that are described in this text. Based on the fundamentals of information and rate distortion theory, the most relevant techniques used in source coding algorithms are de- scribed: entropy coding, quantization as well as predictive and trans- form coding. The emphasis is put onto algorithms that are also used in video coding, which will be described in the other text of this two-part monograph. To our families Contents 1 Introduction 1 1.1 The Communication Problem 3 1.2 Scope and Overview of the Text 4 1.3 The Source Coding Principle 5 2 Random Processes 7 2.1 Probability 8 2.2 Random Variables 9 2.2.1 Continuous Random Variables 10 2.2.2 Discrete Random Variables 11 2.2.3 Expectation 13 2.3 Random Processes 14 2.3.1 Markov Processes 16 2.3.2 Gaussian Processes 18 2.3.3 Gauss-Markov Processes 18 2.4 Summary of Random Processes 19 i ii Contents 3 Lossless Source Coding 20 3.1 Classification -
Relative Entropy Rate Between a Markov Chain and Its Corresponding Hidden Markov Chain
⃝c Statistical Research and Training Center دورهی ٨، ﺷﻤﺎرهی ١، ﺑﻬﺎر و ﺗﺎﺑﺴﺘﺎن ١٣٩٠، ﺻﺺ ٩٧–١٠٩ J. Statist. Res. Iran 8 (2011): 97–109 Relative Entropy Rate between a Markov Chain and Its Corresponding Hidden Markov Chain GH. Yariy and Z. Nikooraveshz;∗ y Iran University of Science and Technology z Birjand University of Technology Abstract. In this paper we study the relative entropy rate between a homo- geneous Markov chain and a hidden Markov chain defined by observing the output of a discrete stochastic channel whose input is the finite state space homogeneous stationary Markov chain. For this purpose, we obtain the rela- tive entropy between two finite subsequences of above mentioned chains with the help of the definition of relative entropy between two random variables then we define the relative entropy rate between these stochastic processes and study the convergence of it. Keywords. Relative entropy rate; stochastic channel; Markov chain; hid- den Markov chain. MSC 2010: 60J10, 94A17. 1 Introduction Suppose fXngn2N is a homogeneous stationary Markov chain with finite state space S = f0; 1; 2; :::; N − 1g and fYngn2N is a hidden Markov chain (HMC) which is observed through a discrete stochastic channel where the input of channel is the Markov chain. The output state space of channel is characterized by channel’s statistical properties. From now on we study ∗ Corresponding author 98 Relative Entropy Rate between a Markov Chain and Its ::: the channels state spaces which have been equal to the state spaces of input chains. Let P = fpabg be the one-step transition probability matrix of the Markov chain such that pab = P rfXn = bjXn−1 = ag for a; b 2 S and Q = fqabg be the noisy matrix of channel where qab = P rfYn = bjXn = ag for a; b 2 S. -
Entropy Rates & Markov Chains Information Theory Duke University, Fall 2020
ECE 587 / STA 563: Lecture 4 { Entropy Rates & Markov Chains Information Theory Duke University, Fall 2020 Author: Galen Reeves Last Modified: September 1, 2020 Outline of lecture: 4.1 Entropy Rate........................................1 4.2 Markov Chains.......................................3 4.3 Card Shuffling and MCMC................................4 4.4 Entropy of the English Language [Optional].......................6 4.1 Entropy Rate • A stochastic process fXig is an indexed sequence of random variables. They need not be in- n dependent nor identically distributed. For each n the distribution on X = (X1;X2; ··· ;Xn) is characterized by the joint pmf n pXn (x ) = p(x1; x2; ··· ; xn) • A stochastic process provides a useful probabilistic model. Examples include: ◦ the state of a deck of cards after each shuffle ◦ location of a molecule each millisecond. ◦ temperature each day ◦ sequence of letters in a book ◦ the closing price of the stock market each day. • With dependent sequences, hows does the entropy H(Xn) grow with n? (1) Definition 1: Average entropy per symbol H(X ;X ; ··· ;X ) H(X ) = lim 1 2 n n!1 n (2) Definition 2: Rate of information innovation 0 H (X ) = lim H(XnjX1;X2; ··· ;Xn−1) n!1 • If fXig are iid ∼ p(x), then both limits exists and are equal to H(X). nH(X) H(X ) = lim = H(X) n!1 n 0 H (X ) = lim H(XnjX1;X2; ··· ;Xn−1) = H(X) n!1 But what if the symbols are not iid? 2 ECE 587 / STA 563: Lecture 4 • A stochastic process is stationary if the joint distribution of subsets is invariant to shifts in the time index, i.e. -
On Measures of Entropy and Information
On Measures of Entropy and Information Tech. Note 009 v0.7 http://threeplusone.com/info Gavin E. Crooks 2018-09-22 Contents 5 Csiszar´ f-divergences 12 Csiszar´ f-divergence ................ 12 0 Notes on notation and nomenclature 2 Dual f-divergence .................. 12 Symmetric f-divergences .............. 12 1 Entropy 3 K-divergence ..................... 12 Entropy ........................ 3 Fidelity ........................ 12 Joint entropy ..................... 3 Marginal entropy .................. 3 Hellinger discrimination .............. 12 Conditional entropy ................. 3 Pearson divergence ................. 14 Neyman divergence ................. 14 2 Mutual information 3 LeCam discrimination ............... 14 Mutual information ................. 3 Skewed K-divergence ................ 14 Multivariate mutual information ......... 4 Alpha-Jensen-Shannon-entropy .......... 14 Interaction information ............... 5 Conditional mutual information ......... 5 6 Chernoff divergence 14 Binding information ................ 6 Chernoff divergence ................. 14 Residual entropy .................. 6 Chernoff coefficient ................. 14 Total correlation ................... 6 Renyi´ divergence .................. 15 Lautum information ................ 6 Alpha-divergence .................. 15 Uncertainty coefficient ............... 7 Cressie-Read divergence .............. 15 Tsallis divergence .................. 15 3 Relative entropy 7 Sharma-Mittal divergence ............. 15 Relative entropy ................... 7 Cross entropy -
Information Theory 1 Entropy 2 Mutual Information
CS769 Spring 2010 Advanced Natural Language Processing Information Theory Lecturer: Xiaojin Zhu [email protected] In this lecture we will learn about entropy, mutual information, KL-divergence, etc., which are useful concepts for information processing systems. 1 Entropy Entropy of a discrete distribution p(x) over the event space X is X H(p) = − p(x) log p(x). (1) x∈X When the log has base 2, entropy has unit bits. Properties: H(p) ≥ 0, with equality only if p is deterministic (use the fact 0 log 0 = 0). Entropy is the average number of 0/1 questions needed to describe an outcome from p(x) (the Twenty Questions game). Entropy is a concave function of p. 1 1 1 1 7 For example, let X = {x1, x2, x3, x4} and p(x1) = 2 , p(x2) = 4 , p(x3) = 8 , p(x4) = 8 . H(p) = 4 bits. This definition naturally extends to joint distributions. Assuming (x, y) ∼ p(x, y), X X H(p) = − p(x, y) log p(x, y). (2) x∈X y∈Y We sometimes write H(X) instead of H(p) with the understanding that p is the underlying distribution. The conditional entropy H(Y |X) is the amount of information needed to determine Y , if the other party knows X. X X X H(Y |X) = p(x)H(Y |X = x) = − p(x, y) log p(y|x). (3) x∈X x∈X y∈Y From above, we can derive the chain rule for entropy: H(X1:n) = H(X1) + H(X2|X1) + .. -
Information Theory and Maximum Entropy 8.1 Fundamentals of Information Theory
NEU 560: Statistical Modeling and Analysis of Neural Data Spring 2018 Lecture 8: Information Theory and Maximum Entropy Lecturer: Mike Morais Scribes: 8.1 Fundamentals of Information theory Information theory started with Claude Shannon's A mathematical theory of communication. The first building block was entropy, which he sought as a functional H(·) of probability densities with two desired properties: 1. Decreasing in P (X), such that if P (X1) < P (X2), then h(P (X1)) > h(P (X2)). 2. Independent variables add, such that if X and Y are independent, then H(P (X; Y )) = H(P (X)) + H(P (Y )). These are only satisfied for − log(·). Think of it as a \surprise" function. Definition 8.1 (Entropy) The entropy of a random variable is the amount of information needed to fully describe it; alternate interpretations: average number of yes/no questions needed to identify X, how uncertain you are about X? X H(X) = − P (X) log P (X) = −EX [log P (X)] (8.1) X Average information, surprise, or uncertainty are all somewhat parsimonious plain English analogies for entropy. There are a few ways to measure entropy for multiple variables; we'll use two, X and Y . Definition 8.2 (Conditional entropy) The conditional entropy of a random variable is the entropy of one random variable conditioned on knowledge of another random variable, on average. Alternative interpretations: the average number of yes/no questions needed to identify X given knowledge of Y , on average; or How uncertain you are about X if you know Y , on average? X X h X i H(X j Y ) = P (Y )[H(P (X j Y ))] = P (Y ) − P (X j Y ) log P (X j Y ) Y Y X X = = − P (X; Y ) log P (X j Y ) X;Y = −EX;Y [log P (X j Y )] (8.2) Definition 8.3 (Joint entropy) X H(X; Y ) = − P (X; Y ) log P (X; Y ) = −EX;Y [log P (X; Y )] (8.3) X;Y 8-1 8-2 Lecture 8: Information Theory and Maximum Entropy • Bayes' rule for entropy H(X1 j X2) = H(X2 j X1) + H(X1) − H(X2) (8.4) • Chain rule of entropies n X H(Xn;Xn−1; :::X1) = H(Xn j Xn−1; :::X1) (8.5) i=1 It can be useful to think about these interrelated concepts with a so-called information diagram. -
A Characterization of Guesswork on Swiftly Tilting Curves Ahmad Beirami, Robert Calderbank, Mark Christiansen, Ken Duffy, and Muriel Medard´
View metadata, citation and similar papers at core.ac.uk brought to you by CORE provided by MURAL - Maynooth University Research Archive Library 1 A Characterization of Guesswork on Swiftly Tilting Curves Ahmad Beirami, Robert Calderbank, Mark Christiansen, Ken Duffy, and Muriel Medard´ Abstract Given a collection of strings, each with an associated probability of occurrence, the guesswork of each of them is their position in a list ordered from most likely to least likely, breaking ties arbitrarily. Guesswork is central to several applications in information theory: Average guesswork provides a lower bound on the expected computational cost of a sequential decoder to decode successfully the transmitted message; the complementary cumulative distribution function of guesswork gives the error probability in list decoding; the logarithm of guesswork is the number of bits needed in optimal lossless one-to-one source coding; and guesswork is the number of trials required of an adversary to breach a password protected system in a brute-force attack. In this paper, we consider memoryless string-sources that generate strings consisting of i.i.d. characters drawn from a finite alphabet, and characterize their corresponding guesswork. Our main tool is the tilt operation on a memoryless string-source. We show that the tilt operation on a memoryless string-source parametrizes an exponential family of memoryless string-sources, which we refer to as the tilted family of the string-source. We provide an operational meaning to the tilted families by proving that two memoryless string-sources result in the same guesswork on all strings of all lengths if and only if their respective categorical distributions belong to the same tilted family. -
Language Models
Recap: Language models Foundations of Natural Language Processing Language models tell us P (~w) = P (w . w ): How likely to occur is this • 1 n Lecture 4 sequence of words? Language Models: Evaluation and Smoothing Roughly: Is this sequence of words a “good” one in my language? LMs are used as a component in applications such as speech recognition, Alex Lascarides • machine translation, and predictive text completion. (Slides based on those from Alex Lascarides, Sharon Goldwater and Philipp Koehn) 24 January 2020 To reduce sparse data, N-gram LMs assume words depend only on a fixed- • length history, even though we know this isn’t true. Alex Lascarides FNLP lecture 4 24 January 2020 Alex Lascarides FNLP lecture 4 1 Evaluating a language model Two types of evaluation in NLP Intuitively, a trigram model captures more context than a bigram model, so Extrinsic: measure performance on a downstream application. • should be a “better” model. • – For LM, plug it into a machine translation/ASR/etc system. – The most reliable evaluation, but can be time-consuming. That is, it should more accurately predict the probabilities of sentences. • – And of course, we still need an evaluation measure for the downstream system! But how can we measure this? • Intrinsic: design a measure that is inherent to the current task. • – Can be much quicker/easier during development cycle. – But not always easy to figure out what the right measure is: ideally, one that correlates well with extrinsic measures. Let’s consider how to define an intrinsic measure for LMs. -
Neural Networks and Backpropagation
10-601 Introduction to Machine Learning Machine Learning Department School of Computer Science Carnegie Mellon University Neural Networks and Backpropagation Neural Net Readings: Murphy -- Matt Gormley Bishop 5 Lecture 20 HTF 11 Mitchell 4 April 3, 2017 1 Reminders • Homework 6: Unsupervised Learning – Release: Wed, Mar. 22 – Due: Mon, Apr. 03 at 11:59pm • Homework 5 (Part II): Peer Review – Expectation: You Release: Wed, Mar. 29 should spend at most 1 – Due: Wed, Apr. 05 at 11:59pm hour on your reviews • Peer Tutoring 2 Neural Networks Outline • Logistic Regression (Recap) – Data, Model, Learning, Prediction • Neural Networks – A Recipe for Machine Learning Last Lecture – Visual Notation for Neural Networks – Example: Logistic Regression Output Surface – 2-Layer Neural Network – 3-Layer Neural Network • Neural Net Architectures – Objective Functions – Activation Functions • Backpropagation – Basic Chain Rule (of calculus) This Lecture – Chain Rule for Arbitrary Computation Graph – Backpropagation Algorithm – Module-based Automatic Differentiation (Autodiff) 3 DECISION BOUNDARY EXAMPLES 4 Example #1: Diagonal Band 5 Example #2: One Pocket 6 Example #3: Four Gaussians 7 Example #4: Two Pockets 8 Example #1: Diagonal Band 9 Example #1: Diagonal Band 10 Example #1: Diagonal Band Error in slides: “layers” should read “number of hidden units” All the neural networks in this section used 1 hidden layer. 11 Example #1: Diagonal Band 12 Example #1: Diagonal Band 13 Example #1: Diagonal Band 14 Example #1: Diagonal Band 15 Example #2: One Pocket