Index: The Book of Statistical Proofs ▷ Probability Distributions ▷ Univariate discrete distributions ▷ Discrete uniform distribution ▷ Maximum entropy distribution

Theorem: The discrete uniform distribution maximizes (Shannon) entropy for a random variable with finite support.

Proof: A random variable with finite support is a discrete random variable. Let $X$ be such a random variable. Without loss of generality, we can assume that the possible values of the $X$ can be enumerated from $1$ to $n$.

Let $g(x)$ be the discrete uniform distribution with minimum $a=1$ and maximum $b=n$ which assigns to equal probability to all $n$ possible values and let $f(x)$ be an arbitrary discrete probability distribution on the set $\left\lbrace 1, 2, \ldots, n-1, n \right\rbrace$.

For a discrete random variable $X$ with set of possible values $\mathcal{X}$ and probability mass function $p(x)$, the Shannon entropy is defined as:

\[\label{eq:ent} \mathrm{H}(X) = - \sum_{x \in \mathcal{X}} p(x) \log p(x)\]

Consider the Kullback-Leibler divergence of distribution $f(x)$ from distribution $g(x)$ which is non-negative:

\[\label{eq:kl-fg} \begin{split} 0 \leq \mathrm{KL}[f||g] &= \sum_{x \in \mathcal{X}} f(x) \log \frac{f(x)}{g(x)} \\ &= \sum_{x \in \mathcal{X}} f(x) \log f(x) - \sum_{x \in \mathcal{X}} f(x) \log g(x) \\ &\overset{\eqref{eq:ent}}{=} - \mathrm{H}[f(x)] - \sum_{x \in \mathcal{X}} f(x) \log g(x) \; . \end{split}\]

By plugging the probability mass function of the discrte uniform distribution into the second term, we obtain:

\[\label{eq:sum-fg-s1} \begin{split} \sum_{x \in \mathcal{X}} f(x) \log g(x) &= \sum_{x=1}^{n} f(x) \log \frac{1}{n-1+1} \\ &= \log \frac{1}{n} \sum_{x=1}^{n} f(x) \\ &= -\log(n) \; . \end{split}\]

This is actually the negative of the entropy of the discrete uniform distribution, such that:

\[\label{eq:sum-fg-s2} \sum_{x \in \mathcal{X}} f(x) \log g(x) = -\mathrm{H}[\mathcal{U}(1,n)] = -\mathrm{H}[g(x)] \; .\]

Combining \eqref{eq:kl-fg} with \eqref{eq:sum-fg-s2}, we can show that

\[\label{eq:duni-maxent} \begin{split} 0 &\leq \mathrm{KL}[f||g] \\ 0 &\leq - \mathrm{H}[f(x)] - \left( -\mathrm{H}[g(x)] \right) \\ \mathrm{H}[g(x)] &\geq \mathrm{H}[f(x)] \end{split}\]

which means that the entropy of the discrete uniform distribution $\mathcal{U}(a,b)$ will be larger than or equal to any other distribution defined on the same set of values $\left\lbrace a, \ldots, b \right\rbrace$.

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Metadata: ID: P411 | shortcut: duni-maxent | author: JoramSoch | date: 2023-08-18, 16:43.