Entropy: the Markov ordering approach
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Publication:657470
DOI10.3390/E12051145zbMATH Open1229.60085arXiv1003.1377OpenAlexW3099322555WikidataQ57384860 ScholiaQ57384860MaRDI QIDQ657470FDOQ657470
Authors: Alexander N. Gorban, Pavel A. Gorban, George G. Judge 
Publication date: 9 January 2012
Published in: Entropy (Search for Journal in Brave)
Abstract: The focus of this article is on entropy and Markov processes. We study the properties of functionals which are invariant with respect to monotonic transformations and analyze two invariant "additivity" properties: (i) existence of a monotonic transformation which makes the functional additive with respect to the joining of independent systems and (ii) existence of a monotonic transformation which makes the functional additive with respect to the partitioning of the space of states. All Lyapunov functionals for Markov chains which have properties (i) and (ii) are derived. We describe the most general ordering of the distribution space, with respect to which all continuous-time Markov processes are monotonic (the {em Markov order}). The solution differs significantly from the ordering given by the inequality of entropy growth. For inference, this approach results in a convex compact set of conditionally "most random" distributions.
Full work available at URL: https://arxiv.org/abs/1003.1377
Recommendations
Statistical aspects of information-theoretic topics (62B10) Inequalities; stochastic orderings (60E15) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)
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