Some properties of Rényi entropy over countably infinite alphabets (Q383169)

Let \(\alpha \geq 0\) be arbitrarily fixed, then the Rényi entropy corresponding to the probability distribution \(\mathcal{P}=(p_{1}, \ldots, p_{N})\) is defined as \[ H_{\alpha}(\mathcal{P})=\frac{1}{1-\alpha}\sum_{n=1}^{N}p_{n}^{\alpha}, \] further \[ H_{1}(\mathcal{P})= \lim_{\alpha \to 1}H_{\alpha}(\mathcal{P})=-\sum_{n=1}^{N}p_{n}\log(p_{n}). \] Rényi entropies are also frequently used when the alphabet is countably infinite (e.g. statistical physics). In such a situation the Rényi entropy of order \(\alpha\) of the probability distribution \(\mathcal{P}=(p_{1}, p_{2}, \ldots)\) is defined as \[ H_{\alpha}(\mathcal{P}) = \frac{1}{1-\alpha}\sum_{n=1}^{\infty}p_{n}^{\alpha} \] and \[ H_{1}(\mathcal{P}) -\sum_{n=1}^{N}p_{n}\log(p_{n}). \] Clearly, in case the probability distribution is finitely supported, then Rényi entropies always exist. However, in case of distributions with countably infinite masses, the problem of divergence occurs. The authors therefore introduce the (Rényi) critical exponent as \[ \alpha_{c}(\mathcal{P})= \inf\left\{\alpha \geq 0 \mid H_{\alpha}(\mathcal{P})\leq \infty\right\} \] and the (Rényi) region of convergence as \[ \mathcal{R}(\mathcal{P})= \left\{\alpha \geq 0\mid H_{\alpha}(\mathcal{P})<\infty\right\}. \] The main result of the second section is that for any probability distribution \(\mathcal{P}\) the function \[ \alpha \longmapsto H_{\alpha}(\mathcal{P}) \] is continuous on \(\mathcal{R}(\mathcal{P})\). Furthermore, if \(H_{\alpha_{c}}(\mathcal{P})=\infty\), then \(\lim_{\alpha\to \alpha_{c}}H_{\alpha}(\mathcal{P})=\infty\). In the third section continuity in argument \(\mathcal{P}\) is dealt with. Here, the authors prove (among others) that for \(\alpha >1\) the mapping \[ \mathcal{P}\longmapsto H_{\alpha}(\mathcal{P}) \] is continuous, while for \(\alpha \geq 1\) it is discontinuous. The main result of the paper is contained at the end of the fourth section, in Theorem 8, which reads as follows. Let \(\mathcal{P}=(p_{1}, p_{2}, \ldots)\) be a probability distribution and \(r\in [0, + \infty]\). Then there exists a sequence of distributions \((\mathcal{P}_{n})_{n\in \mathbb{N}}\) converging to \(\mathcal{P}\) in the topology determined by the total variation distance so that \[ \lim_{n\to \infty}\lim_{\alpha \to 1+}H_{\alpha}(\mathcal{P}_{n})=H_{1}(\mathcal{P})+r \] and at the same time \[ \lim_{\alpha \to 1+}\lim_{n\to \infty}H_{\alpha}(\mathcal{P}_{n})=H_{1}(\mathcal{P}). \] Finally, in the fifth section, the limiting case \(\alpha \to +\infty\) is studied.