高斯分布的熵很简单：
H [ N ( μ , σ 2 ) ] = − ∫ x 1 2 π σ e − ( x − μ ) 2 2 σ 2 log 1 2 π σ e − ( x − μ ) 2 2 σ 2 d x = − ∫ x 1 2 π σ e − ( x − μ ) 2 2 σ 2 [ − 1 2 log 2 π σ 2 − ( x − μ ) 2 2 σ 2 ] d x = 1 2 log 2 π σ 2 + 1 2 σ 2 ∫ x ( x − μ ) 2 1 2 π σ e − ( x − μ ) 2 2 σ 2 d x = 1 2 log 2 π σ 2 + σ 2 2 σ 2 = 1 2 log 2 π e σ 2 \begin{aligned} H[\mathcal{N}(\mu, \sigma^2)] &= -\int_x \frac{1}{\sqrt{2\pi}\sigma} e^{-\frac{(x-\mu)^2}{2\sigma^2}} \log \frac{1}{\sqrt{2\pi}\sigma} e^{-\frac{(x-\mu)^2}{2\sigma^2}} dx \\ &= -\int_x \frac{1}{\sqrt{2\pi}\sigma} e^{-\frac{(x-\mu)^2}{2\sigma^2}} \Bigg[ -\frac{1}{2}\log 2\pi \sigma^2 - \frac{(x-\mu)^2}{2\sigma^2} \Bigg] dx \\ &= \frac{1}{2}\log 2\pi \sigma^2 + \frac{1}{2\sigma^2} \int_x (x-\mu)^2\frac{1}{\sqrt{2\pi}\sigma} e^{-\frac{(x-\mu)^2}{2\sigma^2}} dx \\ &= \frac{1}{2}\log 2\pi \sigma^2 + \frac{\sigma^2}{2\sigma^2} \\ &= \frac{1}{2}\log 2\pi e \sigma^2 \end{aligned} H[N(μ,σ2)]=−∫x2πσ1e−2σ2(x−μ)2log2πσ1e−2σ2(x−μ)2dx=−∫x2πσ1e−2σ2(x−μ)2[−21log2πσ2−2σ2(x−μ)2
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