高斯分布的熵

最新推荐文章于 2022-07-01 11:02:37 发布

HEGSNS

最新推荐文章于 2022-07-01 11:02:37 发布

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高斯分布的熵很简单：
$\begin{aligned} H[\mathcal{N}(\mu, \sigma^2)] &= -\int_x \frac{1}{\sqrt{2\pi}\sigma} e^{-\frac{(x-\mu)^2}{2\sigma^2}} \log \frac{1}{\sqrt{2\pi}\sigma} e^{-\frac{(x-\mu)^2}{2\sigma^2}} dx \\ &= -\int_x \frac{1}{\sqrt{2\pi}\sigma} e^{-\frac{(x-\mu)^2}{2\sigma^2}} \Bigg[ -\frac{1}{2}\log 2\pi \sigma^2 - \frac{(x-\mu)^2}{2\sigma^2} \Bigg] dx \\ &= \frac{1}{2}\log 2\pi \sigma^2 + \frac{1}{2\sigma^2} \int_x (x-\mu)^2\frac{1}{\sqrt{2\pi}\sigma} e^{-\frac{(x-\mu)^2}{2\sigma^2}} dx \\ &= \frac{1}{2}\log 2\pi \sigma^2 + \frac{\sigma^2}{2\sigma^2} \\ &= \frac{1}{2}\log 2\pi e \sigma^2 \end{aligned}$