Minimum Entropy for a given mean

entropyinformation theory

For a given mean $1/\lambda$, find the minimum entropy among distributions that are continuous with support $\mathbb{R}^{+}\cup \{0\}$.

If we were looking for a maximum, the answer was exponential distribution. But, for a minimum, I don't know. Another way might be lower bounding differential entropy as a function of its mean, but I cannot find such a lower bound. Any idea?

Best Answer

As stochasticboy321's comments, there is no lower bound, you can obtain a differential entropy as low as you wish (towards $-\infty$) by choosing a random variable that is almost constant, i.e. a (continous) density that is near a Dirac delta $f_X(x)=\delta(x-\mu)$ where $\mu$ is the desired mean.

For a concrete example, you can take a Log-normal with parameters $(M,S)$. Its mean is $\mu = \exp(M + S^2/2)$ and its entropy $h= \log( S e^M \sqrt{2 \pi e}) $ . Then, by taking $S>0$ arbitrarily small we can find an apt $M$ (bounded, around $\log(\mu)$) that gives the desired mean, and the entropy tends towards $-\infty$.

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