Maximum entropy probabilities
P. C. Gregory · Cambridge University Press eBooks · 2005
Overview This chapter can be thought of as an extension of the material covered in Chapter 4 which was concerned with how to encode a given state of knowledge into a probability distribution suitable for use in Bayes' theorem. However, sometimes the information is of a form that does not simply enable us to evaluate a unique probability distribution p ( Y | I ). For example, suppose our prior information expresses the following constraint: I ≡ “the mean value of cos y = 0.6.” This information alone does not determine a unique p ( Y | I ), but we can use I to test whether any proposed probability distribution is acceptable. For this reason, we call this type of constraint information testable information . In contrast, consider the following prior information: I 1 ≡ “the mean value of cos y is probably > 0.6.” This latter information, although clearly relevant to inference about Y , is too vague to be testable because of the qualifier “probably.” Jaynes (1957) demonstrated how to combine testable information with Claude Shannon's entropy measure of the uncertainty of a probability distribution to arrive at a unique probability distribution. This principle has become known as the maximum entropy principle or simply MaxEnt. We will first investigate how to measure the uncertainty of a probability distribution and then find how it is related to the entropy of the distribution. We will then examine three simple constraint problems and derive their corresponding probability distributions.