Alphabeta Math
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Continuity of finite conditional entropy in the joint law

Statement

For fixed finite nonempty alphabets U,V, the map from a joint probability vector qUV on U×V to its conditional entropy Hq(U∣V) is continuous on the joint probability simplex.

Facts & Assumptions

Given: The finite alphabets U,V and a joint probability vector qUV.

[F1]

Finite conditional entropy: Hq(U∣V)=∑v:qV(v)>0qV(v)H(qU∣v), with zero-mass conditioning values omitted.

[F2]

Marginals and positive-mass conditionals of a finite joint law are probability vectors: the marginals of a finite joint law are probability vectors, and each positive-mass conditional vector is a probability vector.

[F3]

Finite distributions, entropy, divergence, and stochastic matrices: H(r)=−∑i:ri>0riln⁡ri and D(r∥s)=∑i:ri>0riln⁡(ri/si), with 0ln⁡0=0.

[F4]

Finite relative entropy is continuous on a simplex with positive reference law: if s is a fixed full-support probability vector on a finite alphabet, then r↦D(r∥s) is finite and continuous on the full simplex, including its boundary.

Proof

1.1F3F4algebra

Let r be a probability vector on an alphabet of size m≥1, and let um be the uniform vector. Expanding the finite sum in [F3] gives D(r∥um)=ln⁡m−H(r), including zero coordinates by the stated convention. Since um has full support, [F4] shows that r↦D(r∥um) is continuous. Therefore finite entropy is continuous on every finite simplex.

2.1F1F2F3step 1.1algebra∎

For any joint vector qUV, [F1] and [F2] give Hq(U∣V)=−∑(u,v):qUV(u,v)>0qUV(u,v)ln⁡qUV(u,v)qV(v)=H(qUV)−H(qV). The ratio is defined on every positive joint atom because then qV(v)>0. The marginal map qUV↦qV is linear. By step 1.1, both terms on the right are continuous functions of qUV, so their difference is continuous on the joint simplex.

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