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Novel Lower Bounds on the Entropy Rate of Binary Hidden Markov Processes Or Ordentlich MIT ISIT, Barcelona, July 11, 2016 1 / 13 Binary Markov Processes q 10 1 q 10 0 1 1 q 01 q 01 1 q 01 q 01 P = , P = = [ 0


  1. Novel Lower Bounds on the Entropy Rate of Binary Hidden Markov Processes Or Ordentlich MIT ISIT, Barcelona, July 11, 2016 1 / 13

  2. Binary Markov Processes q 10 1 − q 10 0 1 1 − q 01 q 01 � 1 − q 01 � q 01 P = , π P = π = [ π 0 π 1 ] q 10 1 − q 10 X 1 ∼ Bernoulli ( π 1 ), Pr( X n = j | X n − 1 = i , X n − 2 , . . . , X 1 ) = P ij 2 / 13

  3. Binary Markov Processes q 10 1 − q 10 0 1 1 − q 01 q 01 � 1 − q 01 � q 01 P = , π P = π = [ π 0 π 1 ] q 10 1 − q 10 X 1 ∼ Bernoulli ( π 1 ), Pr( X n = j | X n − 1 = i , X n − 2 , . . . , X 1 ) = P ij Entropy Rate For a stationary process { X n } the entropy rate is defined as H ( X 1 , . . . , X n ) ¯ H ( X ) � lim = lim n →∞ H ( X n | X n − 1 , . . . , X 1 ) n n →∞ 2 / 13

  4. Binary Markov Processes q 10 1 − q 10 0 1 1 − q 01 q 01 � 1 − q 01 � q 01 P = , π P = π = [ π 0 π 1 ] q 10 1 − q 10 X 1 ∼ Bernoulli ( π 1 ), Pr( X n = j | X n − 1 = i , X n − 2 , . . . , X 1 ) = P ij Entropy Rate For the Markov process above ¯ H ( X ) = H ( X n | X n − 1 ) = π 0 h ( q 01 ) + π 1 h ( q 10 ) h ( α ) � − α log 2 ( α ) − (1 − α ) log 2 (1 − α ) 2 / 13

  5. Binary Hidden Markov Processes q 10 { X n } : 1 − q 10 0 1 1 − q 01 q 01 3 / 13

  6. Binary Hidden Markov Processes q 10 { X n } : 1 − q 10 0 1 1 − q 01 q 01 { Y n } : P Y | X X n Y n 3 / 13

  7. Binary Hidden Markov Processes q 10 { X n } : 1 − q 10 0 1 1 − q 01 q 01 { Y n } : Z n ∼ Bernoulli ( α ) X n Y n = X n ⊕ Z n 3 / 13

  8. Binary Hidden Markov Processes q 10 { X n } : 1 − q 10 0 1 1 − q 01 q 01 { Y n } : Z n ∼ Bernoulli ( α ) X n Y n = X n ⊕ Z n Entropy Rate Unknown ¯ H ( Y ) = f ( α, q 10 , q 01 ) =??? 3 / 13

  9. Binary Hidden Markov Processes q 10 { X n } : 1 − q 10 0 1 1 − q 01 q 01 { Y n } : Z n ∼ Bernoulli ( α ) X n Y n = X n ⊕ Z n Entropy Rate Unknown ¯ H ( Y ) = f ( α, q 10 , q 01 ) =??? Our contribution: new lower bounds on ¯ H ( Y ) 3 / 13

  10. Binary Symmetric Hidden Markov Processes q { X n } : 1 − q 0 1 1 − q q { Y n } : Z n ∼ Bernoulli ( α ) X n Y n = X n ⊕ Z n Entropy Rate Unknown ¯ H ( Y ) = f ( α, q ) =??? 4 / 13

  11. Binary Symmetric HMP - Simple Bounds “Cover-Thomas bounds”: H ( Y n | Y n − 1 . . . , Y 1 , X 0 ) ≤ ¯ H ( Y ) ≤ H ( Y n | Y n − 1 . . . , Y 0 ) 5 / 13

  12. Binary Symmetric HMP - Simple Bounds “Cover-Thomas bounds”: H ( Y n | Y n − 1 . . . , Y 1 , X 0 ) ≤ ¯ H ( Y ) ≤ H ( Y n | Y n − 1 . . . , Y 0 ) Accuracy improves exponentially with n [Birch’62] 5 / 13

  13. Binary Symmetric HMP - Simple Bounds “Cover-Thomas bounds”: H ( Y n | Y n − 1 . . . , Y 1 , X 0 ) ≤ ¯ H ( Y ) ≤ H ( Y n | Y n − 1 . . . , Y 0 ) Accuracy improves exponentially with n [Birch’62] Simple lower bound by Mrs. Gerber’s Lemma: � � H ( X 1 , . . . , X n ) �� α ∗ h − 1 H ( Y 1 , . . . , Y n ) ≥ nh n h − 1 : [0 , 1] → [0 , 1 / 2] a ∗ b = a (1 − b ) + b (1 − a ), 5 / 13

  14. Binary Symmetric HMP - Simple Bounds “Cover-Thomas bounds”: H ( Y n | Y n − 1 . . . , Y 1 , X 0 ) ≤ ¯ H ( Y ) ≤ H ( Y n | Y n − 1 . . . , Y 0 ) Accuracy improves exponentially with n [Birch’62] Simple lower bound by Mrs. Gerber’s Lemma: � � H ( X 1 , . . . , X n ) �� α ∗ h − 1 H ( Y 1 , . . . , Y n ) ≥ nh n � � �� H ( X 1 , . . . , X n ) ⇒ ¯ α ∗ h − 1 H ( Y ) ≥ h lim n n →∞ � � α ∗ h − 1 ( u ) Continuity of MGL function ϕ ( u ) = h 5 / 13

  15. Binary Symmetric HMP - Simple Bounds “Cover-Thomas bounds”: H ( Y n | Y n − 1 . . . , Y 1 , X 0 ) ≤ ¯ H ( Y ) ≤ H ( Y n | Y n − 1 . . . , Y 0 ) Accuracy improves exponentially with n [Birch’62] Simple lower bound by Mrs. Gerber’s Lemma: � � H ( X 1 , . . . , X n ) �� α ∗ h − 1 H ( Y 1 , . . . , Y n ) ≥ nh n � � �� H ( X 1 , . . . , X n ) ⇒ ¯ α ∗ h − 1 H ( Y ) ≥ h lim n n →∞ ⇒ ¯ H ( Y ) ≥ h ( α ∗ q ) ¯ H ( X ) = h ( q ) 5 / 13

  16. Binary Symmetric HMP - Simple Bounds “Cover-Thomas bounds”: H ( Y n | Y n − 1 . . . , Y 1 , X 0 ) ≤ ¯ H ( Y ) ≤ H ( Y n | Y n − 1 . . . , Y 0 ) Accuracy improves exponentially with n [Birch’62] Simple lower bound by Mrs. Gerber’s Lemma: � � H ( X 1 , . . . , X n ) �� α ∗ h − 1 H ( Y 1 , . . . , Y n ) ≥ nh n � � �� H ( X 1 , . . . , X n ) ⇒ ¯ α ∗ h − 1 H ( Y ) ≥ h lim n n →∞ ⇒ ¯ H ( Y ) ≥ h ( α ∗ q ) The same as Cover-Thomas bound of order n = 1 5 / 13

  17. Binary Symmetric HMP - Simple Bounds “Cover-Thomas bounds”: H ( Y n | Y n − 1 . . . , Y 1 , X 0 ) ≤ ¯ H ( Y ) ≤ H ( Y n | Y n − 1 . . . , Y 0 ) Accuracy improves exponentially with n [Birch’62] Simple lower bound by Mrs. Gerber’s Lemma: � � H ( X 1 , . . . , X n ) �� α ∗ h − 1 H ( Y 1 , . . . , Y n ) ≥ nh n � � �� H ( X 1 , . . . , X n ) ⇒ ¯ α ∗ h − 1 H ( Y ) ≥ h lim n n →∞ ⇒ ¯ H ( Y ) ≥ h ( α ∗ q ) Standard MGL gives a weak estimate 5 / 13

  18. Binary Symmetric HMP - Simple Bounds “Cover-Thomas bounds”: H ( Y n | Y n − 1 . . . , Y 1 , X 0 ) ≤ ¯ H ( Y ) ≤ H ( Y n | Y n − 1 . . . , Y 0 ) Accuracy improves exponentially with n [Birch’62] Simple lower bound by Mrs. Gerber’s Lemma: � � H ( X 1 , . . . , X n ) �� α ∗ h − 1 H ( Y 1 , . . . , Y n ) ≥ nh n � � �� H ( X 1 , . . . , X n ) ⇒ ¯ α ∗ h − 1 H ( Y ) ≥ h lim n n →∞ ⇒ ¯ H ( Y ) ≥ h ( α ∗ q ) Standard MGL gives a weak estimate We will use an improved version of MGL 5 / 13

  19. Samorodnitsky’s MGL X , Y ∈ { 0 , 1 } n are the input and output of a BSC ( α ) λ � (1 − 2 α ) 2 The projection of X onto a subset of coordinates S ⊆ [ n ] is X S � { X i : i ∈ S } Let V be a random subset of [ n ] generated by independently sampling each element i with probability λ Theorem [Samorodnitsky’15] � � H ( X V | V ) �� α ∗ h − 1 H ( Y ) ≥ nh λ n 6 / 13

  20. Samorodnitsky’s MGL X , Y ∈ { 0 , 1 } n are the input and output of a BSC ( α ) λ � (1 − 2 α ) 2 The projection of X onto a subset of coordinates S ⊆ [ n ] is X S � { X i : i ∈ S } Let V be a random subset of [ n ] generated by independently sampling each element i with probability λ Theorem [Samorodnitsky’15] � � H ( X V | V ) �� α ∗ h − 1 H ( Y ) ≥ nh λ n is nonincreasing ∗ in λ By Han’s inequality H ( X V | V ) λ n 6 / 13

  21. Samorodnitsky’s MGL X , Y ∈ { 0 , 1 } n are the input and output of a BSC ( α ) λ � (1 − 2 α ) 2 The projection of X onto a subset of coordinates S ⊆ [ n ] is X S � { X i : i ∈ S } Let V be a random subset of [ n ] generated by independently sampling each element i with probability λ Theorem [Samorodnitsky’15] � � H ( X V | V ) �� α ∗ h − 1 H ( Y ) ≥ nh λ n ⇒ The new bound is stronger than MGL 6 / 13

  22. Samorodnitsky’s MGL - Proof Outline n � H ( Y i | Y i − 1 H ( Y ) = ) 1 i =1 n � ϕ ( H ( X i | Y i − 1 ≥ )) 1 i =1 n � � � H ( X i ) − I ( X i ; Y i − 1 = ϕ ) 1 i =1 � � ϕ ( x ) � h α ∗ h − 1 ( x ) 7 / 13

  23. Samorodnitsky’s MGL - Proof Outline n � H ( Y i | Y i − 1 H ( Y ) = ) 1 i =1 n � ϕ ( H ( X i | Y i − 1 ≥ )) 1 i =1 n � � � H ( X i ) − I ( X i ; Y i − 1 = ϕ ) 1 i =1 Need to upper bound I ( X i ; Y i − 1 ) 1 7 / 13

  24. Samorodnitsky’s MGL - Proof Outline n � H ( Y i | Y i − 1 H ( Y ) = ) 1 i =1 n � ϕ ( H ( X i | Y i − 1 ≥ )) 1 i =1 n � � � H ( X i ) − I ( X i ; Y i − 1 = ϕ ) 1 i =1 Need to upper bound I ( X i ; Y i − 1 ) = I ( X i ; Y i − 2 ) + I ( X i ; Y i − 1 | Y i − 2 ) 1 1 1 7 / 13

  25. Samorodnitsky’s MGL - Proof Outline n � H ( Y i | Y i − 1 H ( Y ) = ) 1 i =1 n � ϕ ( H ( X i | Y i − 1 ≥ )) 1 i =1 n � � � H ( X i ) − I ( X i ; Y i − 1 = ϕ ) 1 i =1 Need to upper bound I ( X i ; Y i − 1 ) = I ( X i ; Y i − 2 ) + I ( X i ; Y i − 1 | Y i − 2 ) 1 1 1 (SDPI) ≤ I ( X i ; Y i − 2 ) + λ I ( X i ; X i − 1 | Y i − 2 ) 1 1 7 / 13

  26. Samorodnitsky’s MGL - Proof Outline n � H ( Y i | Y i − 1 H ( Y ) = ) 1 i =1 n � ϕ ( H ( X i | Y i − 1 ≥ )) 1 i =1 n � � � H ( X i ) − I ( X i ; Y i − 1 = ϕ ) 1 i =1 Need to upper bound I ( X i ; Y i − 1 ) = I ( X i ; Y i − 2 ) + I ( X i ; Y i − 1 | Y i − 2 ) 1 1 1 (SDPI) ≤ I ( X i ; Y i − 2 ) + λ I ( X i ; X i − 1 | Y i − 2 ) 1 1 � � = (1 − λ ) I ( X i ; Y i − 2 I ( X i ; Y i − 2 ) + I ( X i ; X i − 1 | Y i − 2 ) + λ ) 1 1 1 7 / 13

  27. Samorodnitsky’s MGL - Proof Outline n � H ( Y i | Y i − 1 H ( Y ) = ) 1 i =1 n � ϕ ( H ( X i | Y i − 1 ≥ )) 1 i =1 n � � � H ( X i ) − I ( X i ; Y i − 1 = ϕ ) 1 i =1 Need to upper bound I ( X i ; Y i − 1 ) = I ( X i ; Y i − 2 ) + I ( X i ; Y i − 1 | Y i − 2 ) 1 1 1 (SDPI) ≤ I ( X i ; Y i − 2 ) + λ I ( X i ; X i − 1 | Y i − 2 ) 1 1 � � = (1 − λ ) I ( X i ; Y i − 2 I ( X i ; Y i − 2 ) + I ( X i ; X i − 1 | Y i − 2 ) + λ ) 1 1 1 (Chain Rule) = (1 − λ ) I ( X i ; Y i − 2 ) + λ I ( X i ; X i − 1 , Y i − 2 ) 1 1 7 / 13

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