Aufgaben:Exercise 4.3Z: Exponential and Laplace Distribution

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PDF of exponential distribution and Laplace distribution (below)

We consider here the probability density functions (WDF) of two continuous-value random variables:

• The random variable   $X$  is exponentially distributed (see top plot):   For  $x<0$  for  $f_X(x) = 0$,  and for positive $x$–values:

$$f_X(x) = \lambda \cdot {\rm e}^{-\lambda \hspace{0.05cm}\cdot \hspace{0.05cm}x}\hspace{0.05cm}. $$

• On the other hand, for the Laplace distributed random variable  $Y$  in the whole range  $ - \infty < y < + \infty$  (lower sketch) holds:

$$f_Y(y) = \lambda/2 \cdot {\rm e}^{-\lambda \hspace{0.05cm}\cdot \hspace{0.05cm}|\hspace{0.05cm}y\hspace{0.05cm}|}\hspace{0.05cm}.$$

To be calculated are the differential entropies  $h(X)$  and  $h(Y)$  adepending on the PDF parameter  $\it \lambda$.  For example:

$$h(X) = -\hspace{-0.7cm} \int\limits_{x \hspace{0.05cm}\in \hspace{0.05cm}{\rm supp}

\hspace{0.03cm}(\hspace{-0.03cm}f_X)} \hspace{-0.55cm} f_X(x) \cdot {\rm log} \hspace{0.1cm} \big [f_X(x) \big ] \hspace{0.1cm}{\rm d}x \hspace{0.05cm}.$$ If  $\log_2$  is used, add the pseudo-unit "bit".

In subtasks  (2)  and  (4)  specify the differential entropy in the following form:

$$h(X) = {1}/{2} \cdot {\rm log} \hspace{0.1cm} ({\it \Gamma}_{{\hspace{-0.01cm} \rm L}}^{\hspace{0.08cm}(X)} \cdot \sigma^2)

\hspace{0.5cm}{\rm bzw.} \hspace{0.5cm}h(Y) = {1}/{2} \cdot {\rm log} \hspace{0.1cm} ({\it \Gamma}_{{\hspace{-0.05cm} \rm L}}^{\hspace{0.08cm}(Y)} \cdot \sigma^2) \hspace{0.05cm}.$$ Determine by which factor  ${\it \Gamma}_{{\hspace{-0.05cm} \rm L}}^{\hspace{0.08cm}(X)}$  the exponential distribution is characterized and which factor  ${\it \Gamma}_{{\hspace{-0.01cm} \rm L}}^{\hspace{0.08cm}(Y)}$  results for the Laplace distribution.

Hints:

• The exercise belongs to the chapter  Differential Entropy.
• Useful hints for solving this task can be found in particular on the page  Differential entropy of some power-constrained random variables.
• For the variance of the exponentially distributed random variable $X$, as derived in Exercise 4.1Z holds.   $\sigma^2 = 1/\lambda^2$.
• Die Varianz der laplaceverteiten Zufallsgröße $Y$ ist bei gleichem $\it \lambda$ doppelt so groß:   $\sigma^2 = 2/\lambda^2$.

Questions

1 Calculate the differential entropy of the exponential distribution for  $\lambda = 1$.

$h(X) \ = \ $ $\ \rm bit$

2 What is the characteristic   ${\it \Gamma}_{{\hspace{-0.01cm} \rm L}}^{\hspace{0.08cm}(X)}$  for the exponential distribution corresponding to the form  $h(X) = {1}/{2} \cdot {\rm log}_2 \hspace{0.1cm} ({\it \Gamma}_{\hspace{-0.05cm} \rm L}^{\hspace{0.08cm}(X)} \cdot \sigma^2)$ ?

${\it \Gamma}_{{\hspace{-0.01cm} \rm L}}^{\hspace{0.08cm}(X)} \ = \ $

3 Calculate the differential entropy of the Laplace distribution for  $\lambda = 1$.

$h(Y) \ = \ $ $\ \rm bit$

4 What is the characteristic  ${\it \Gamma}_{{\hspace{-0.01cm} \rm L}}^{\hspace{0.08cm}(Y)} $  for the Laplace distribution corresponding to the form  $h(Y) = {1}/{2} \cdot {\rm log}_2 \hspace{0.1cm} ({\it \Gamma}_{\hspace{-0.05cm} \rm L}^{\hspace{0.08cm}(Y)} \cdot \sigma^2)$?

${\it \Gamma}_{{\hspace{-0.01cm} \rm L}}^{\hspace{0.08cm}(Y)} \ = \ $

Solution

Solution

(1)  Although in this exercise the result should be given in "bit" , we use the natural logarithm for derivation.

• Then the differential entropy is:

$$h(X) = -\hspace{-0.7cm} \int\limits_{x \hspace{0.05cm}\in \hspace{0.05cm}{\rm supp}

\hspace{0.03cm}(\hspace{-0.03cm}f_X)} \hspace{-0.35cm} f_X(x) \cdot {\rm ln} \hspace{0.1cm} \big [f_X(x)\big] \hspace{0.1cm}{\rm d}x \hspace{0.05cm}.$$

• For the exponential distribution, the integration limits are  $0$  and  $+∞$ .  In this range, the PDF  $f_X(x)$  is used according to the specification sheet:

$$h(X) =- \int_{0}^{\infty} \hspace{-0.15cm}

\lambda \cdot {\rm e}^{-\lambda \hspace{0.05cm}\cdot \hspace{0.05cm}x} \hspace{0.05cm} \cdot \hspace{0.05cm} \left [ {\rm ln} \hspace{0.1cm} (\lambda) + {\rm ln} \hspace{0.1cm} ({\rm e}^{-\lambda \hspace{0.05cm}\cdot \hspace{0.05cm}x})\right ]\hspace{0.1cm}{\rm d}x

   - \hspace{0.05cm} {\rm ln} \hspace{0.1cm} (\lambda) \cdot \int_{0}^{\infty} \hspace{-0.15cm}  

\lambda \cdot {\rm e}^{-\lambda \hspace{0.05cm}\cdot \hspace{0.05cm}x}\hspace{0.1cm}{\rm d}x \hspace{0.1cm} + \hspace{0.1cm} \lambda \cdot \int_{0}^{\infty} \hspace{-0.15cm} \lambda \cdot x \cdot {\rm e}^{-\lambda \hspace{0.05cm}\cdot \hspace{0.05cm}x}\hspace{0.1cm}{\rm d}x \hspace{0.05cm}.$$ We can see:

• The first integrand is identical to the PDF  $f_X(x)$ considered here.  Thus, the integral over the entire integration domain yields  $1$.
• The second integral corresponds exactly to the definition of the mean value  $m_1$  (moment of first order).  For the exponential distribution,  $m_1 = 1/λ$ holds.  From this follows:

$$h(X) = - \hspace{0.05cm} {\rm ln} \hspace{0.1cm} (\lambda) + 1 =

- \hspace{0.05cm} {\rm ln} \hspace{0.1cm} (\lambda) + \hspace{0.05cm} {\rm ln} \hspace{0.1cm} ({\rm e}) = {\rm ln} \hspace{0.1cm} ({\rm e}/\lambda) \hspace{0.05cm}.$$

• This result is to be given the additional unit "nat".  Using  $\log_2$  instead of  $\ln$ , we obtain the differential entropy in "bit":

$$h(X) = {\rm log}_2 \hspace{0.1cm} ({\rm e}/\lambda)

\hspace{0.3cm} \Rightarrow \hspace{0.3cm} \lambda = 1{\rm :} \hspace{0.3cm} h(X) = {\rm log}_2 \hspace{0.1cm} ({\rm e}) = \frac{{\rm ln} \hspace{0.1cm} ({\rm e})}{{\rm ln} \hspace{0.1cm} (2)} \hspace{0.15cm}\underline{= 1.443\,{\rm bit}} \hspace{0.05cm}.$$

(2)  Considering the equation  $\sigma^2 = 1/\lambda^2$  valid for the exponential distribution, we can transform the result found in  (1)  as follows:

$$h(X) = {\rm log}_2 \hspace{0.1cm} ({\rm e}/\lambda) =

{1}/{2}\cdot {\rm log}_2 \hspace{0.1cm} ({\rm e}^2/\lambda^2) = {1}/{2} \cdot {\rm log}_2 \hspace{0.1cm} ({\rm e}^2 \cdot \sigma^2) \hspace{0.05cm}.$$

• A comparison with the required basic form  $h(X) = {1}/{2} \cdot {\rm log}_2 \hspace{0.1cm} ({\it \Gamma}_{\hspace{-0.05cm} \rm L}^{\hspace{0.08cm}(X)} \cdot \sigma^2)$  leads to the result:

$${\it \Gamma}_{{\hspace{-0.05cm} \rm L}}^{\hspace{0.08cm}(X)} = {\rm e}^2 \hspace{0.15cm}\underline{\approx 7.39}

\hspace{0.05cm}.$$

(3)  For the Laplace distribution, we divide the integration domain into two subdomains:

• $Y$  negative   ⇒   Anteil  $h_{\rm neg}(Y)$,
• $Y$  positive   ⇒   Anteil  $h_{\rm pos}(Y)$.

The total differential entropy, taking into account  $h_{\rm neg}(Y) = h_{\rm pos}(Y)$  is given by

$$h(Y) = h_{\rm neg}(Y) + h_{\rm pos}(Y) = 2 \cdot h_{\rm pos}(Y) $$

$$\Rightarrow \hspace{0.3cm} h(Y) = - 2 \cdot \int_{0}^{\infty} \hspace{-0.15cm}

\lambda/2 \cdot {\rm e}^{-\lambda \hspace{0.05cm}\cdot \hspace{0.05cm}y} \hspace{0.05cm} \cdot \hspace{0.05cm} \left [ {\rm ln} \hspace{0.1cm} (\lambda/2) + {\rm ln} \hspace{0.1cm} ({\rm e}^{-\lambda \hspace{0.05cm}\cdot \hspace{0.05cm}y})\right ]\hspace{0.1cm}{\rm d}y = - \hspace{0.05cm} {\rm ln} \hspace{0.1cm} (\lambda/2) \cdot \int_{0}^{\infty} \hspace{-0.15cm} \lambda \cdot {\rm e}^{-\lambda \hspace{0.05cm}\cdot \hspace{0.05cm}y}\hspace{0.1cm}{\rm d}y \hspace{0.1cm} + \hspace{0.1cm} \lambda \cdot \int_{0}^{\infty} \hspace{-0.15cm} \lambda \cdot y \cdot {\rm e}^{-\lambda \hspace{0.05cm}\cdot \hspace{0.05cm}y}\hspace{0.1cm}{\rm d}y \hspace{0.05cm}.$$

If we again consider that the first integral gives the value  $1$   (PDF area) and the second integral gives the mean value  $m_1 = 1/\lambda$  we obtain:

$$h(Y) = - \hspace{0.05cm} {\rm ln} \hspace{0.1cm} (\lambda/2) + 1 =

- \hspace{0.05cm} {\rm ln} \hspace{0.1cm} (\lambda/2) + \hspace{0.05cm} {\rm ln} \hspace{0.1cm} ({\rm e}) = {\rm ln} \hspace{0.1cm} (2{\rm e}/\lambda) \hspace{0.05cm}.$$

• Since the result is required in "bit" , we still need to replace  $\ln$  by  $\log_2$ :

$$h(Y) = {\rm log}_2 \hspace{0.1cm} (2{\rm e}/\lambda)

\hspace{0.3cm} \Rightarrow \hspace{0.3cm} \lambda = 1{\rm :} \hspace{0.3cm} h(Y) = {\rm log}_2 \hspace{0.1cm} (2{\rm e}) \hspace{0.15cm}\underline{= 2.443\,{\rm bit}} \hspace{0.05cm}.$$

(4)  For the Laplace distribution, the relation  $\sigma^2 = 2/\lambda^2$ holds.  Thus, we obtain:

$$h(X) = {\rm log}_2 \hspace{0.1cm} (\frac{2{\rm e}}{\lambda}) =

{1}/{2} \cdot {\rm log}_2 \hspace{0.1cm} (\frac{4{\rm e}^2}{\lambda^2}) = {1}/{2} \cdot {\rm log}_2 \hspace{0.1cm} (2 {\rm e}^2 \cdot \sigma^2) \hspace{0.3cm} \Rightarrow \hspace{0.3cm} {\it \Gamma}_{{\hspace{-0.05cm} \rm L}}^{\hspace{0.08cm}(Y)} = 2 \cdot {\rm e}^2 \hspace{0.15cm}\underline{\approx 14.78} \hspace{0.05cm}.$$

• Consequently, the  ${\it \Gamma}_{{\hspace{-0.05cm} \rm L}}$ value is twice as large for the Laplace distribution as for the exponential distribution.
• Thus, the Laplace distribution is better than the exponential distribution in terms of differential entropy when power-limited signals are assumed.
• Under the constraint of peak limiting, both the exponential and Laplace distributions are completely unsuitable, as is the Gaussian distribution. These all extend to infinity.