Madiman–Wang conjecture on Rényi entropy of sums

For β>0\beta>0, let the generalized Gaussian have density

Gβ,p(x)=α(1βx2)+1/(p1),G_{\beta,p}(x)=\alpha(1-\beta|x|^2)_+^{1/(p-1)},

where β\beta and α\alpha are chosen so that it integrates to one. Let XjX_j, j=1,,nj=1,\dots,n, be independent random variables with densities fjf_j, and let ZjZ_j be independent random variables distributed according to Gβj,pG_{\beta_j,p}, where βj\beta_j is chosen so that hp(Xj)=hp(Zj)h_p(X_j)=h_p(Z_j). Madiman–Wang conjecture. One has

hp(X1++Xn)hp(Z1++Zn).h_p(X_1+\dots+X_n)\geq h_p(Z_1+\dots+Z_n).

This conjecture asks whether generalized Gaussians minimize the Rényi entropy of a sum among independent random variables with prescribed individual Rényi entropies. It is presented as an open question in the source and generalizes the corresponding Gaussian minimization statement for Shannon entropy.

Sources & referencesView supporting material

Primary source

Benjamin Jaye, Galyna V. Livshyts, Grigoris Paouris and Peter Pivovarov, “Remarks on the Rényi Entropy of a sum of IID random variables”, arXiv:1904.08038 (2019).

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