Conditional Entropy - Chain Rule

Chain Rule

Assume that the combined system determined by two random variables X and Y has entropy, that is, we need bits of information to describe its exact state. Now if we first learn the value of, we have gained bits of information. Once is known, we only need bits to describe the state of the whole system. This quantity is exactly, which gives the chain rule of conditional probability:

Formally, the chain rule indeed follows from the above definition of conditional probability:

$\begin{align} H(Y|X)=&\sum_{x\in\mathcal X, y\in\mathcal Y}p(x,y)\log \frac {p(x)} {p(x,y)}\\ =&-\sum_{x\in\mathcal X, y\in\mathcal Y}p(x,y)\log\,p(x,y) + \sum_{x\in\mathcal X, y\in\mathcal Y}p(x,y)\log\,p(x) \\ =& H(X,Y) + \sum_{x \in \mathcal X} p(x)\log\,p(x) \\ =& H(X,Y) - H(X). \end{align}$

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