On entropy approximation for Gaussian mixture random vectors

Abstract

For many practical probability density representations such as for the widely used Gaussian mixture densities, an analytic evaluation of the differential entropy is not possible and thus, approximate calculations are inevitable. For this purpose, the first contribution of this paper deals with a novel entropy approximation method for Gaussian mixture random vectors, which is based on a component-wise Taylor-series expansion of the logarithm of a Gaussian mixture and on a splitting method of Gaussian mixture components. The employed order of the Taylor-series expansion and the number of components used for splitting allows balancing between accuracy and computational demand. The second contribution is the determination of meaningful and efficiently to calculate lower and upper bounds of the entropy, which can be also used for approximation purposes. In addition, a refinement method for the more important upper bound is proposed in order to approach the true entropy value.