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THOMAS M. COVER . JOY A. THOMAS
Second Edition
A JOHN WILEY & SONS, INC., PUBLICATION
FOR THE SECOND EDITION
Since the appearance of the first edition, we have been fortunate to receive
feedback, suggestions, and corrections from a large number of readers. It
would be impossible to thank everyone who has helped us in our efforts,
but we would like to list some of them. In particular, we would like
to thank all the faculty who taught courses based on this book and the
students who took those courses; it is through them that we learned to
look at the same material from a different perspective.
In particular, we would like to thank Andrew Barron, Alon Orlitsky,
T. S. Han, Raymond Yeung, Nam Phamdo, Franz Willems, and Marty
Cohn for their comments and suggestions. Over the years, students at
Stanford have provided ideas and inspirations for the changes—these
include George Gemelos, Navid Hassanpour, YoungHan Kim, Charles
Mathis, Styrmir Sigurjonsson, Jon Yard, Michael Baer, Mung Chiang,
Suhas Diggavi, Elza Erkip, Paul Fahn, Garud Iyengar, David Julian, Yiannis
Kontoyiannis, Amos Lapidoth, Erik Ordentlich, Sandeep Pombra, Jim
Roche, Arak Sutivong, Joshua SweetkindSinger, and Assaf Zeevi. Denise
Murphy provided much support and help during the preparation of the second edition.
Joy Thomas would like to acknowledge the support of colleagues
at IBM and Stratify who provided valuable comments and suggestions.
Particular thanks are due Peter Franaszek, C. S. Chang, Randy Nelson,
Ramesh Gopinath, Pandurang Nayak, John Lamping, Vineet Gupta, and
Ramana Venkata. In particular, many hours of dicussion with Brandon
Roy helped refine some of the arguments in the book. Above all, Joy
would like to acknowledge that the second edition would not have been
possible without the support and encouragement of his wife, Priya, who
makes all things worthwhile.
Tom Cover would like to thank his students and his wife, Karen.
ACKNOWLEDGMENTS
FOR THE FIRST EDITION
We wish to thank everyone who helped make this book what it is. In
particular, Aaron Wyner, Toby Berger, Masoud Salehi, Alon Orlitsky,
Jim Mazo and Andrew Barron have made detailed comments on various
drafts of the book which guided us in our final choice of content. We
would like to thank Bob Gallager for an initial reading of the manuscript
and his encouragement to publish it. Aaron Wyner donated his new proof
with Ziv on the convergence of the LempelZiv algorithm. We would
also like to thank Normam Abramson, Ed van der Meulen, Jack Salz and
Raymond Yeung for their suggested revisions.
Certain key visitors and research associates contributed as well, including
Amir Dembo, Paul Algoet, Hirosuke Yamamoto, Ben Kawabata, M.
Shimizu and Yoichiro Watanabe. We benefited from the advice of John
Gill when he used this text in his class. Abbas El Gamal made invaluable
contributions, and helped begin this book years ago when we planned
to write a research monograph on multiple user information theory. We
would also like to thank the Ph.D. students in information theory as this
book was being written: Laura Ekroot, Will Equitz, Don Kimber, Mitchell
Trott, Andrew Nobel, Jim Roche, Erik Ordentlich, Elza Erkip and Vittorio
Castelli. Also Mitchell Oslick, ChienWen Tseng and Michael Morrell
were among the most active students in contributing questions and suggestions
to the text. Marc Goldberg and Anil Kaul helped us produce
some of the figures. Finally we would like to thank Kirsten Goodell and
Kathy Adams for their support and help in some of the aspects of the
preparation of the manuscript.
Joy Thomas would also like to thank Peter Franaszek, Steve Lavenberg,
Fred Jelinek, David Nahamoo and Lalit Bahl for their encouragment and
support during the final stages of production of this book.
PREFACE TO THE SECOND EDITION
In the years since the publication of the first edition, there were many
aspects of the book that we wished to improve, to rearrange, or to expand,
but the constraints of reprinting would not allow us to make those changes
between printings. In the new edition, we now get a chance to make some
of these changes, to add problems, and to discuss some topics that we had
omitted from the first edition.
The key changes include a reorganization of the chapters to make
the book easier to teach, and the addition of more than two hundred
new problems. We have added material on universal portfolios, universal
source coding, Gaussian feedback capacity, network information theory,
and developed the duality of data compression and channel capacity. A
new chapter has been added and many proofs have been simplified. We
have also updated the references and historical notes.
The material in this book can be taught in a twoquarter sequence. The
first quarter might cover Chapters 1 to 9, which includes the asymptotic
equipartition property, data compression, and channel capacity, culminating
in the capacity of the Gaussian channel. The second quarter could
cover the remaining chapters, including rate distortion, the method of
types, Kolmogorov complexity, network information theory, universal
source coding, and portfolio theory. If only one semester is available, we
would add rate distortion and a single lecture each on Kolmogorov complexity
and network information theory to the first semester. A web site,
http://www.elementsofinformationtheory.com, provides links to additional
material and solutions to selected problems.
In the years since the first edition of the book, information theory
celebrated its 50th birthday (the 50th anniversary of Shannon’s original
paper that started the field), and ideas from information theory have been
applied to many problems of science and technology, including bioinformatics,
web search, wireless communication, video compression, and
others. The list of applications is endless, but it is the elegance of the
fundamental mathematics that is still the key attraction of this area. We
hope that this book will give some insight into why we believe that this
is one of the most interesting areas at the intersection of mathematics,
physics, statistics, and engineering.
Tom Cover
Joy Thomas
Palo Alto, California
January 2006
PREFACE TO THE FIRST EDITION
This is intended to be a simple and accessible book on information theory.
As Einstein said, “Everything should be made as simple as possible, but no
simpler.” Although we have not verified the quote (first found in a fortune
cookie), this point of view drives our development throughout the book.
There are a few key ideas and techniques that, when mastered, make the
subject appear simple and provide great intuition on new questions.
This book has arisen from over ten years of lectures in a twoquarter
sequence of a senior and firstyear graduatelevel course in information
theory, and is intended as an introduction to information theory for students
of communication theory, computer science, and statistics.
There are two points to be made about the simplicities inherent in information
theory. First, certain quantities like entropy and mutual information
arise as the answers to fundamental questions. For example, entropy is
the minimum descriptive complexity of a random variable, and mutual
information is the communication rate in the presence of noise. Also,
as we shall point out, mutual information corresponds to the increase in
the doubling rate of wealth given side information. Second, the answers
to information theoretic questions have a natural algebraic structure. For
example, there is a chain rule for entropies, and entropy and mutual information
are related. Thus the answers to problems in data compression
and communication admit extensive interpretation. We all know the feeling
that follows when one investigates a problem, goes through a large
amount of algebra, and finally investigates the answer to find that the
entire problem is illuminated not by the analysis but by the inspection of
the answer. Perhaps the outstanding examples of this in physics are Newton’s
laws and Schr¨odinger’s wave equation. Who could have foreseen the
awesome philosophical interpretations of Schr¨odinger’s wave equation?
In the text we often investigate properties of the answer before we look
at the question. For example, in Chapter 2, we define entropy, relative
entropy, and mutual information and study the relationships and a few
interpretations of them, showing how the answers fit together in various
ways. Along the way we speculate on the meaning of the second law of
thermodynamics. Does entropy always increase? The answer is yes and
no. This is the sort of result that should please experts in the area but
might be overlooked as standard by the novice.
In fact, that brings up a point that often occurs in teaching. It is fun
to find new proofs or slightly new results that no one else knows. When
one presents these ideas along with the established material in class, the
response is “sure, sure, sure.” But the excitement of teaching the material
is greatly enhanced. Thus we have derived great pleasure from investigating
a number of new ideas in this textbook.
Examples of some of the new material in this text include the chapter
on the relationship of information theory to gambling, the work on the universality
of the second law of thermodynamics in the context of Markov
chains, the joint typicality proofs of the channel capacity theorem, the
competitive optimality of Huffman codes, and the proof of Burg’s theorem
on maximum entropy spectral density estimation. Also, the chapter on
Kolmogorov complexity has no counterpart in other information theory
texts. We have also taken delight in relating Fisher information, mutual
information, the central limit theorem, and the Brunn–Minkowski and
entropy power inequalities. To our surprise, many of the classical results
on determinant inequalities are most easily proved using information theoretic inequalities.
Even though the field of information theory has grown considerably
since Shannon’s original paper, we have strived to emphasize its coherence.
While it is clear that Shannon was motivated by problems in communication
theory when he developed information theory, we treat information
theory as a field of its own with applications to communication theory
and statistics. We were drawn to the field of information theory from
backgrounds in communication theory, probability theory, and statistics,
because of the apparent impossibility of capturing the intangible concept of information.
Since most of the results in the book are given as theorems and proofs,
we expect the elegance of the results to speak for themselves. In many
cases we actually describe the properties of the solutions before the problems.
Again, the properties are interesting in themselves and provide a
natural rhythm for the proofs that follow.
One innovation in the presentation is our use of long chains of inequalities
with no intervening text followed immediately by the explanations.
By the time the reader comes to many of these proofs, we expect that he
or she will be able to follow most of these steps without any explanation
and will be able to pick out the needed explanations. These chains of
inequalities serve as pop quizzes in which the reader can be reassured
of having the knowledge needed to prove some important theorems. The
natural flow of these proofs is so compelling that it prompted us to flout
one of the cardinal rules of technical writing; and the absence of verbiage
makes the logical necessity of the ideas evident and the key ideas perspicuous.
We hope that by the end of the book the reader will share our
appreciation of the elegance, simplicity, and naturalness of information theory.
Throughout the book we use the method of weakly typical sequences,
which has its origins in Shannon’s original 1948 work but was formally
developed in the early 1970s. The key idea here is the asymptotic equipartition
property, which can be roughly paraphrased as “Almost everything is almost equally probable.”
Chapter 2 includes the basic algebraic relationships of entropy, relative
entropy, and mutual information. The asymptotic equipartition property
(AEP) is given central prominence in Chapter 3. This leads us to discuss
the entropy rates of stochastic processes and data compression in
Chapters 4 and 5. A gambling sojourn is taken in Chapter 6, where the
duality of data compression and the growth rate of wealth is developed.
The sensational success of Kolmogorov complexity as an intellectual
foundation for information theory is explored in Chapter 14. Here we
replace the goal of finding a description that is good on the average with
the goal of finding the universally shortest description. There is indeed
a universal notion of the descriptive complexity of an object. Here also
the wonderful number is investigated. This number, which is the binary
expansion of the probability that a Turing machine will halt, reveals many
of the secrets of mathematics.
Channel capacity is established in Chapter 7. The necessary material
on differential entropy is developed in Chapter 8, laying the groundwork
for the extension of previous capacity theorems to continuous noise channels.
The capacity of the fundamental Gaussian channel is investigated in Chapter 9.
The relationship between information theory and statistics, first studied
by Kullback in the early 1950s and relatively neglected since, is developed
in Chapter 11. Rate distortion theory requires a little more background
than its noiseless data compression counterpart, which accounts for its
placement as late as Chapter 10 in the text.
The huge subject of network information theory, which is the study
of the simultaneously achievable flows of information in the presence of
noise and interference, is developed in Chapter 15. Many new ideas come
into play in network information theory. The primary new ingredients are
interference and feedback. Chapter 16 considers the stock market, which is
the generalization of the gambling processes considered in Chapter 6, and
shows again the close correspondence of information theory and gambling.
Chapter 17, on inequalities in information theory, gives us a chance to
recapitulate the interesting inequalities strewn throughout the book, put
them in a new framework, and then add some interesting new inequalities
on the entropy rates of randomly drawn subsets. The beautiful relationship
of the Brunn–Minkowski inequality for volumes of set sums, the entropy
power inequality for the effective variance of the sum of independent
random variables, and the Fisher information inequalities are made explicit here.
We have made an attempt to keep the theory at a consistent level.
The mathematical level is a reasonably high one, probably the senior or
firstyear graduate level, with a background of at least one good semester
course in probability and a solid background in mathematics. We have,
however, been able to avoid the use of measure theory. Measure theory
comes up only briefly in the proof of the AEP for ergodic processes in
Chapter 16. This fits in with our belief that the fundamentals of information
theory are orthogonal to the techniques required to bring them to
their full generalization.
The essential vitamins are contained in Chapters 2, 3, 4, 5, 7, 8, 9,
11, 10, and 15. This subset of chapters can be read without essential
reference to the others and makes a good core of understanding. In our
opinion, Chapter 14 on Kolmogorov complexity is also essential for a deep
understanding of information theory. The rest, ranging from gambling to
inequalities, is part of the terrain illuminated by this coherent and beautiful subject.
Every course has its first lecture, in which a sneak preview and overview
of ideas is presented. Chapter 1 plays this role.
Tom Cover
Joy Thomas
Palo Alto, California
June 1990
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Copyright
 2006 by John Wiley & Sons, Inc 
Contents
Contents v
Preface to the Second Edition xv
Preface to the First Edition xvii
Acknowledgments for the Second Edition xxi
Acknowledgments for the First Edition xxiii
1 Introduction and Preview
1.1 Preview of the Book
2 Entropy, Relative Entropy, and Mutual Information
2.1 Entropy 13
2.2 Joint Entropy and Conditional Entropy 16
2.3 Relative Entropy and Mutual Information 19
2.4 Relationship Between Entropy and Mutual Information 20
2.5 Chain Rules for Entropy, Relative Entropy, and Mutual Information 22
2.6 Jensen’s Inequality and Its Consequences 25
2.7 Log Sum Inequality and Its Applications 30
2.8 DataProcessing Inequality 34
2.9 Sufficient Statistics 35
2.10 Fano’s Inequality 37
Summary 41
Problems 43
Historical Notes 54
3 Asymptotic Equipartition Property
3.1 Asymptotic Equipartition Property Theorem 58
3.2 Consequences of the AEP: Data Compression 60
3.3 HighProbability Sets and the Typical Set 62
Summary 64
Problems 64
Historical Notes 69
4 Entropy Rates of a Stochastic Process
4.1 Markov Chains 71
4.2 Entropy Rate 74
4.3 Example: Entropy Rate of a Random Walk on a Weighted Graph 78
4.4 Second Law of Thermodynamics 81
4.5 Functions of Markov Chains 84
Summary 87
Problems 88
Historical Notes 100
5 Data Compression
5.1 Examples of Codes 103
5.2 Kraft Inequality 107
5.3 Optimal Codes 110
5.4 Bounds on the Optimal Code Length 112
5.5 Kraft Inequality for Uniquely Decodable Codes 115
5.6 Huffman Codes 118
5.7 Some Comments on Huffman Codes 120
5.8 Optimality of Huffman Codes 123
5.9 Shannon–Fano–Elias Coding 127
5.10 Competitive Optimality of the Shannon Code 130
5.11 Generation of Discrete Distributions from
Fair Coins 134
Summary 141
Problems 142
Historical Notes 157
6 Gambling and Data Compression
6.1 The Horse Race 159
6.2 Gambling and Side Information 164
6.3 Dependent Horse Races and Entropy Rate 166
6.4 The Entropy of English 168
6.5 Data Compression and Gambling 171
6.6 Gambling Estimate of the Entropy of English 173
Summary 175
Problems 176
Historical Notes 182
7 Channel Capacity
7.1 Examples of Channel Capacity 184
7.1.1 Noiseless Binary Channel 184
7.1.2 Noisy Channel with Nonoverlapping Outputs 185
7.1.3 Noisy Typewriter 186
7.1.4 Binary Symmetric Channel 187
7.1.5 Binary Erasure Channel 188
7.2 Symmetric Channels 189
7.3 Properties of Channel Capacity 191
7.4 Preview of the Channel Coding Theorem 191
7.5 Definitions 192
7.6 Jointly Typical Sequences 195
7.7 Channel Coding Theorem 199
7.8 ZeroError Codes 205
7.9 Fano’s Inequality and the Converse to the Coding Theorem 206
7.10 Equality in the Converse to the Channel Coding Theorem 208
7.11 Hamming Codes 210
7.12 Feedback Capacity 216
7.13 Source–Channel Separation Theorem 218
Summary 222
Problems 223
Historical Notes 240
8 Differential Entropy
8.1 Definitions 243
8.2 AEP for Continuous Random Variables 245
8.3 Relation of Differential Entropy to Discrete Entropy 247
8.4 Joint and Conditional Differential Entropy 249
8.5 Relative Entropy and Mutual Information 250
8.6 Properties of Differential Entropy, Relative Entropy,
and Mutual Information 252
Summary 256
Problems 256
Historical Notes 259
9 Gaussian Channel
9.1 Gaussian Channel: Definitions 263
9.2 Converse to the Coding Theorem for Gaussian Channels 268
9.3 Bandlimited Channels 270
9.4 Parallel Gaussian Channels 274
9.5 Channels with Colored Gaussian Noise 277
9.6 Gaussian Channels with Feedback 280
Summary 289
Problems 290
Historical Notes 299
10 Rate Distortion Theory
10.1 Quantization 301
10.2 Definitions 303
10.3 Calculation of the Rate Distortion Function 307
10.3.1 Binary Source 307
10.3.2 Gaussian Source 310
10.3.3 Simultaneous Description of Independent Gaussian Random Variables 312
10.4 Converse to the Rate Distortion Theorem 315
10.5 Achievability of the Rate Distortion Function 318
10.6 Strongly Typical Sequences and Rate Distortion 325
10.7 Characterization of the Rate Distortion Function 329
10.8 Computation of Channel Capacity and the Rate
Distortion Function 332
Summary 335
Problems 336
Historical Notes 345
11 Information Theory and Statistics
11.1 Method of Types 347
11.2 Law of Large Numbers 355
11.3 Universal Source Coding 357
11.4 Large Deviation Theory 360
11.5 Examples of Sanov’s Theorem 364
11.6 Conditional Limit Theorem 366
11.7 Hypothesis Testing 375
11.8 Chernoff–Stein Lemma 380
11.9 Chernoff Information 384
11.10 Fisher Information and the Cram´er–Rao
Inequality 392
Summary 397
Problems 399
Historical Notes 408
12 Maximum Entropy
12.1 Maximum Entropy Distributions 409
12.2 Examples 411
12.3 Anomalous Maximum Entropy Problem 413
12.4 Spectrum Estimation 415
12.5 Entropy Rates of a Gaussian Process 416
12.6 Burg’s Maximum Entropy Theorem 417
Summary 420
Problems 421
Historical Notes 425
13 Universal Source Coding
13.1 Universal Codes and Channel Capacity 428
13.2 Universal Coding for Binary Sequences 433
13.3 Arithmetic Coding 436
13.4 Lempel–Ziv Coding 440
13.4.1 Sliding Window Lempel–Ziv Algorithm 441
13.4.2 TreeStructured Lempel–Ziv Algorithms 442
13.5 Optimality of Lempel–Ziv Algorithms 443
13.5.1 Sliding Window Lempel–Ziv Algorithms 443
13.5.2 Optimality of TreeStructured Lempel–Ziv
Compression 448
Summary 456
Problems 457
Historical Notes 461
14 Kolmogorov Complexity
14.1 Models of Computation 464
14.2 Kolmogorov Complexity: Definitions and Examples 466
14.3 Kolmogorov Complexity and Entropy 473
14.4 Kolmogorov Complexity of Integers 475
14.5 Algorithmically Random and Incompressible Sequences 476
14.6 Universal Probability 480
14.7 Kolmogorov complexity 482
14.8 484
14.9 Universal Gambling 487
14.10 Occam’s Razor 488
14.11 Kolmogorov Complexity and Universal Probability 490
14.12 Kolmogorov Sufficient Statistic 496
14.13 Minimum Description Length Principle 500
Summary 501
Problems 503
Historical Notes 507
15 Network Information Theory
15.1 Gaussian MultipleUser Channels 513
15.1.1 SingleUser Gaussian Channel 513
15.1.2 Gaussian MultipleAccess Channel with m Users 514
15.1.3 Gaussian Broadcast Channel 515
15.1.4 Gaussian Relay Channel 516
15.1.5 Gaussian Interference Channel 518
15.1.6 Gaussian TwoWay Channel 519
15.2 Jointly Typical Sequences 520
15.3 MultipleAccess Channel 524
15.3.1 Achievability of the Capacity Region for the MultipleAccess Channel 530
15.3.2 Comments on the Capacity Region for the MultipleAccess Channel 532
15.3.3 Convexity of the Capacity Region of the MultipleAccess Channel 534
15.3.4 Converse for the MultipleAccess Channel 538
15.3.5 mUser MultipleAccess Channels 543
15.3.6 Gaussian MultipleAccess Channels 544
15.4 Encoding of Correlated Sources 549
15.4.1 Achievability of the Slepian–Wolf Theorem 551
15.4.2 Converse for the Slepian–Wolf Theorem 555
15.4.3 Slepian–Wolf Theorem for Many Sources 556
15.4.4 Interpretation of Slepian–Wolf Coding 557
15.5 Duality Between Slepian–Wolf Encoding and MultipleAccess Channels 558
15.6 Broadcast Channel 560
15.6.1 Definitions for a Broadcast Channel 563
15.6.2 Degraded Broadcast Channels 564
15.6.3 Capacity Region for the Degraded Broadcast Channel 565
15.7 Relay Channel 571
15.8 Source Coding with Side Information 575
15.9 Rate Distortion with Side Information 580
15.10 General Multiterminal Networks 587
Summary 594
Problems 596
Historical Notes 609
16 Information Theory and Portfolio Theory
16.1 The Stock Market: Some Definitions 613
16.2 Kuhn–Tucker Characterization of the LogOptimal Portfolio 617
16.3 Asymptotic Optimality of the LogOptimal Portfolio 619
16.4 Side Information and the Growth Rate 621
16.5 Investment in Stationary Markets 623
16.6 Competitive Optimality of the LogOptimal Portfolio 627
16.7 Universal Portfolios 629
16.7.1 FiniteHorizon Universal Portfolios 631
16.7.2 HorizonFree Universal Portfolios 638
16.8 Shannon–McMillan–Breiman Theorem
(General AEP) 644
Summary 650
Problems 652
Historical Notes 655
17 Inequalities in Information Theory
17.1 Basic Inequalities of Information Theory 657
17.2 Differential Entropy 660
17.3 Bounds on Entropy and Relative Entropy 663
17.4 Inequalities for Types 665
17.5 Combinatorial Bounds on Entropy 666
17.6 Entropy Rates of Subsets 667
17.7 Entropy and Fisher Information 671
17.8 Entropy Power Inequality and Brunn–Minkowski Inequality 674
17.9 Inequalities for Determinants 679
17.10 Inequalities for Ratios of Determinants 683
Summary 686
Problems 686
Historical Notes 687
Bibliography 689
List of Symbols 723
Index 727
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