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统计物理与信息论:Statistical Physics and Information Theory
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Foundations and Trends
R
in
Communications and Information Theory
Vol. 6, Nos. 1–2 (2009) 1–212
c
2010 N. Merhav
DOI: 10.1561/0100000052
Statistical Physics and Information Theory
By Neri Merhav
Contents
1 Introduction 2
2 Basic Background in Statistical Physics 8
2.1 What is Statistical Physics? 8
2.2 Basic Postulates and the Microcanonical Ensemble 9
2.3 The Canonical Ensemble 18
2.4 Properties of the Partition Function and the Free Energy 22
2.5 The Energy Equipartition Theorem 33
2.6 The Grand-Canonical Ensemble 35
3 Physical Interpretations of Information Measures 40
3.1 Statistical Physics of Optimum Message Distributions 41
3.2 Large Deviations and Physics of Coding Theorems 43
3.3 Gibbs’ Inequality and the Second Law 58
3.4 Boltzmann’s H-Theorem and the DPT 74
3.5 Generalized Temperature and Fisher Information 89
4 Analysis Tools and Asymptotic Methods 96
4.1 Introduction 96
4.2 The Laplace Method 98
4.3 The Saddle-Point Method 102
4.4 Extended Example: Capacity of a Disordered System 112
4.5 The Replica Method 117
5 Interacting Particles and Phase Transitions 123
5.1 Introduction — Sources of Interaction 124
5.2 Models of Interacting Particles 125
5.3 A Qualitative Discussion on Phase Transitions 131
5.4 Phase Transitions of the Rate–Distortion Function 135
5.5 The One-Dimensional Ising Model 139
5.6 The Curie–Weiss Model 142
5.7 Spin Glasses and Random Code Ensembles 147
6 The Random Energy Model and Random Coding 152
6.1 REM without a Magnetic Field 152
6.2 Random Code Ensembles and the REM 158
6.3 Random Coding Exponents 165
7 Extensions of the REM 176
7.1 REM Under Magnetic Field and Source–Channel Coding 177
7.2 Generalized REM (GREM) and Hierarchical Coding 186
7.3 Directed Polymers in a Random Medium and Tree Codes 197
8 Summary and Outlook 202
Acknowledgments 204
References 205
Foundations and Trends
R
in
Communications and Information Theory
Vol. 6, Nos. 1–2 (2009) 1–212
c
2010 N. Merhav
DOI: 10.1561/0100000052
Statistical Physics and Information Theory
Neri Merhav
Department of Electrical Engineering, Technion — Israel Institute of
Technology, Haifa 32000, Israel, merhav@ee.technion.ac.il
Abstract
This monograph is based on lecture notes of a graduate course, which
focuses on the relations between information theory and statistical
physics. The course was delivered at the Technion during the Spring of
2010 for the first time, and its target audience consists of EE graduate
students in the area of communications and information theory, as well
as graduate students in Physics who have basic background in infor-
mation theory. Strong emphasis is given to the analogy and parallelism
between information theory and statistical physics, as well as to the
insights, the analysis tools and techniques that can be borrowed from
statistical physics and ‘imported’ to certain problem areas in informa-
tion theory. This is a research trend that has been very active in the
last few decades, and the hope is that by exposing the students to the
meeting points between these two disciplines, their background and
perspective may be expanded and enhanced. This monograph is sub-
stantially revised and expanded relative to an earlier version posted in
arXiv (1006.1565v1 [cs.iT]).
1
Introduction
This work focuses on some of the relationships and the interplay
between information theory and statistical physics — a branch of
physics that deals with many-particle systems using probabilistic and
statistical methods in the microscopic level.
The relationships between information theory and statistical ther-
modynamics are by no means new, and many researchers have been
exploiting them for many years. Perhaps the first relation, or analogy,
that crosses one’s mind is that in both fields there is a fundamental
notion of entropy. Actually, in information theory, the term entropy
was coined in the footsteps of the thermodynamic entropy. The ther-
modynamic entropy was first introduced by Clausius in 1850, and its
probabilistic-statistical interpretation was established by Boltzmann
in 1872. It is virtually impossible to miss the functional resemblance
between the two notions of entropy, and indeed it was recognized by
Shannon and von Neumann. The well-known anecdote on this tells
that von Neumann advised Shannon to adopt this term because it
would provide him with “. . . a great edge in debates because nobody
really knows what entropy is anyway.”
But the relationships between the two fields go far beyond the fact
that both share the notion of entropy. In fact, these relationships have
2
3
many aspects. We will not cover all of them in this work, but just to
taste the flavor of their scope, we will mention just a few.
The maximum entropy (ME) principle. This is perhaps the oldest
concept that ties the two fields and it has attracted a great deal of
attention, not only of information theorists, but also that of researchers
in related fields like signal processing and image processing. The ME
principle evolves around a philosophy, or a belief, which, in a nutshell,
is the following: if in a certain problem, the observed data comes from
an unknown probability distribution, but we do have some knowledge
(that stems, e.g., from measurements) of certain moments of the under-
lying quantity/signal/random-variable, then assume that the unknown
underlying probability distribution is the one with maximum entropy
subject to (s.t.) moment constraints corresponding to this knowledge.
For example, if we know the first and the second moments, then the ME
distribution is Gaussian with matching first and second order moments.
Indeed, the Gaussian model is perhaps the most common model for
physical processes in information theory as well as in signal- and image
processing. But why maximum entropy? The answer to this philosoph-
ical question is rooted in the second law of thermodynamics, which
asserts that in an isolated system, the entropy cannot decrease, and
hence, when the system reaches thermal equilibrium, its entropy reaches
its maximum. Of course, when it comes to problems in information the-
ory and other related fields, this principle becomes quite heuristic, and
so, one may question its justification, but nevertheless, this approach
has had an enormous impact on research trends throughout the last
50 years, after being proposed by Jaynes in the late fifties of the pre-
vious century [45, 46], and further advocated by Shore and Johnson
afterward [106]. In the book by Cover and Thomas [13, Section 12],
there is a good exposition on this topic. We will not put much emphasis
on the ME principle in this work.
Landauer’s erasure principle. Another aspect of these relations
has to do with a theory whose underlying guiding principle is that
information is a physical entity. Specifically, Landauer’s erasure
principle [63] (see also [6]), which is based on this physical theory
of information, asserts that every bit that one erases, increases the
entropy of the universe by k ln2, where k is Boltzmann’s constant.
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