# Generalized Cross Entropy framework

#### Jorge Cabral

## Introduction

Although the common situation is the absence of prior information on \(\mathbf{p} = (\mathbf{p_0}',\mathbf{p_1}',\dots,\mathbf{p_K}')'\), in some particular cases pre-sample information exists in the form of \(\mathbf{q} = (\mathbf{q_0}',\mathbf{q_1}',\dots,\mathbf{q_K}')'\). This \(\mathbf{q}\) distribution can be used as an initial hypothesis to be incorporated in the consistency relations of maximum entropy formalism. Kullback and Leibler [1] defined cross-entropy (CE) between \(\mathbf{p}\) and \(\mathbf{q}\) as

\[\begin{align} I(\mathbf{p},\mathbf{q})=\sum_{k=0}^K \mathbf{p_k} \ln \left(\mathbf{p_k}/\mathbf{q_k}\right). \end{align}\]

\(I(\mathbf{p},\mathbf{q})\) measures the discrepancy between the \(\mathbf{p}\) and \(\mathbf{q}\) distributions. It is non-negative, and when \(\mathbf{p}=\mathbf{q}\) one gets \(I(\mathbf{p},\mathbf{q})=0\). So, according to the principle of minimum cross-entropy [2,3] probabilities that are as close as possible to the prior probabilities should be chosen.

## Generalized Cross Entropy estimator

Given the previous, and for the reparameterized linear regression model, \[\begin{equation} \mathbf{y}=\mathbf{XZp} + \mathbf{Vw}, \end{equation}\]
the Generalized Cross Entropy (GCE) estimator is given by

\[\begin{equation} \hat{\boldsymbol{\beta}}^{GCE(\mathbf{Z},\mathbf{V})} = \underset{\mathbf{p},\mathbf{q},\mathbf{w},\mathbf{u}}{\operatorname{argmin}} \left\{\mathbf{p}' \ln \left(\mathbf{p/q}\right) + \mathbf{w}' \ln \left(\mathbf{w/u}\right) \right\}, \end{equation}\]
subject to the same model constraints as the GME estimator (see “Generalized Maximum Entropy framework”).

Using set notation the minimization problem can be rewritten as follows: \[\begin{align} &\text{minimize} & I(\mathbf{p,q,w,u}) &=\sum_{m=1}^M\sum_{k=0}^{K} p_{km}ln(p_{km}/q_{km}) +\sum_{j=1}^J\sum_{n=1}^N w_{nj}ln(w_{nj}/u_{nj}) \\ &\text{subject to} & y_n &= \sum_{m=1}^M\sum_{k=0}^{K} X_{kn}Z_{kj}p_{kj} + \sum_{m=1}^M V_{nm}w_{nm} \\ & & \sum_{m=1}^M p_{km} = 1, \forall k\\ & & \sum_{j=1}^J w_{kj} = 1, \forall k. \end{align}\]

The Lagrangian equation \[\begin{equation} \mathcal{L}=\mathbf{p}' \ln \left(\mathbf{p/q}\right) + \mathbf{w}' \ln \left(\mathbf{w/u}\right) + \boldsymbol{\lambda}' \left( \mathbf{y} - \mathbf{XZp} - \mathbf{Vw} \right) + \boldsymbol{\theta}'\left( \mathbf{1}_{K+1}-(\mathbf{I}_{K+1} \otimes \mathbf{1}'_M)\mathbf{p} \right) + \boldsymbol{\tau}'\left( \mathbf{1}_N-(\mathbf{I}_N \otimes \mathbf{1}'_J)\mathbf{w}\right) \end{equation}\]
can be used to find the interior solution, where \(\lambda\), \(\theta\), and \(\tau\) are \((N\times 1)\), \(((K+1)\times 1)\), \((N\times 1)\) associated vectors of Lagrangian multipliers, respectively.
Taking the gradient of the Lagrangian and solving the first-order conditions yields the solutions for \(\mathbf{\hat p}\) and \(\mathbf{\hat w}\)

\[\begin{equation} \hat p_{km} = \frac{exp(-z_{km}\sum_{n=1}^N \hat\lambda_n x_{nk})}{\sum_{m=1}^M exp(-z_{km}\sum_{n=1}^N \hat\lambda_n x_{nk})} \end{equation}\] and \[\begin{equation} \hat w_{nj} = \frac{exp(-\hat\lambda_n v_{n})}{\sum_{j=1}^J exp(-\hat\lambda_n v_{n})}. \end{equation}\]

Note that when the prior distribution is uniform, maximum entropy and minimum cross entropy produce the same results.

## Examples

Consider `dataThesis` (see “Generalized Maximum Entropy framework”).
Again under a “no a priori information” scenario for the parameters, one can assume that \(z_k^{upper}=100\), \(k\in\left\lbrace 0,\dots,4\right\rbrace\) is a “wide upper bound” for the signal support space. Using `lmgce` a model can be fitted under the GME or GCE framework. If `support.signal.points` is an integer, a constant vector or a constant matrix one is assuming a uniform distribution on \(\mathbf{q}\) and therefore considering the GME framework.

    library(GCEstim)

    res.lmgce.100.GME <-
      GCEstim::lmgce(
        y ~ .,
        data = dataThesis,
        support.signal = c(-100, 100),
        support.signal.points = 5,
        twosteps.n = 0,
        method = "dual.BFGS" # default
      )

The estimated GME coefficients are \(\widehat{\boldsymbol{\beta}}^{GME_{(100)}}=\) (-4.054, -0.232, -15.554, -6.157, -8.356). Note that now we have used the dual optimization problem (see “Optimization”).

    (coef.res.lmgce.100.GME <- coef(res.lmgce.100.GME))
    #> (Intercept)        X001        X002        X003        X004
    #>   -4.053851   -0.231505  -15.554448   -6.156861   -8.355845

But if there is some information, for instance, on \(\beta_1\), that can be reflected on `support.signal.points`. Lets suppose that one suspects that \(\beta_1=0\). Since the support spaces are centered in zero one can assign a higher probability to the support point in or around the center. One can set \(\mathbf{q_1}=(0.1, 0.1, 0.6, 0.1, 0.1)'\), for instance. `support.signal.points` accepts information on the distribution of probabilities in the form of a \((K+1)\times M\) matrix. The first line corresponds to \(\mathbf{q_0}\), the second to \(\mathbf{q_1}\), and so on.

    (support.signal.points.matrix <-
      matrix(
        c(rep(1/5, 5),
          c(0.1, 0.1, 0.6, 0.1, 0.1),
          rep(1/5, 5),
          rep(1/5, 5),
          rep(1/5, 5)
          ),
        ncol = 5,
        byrow = TRUE))
    #>      [,1] [,2] [,3] [,4] [,5]
    #> [1,]  0.2  0.2  0.2  0.2  0.2
    #> [2,]  0.1  0.1  0.6  0.1  0.1
    #> [3,]  0.2  0.2  0.2  0.2  0.2
    #> [4,]  0.2  0.2  0.2  0.2  0.2
    #> [5,]  0.2  0.2  0.2  0.2  0.2

    res.lmgce.100.GCE <-
      GCEstim::lmgce(
        y ~ .,
        data = dataThesis,
        support.signal = c(-100, 100),
        support.signal.points = support.signal.points.matrix,
        twosteps.n = 0,
        method = "dual.BFGS" # default
      )

The estimated GCE coefficients are \(\widehat{\boldsymbol{\beta}}^{GCE_{(100)}}=\) (-4.054, -0.226, -15.55, -6.18, -8.343).

    (coef.res.lmgce.100.GCE <- coef(res.lmgce.100.GCE))
    #> (Intercept)        X001        X002        X003        X004
    #>   -4.053590   -0.226411  -15.550151   -6.180305   -8.342952

The prediction errors are approximately equal ( \(RMSE^{y,GME_{(100)}} \approx\) 0.949 and \(RMSE^{y,GCE_{{100}}} \approx\) 0.949) as well as the prediction cross-validation errors ( \(CV\text{-}RMSE_5^{y,GME_{(100)}} \approx\) 0.982 and \(CV\text{-}RMSE_5^{y,GCE_{{100}}} \approx\) 0.982).
The precision error is slightly lower for the GCE approach: \(RMSE^{\beta,GME_{(100)}} \approx\) 3.022 and \(RMSE^{\beta,GCE_{(100)}} \approx\) 3.01.

    (RMSE_beta.lmgce.100.GME <-
       GCEstim::accmeasure(coef.res.lmgce.100.GME, coef.dataThesis, which = "RMSE"))
    #> [1] 3.021886

    (RMSE_beta.lmgce.100.GCE <-
        GCEstim::accmeasure(coef.res.lmgce.100.GCE, coef.dataThesis, which = "RMSE"))
    #> [1] 3.010006

If there was some information on the distribution of \(\mathbf{w}\), a similar analysis could be done for `noise.signal.points`.

## Conclusion

The minimum cross entropy formalism specifies weights that should be considered to improve the precision of estimations.

## References

1.
Kullback S, Leibler RA. On information and sufficiency. The Annals of Mathematical Statistics. 1951;22:79-86. doi:10.1214/aoms/1177729694
2.
Lindley DV, Kullback S. Information theory and statistics. Journal of the American Statistical Association. 1959;54:825. doi:10.2307/2282528
3.
Good IJ. Maximum entropy for hypothesis formulation, especially for multidimensional contingency tables. The Annals of Mathematical Statistics. 1963;34:911-934. doi:10.1214/aoms/1177704014

## Acknowledgements

This work was supported by Fundação para a Ciência e Tecnologia (FCT) through CIDMA and projects https://doi.org/10.54499/UIDB/04106/2020 and https://doi.org/10.54499/UIDP/04106/2020.