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In "Probabilistic Graphical Models" book by Daphne Koller and Nir Friedman they have the following approximation of probability of r successful outcomes of N Bernoulli trials:

$P(S_N=r)\approx \exp(-N \cdot \mathbb{D}((p,1-p) \parallel (r/N,1-r/N)))$

Here $p$ is the probability of success, $N$ is the number of all trials, $r$ is the number of successful trials, $\mathbb{D}$ is Kullback–Leibler divergence (relative entropy) .

I'm struggling with the proof of the approximation. Here is what I get so far:

First, we know that $P(S_N=r)$ is equal to $A=\frac{N!}{r! \cdot (N-r)!} \cdot p^r \cdot (1-p)^{N-r}$

Using Stirling approximation we can get $\log(A)\approx N\log(N)-r\log(r)-(N-r) \cdot \log(N-r)+r \cdot \log(p)/\log(2)+(N-r) \cdot \log(1-p)/\log(2)$.

The right hand side of the approximation is equal to $B=\exp(-N \cdot (p \cdot \log_2(\frac{p}{r/N})+(1-p) \cdot \log_2(\frac{1-p}{1-r/N})))$

$\log(B)=-N \cdot (p \cdot \log_2(\frac{p}{r/N})+(1-p) \cdot \log_2(\frac{1-p}{1-r/N}))$

I do not see any connection between $\log(A)$ and $\log(B)$. Should I use another approximation of binomial coefficient? Any other ideas about the proof of the approximation?

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    $\begingroup$ 1. With this definition of relative entropy, one should use $D(r/N,1-r/N\mid p,1-p)$, not the other way round. 2. Later on, every $\log_2$ should be $\log$. 3. Use $r=xN$ everywhere to reach the correct formula $D(x,1-x\mid p,1-p)$ (it works). $\endgroup$ – Did Mar 18 '13 at 10:35
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Did pointed out the main points above. I will develop the ideas here and will write a proof for my own question.

Let $r=x \cdot N$

$\log(A)\approx r/x\cdot\log(r/x)-r\cdot\log(r)-(r/x-r)\cdot\log(r/x-r)+ r \cdot \log(p)+(r/x-r) \cdot \log(1-p)=r/x\cdot\log(r)-r/x \log(x)-r/x \log r- r/x \log(1-x)+r/x \log x + r\log r+r\cdot\log (1-x)-r\log x-r\log r+r\log p +r/x \log(1-p) -r \log(1-p) =-r/x \cdot \log (1-x)+r\cdot \log (1-x) -r\cdot \log x + r \cdot \log p + r/x \cdot \log(1-p) -r\cdot \log(1-p)$

$\log(B)=-r/x \cdot (x\log x/p + (1-x) \log (\frac{1-x}{1-p}))=-r \cdot \log x +r\cdot \log p- r/x \cdot \log (1-x) +r \cdot \log(1-x)+r/x \cdot \log(1-p)-r \cdot \log (1-p)$

It is easy to see that the last expression we get for $\log A$ is equivalent to last expression for $\log B$.

Thank you, Did. I finally solved the question which bothered me for a whole week.

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  • $\begingroup$ +1. You may accept your own answer if you wish, in a while. (But please use \log everywhere.) $\endgroup$ – Did Mar 18 '13 at 20:00

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