An integral representation of the logarithmic function with applications in information theory

Abstract

We explore a well-known integral representation of the logarithmic function, and demonstrate its usefulness in obtaining compact, easily computable exact formulas for quantities that involve expectations and higher moments of the logarithm of a positive random variable (or the logarithm of a sum of i.i.d. positive random variables). The integral representation of the logarithm is proved useful in a variety of information-theoretic applications, including universal lossless data compression, entropy and differential entropy evaluations, and the calculation of the ergodic capacity of the single-input, multiple-output (SIMO) Gaussian channel with random parameters (known to both transmitter and receiver). This integral representation and its variants are anticipated to serve as a useful tool in additional applications, as a rigorous alternative to the popular (but non-rigorous) replica method (at least in some situations).