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Summary: Mathematics and Engineering
Communications Laboratory
Technical Report
A Formula for the Kullback-Leibler Divergence
Rate Between Discrete Markov Sources
Z. Rached, F. Alajaji, and L. L. Campbell
November 2003
1
A Formula for the Kullback-Leibler
Divergence Rate Between Discrete
Markov Sources
Ziad Rached Fady Alajaji L. Lorne Campbell
Abstract
In this work, we provide a computable expression for the Kullback-Leibler
divergence rate, lim n!1 1
n D(p (n) kq
(n) ), between two time-invariant nite-alpha-
bet Markov sources of arbitrary order and arbitrary initial distributions de-
scribed by the probability distributions p (n) and q (n) , respectively. We illus-
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