Entropy, CrossEntropy and KL-divergence

Make some notes about Entropy, Cross-Entropy and KL-divergence. Here is zhihu link.

Entropy:
$$
H(P)=-\sum_xPx\cdot log\ Px
$$
Cross-Entropy:
$$
H(P,Q)=-\sum_xPx\cdot log\ Qx
$$
KL-divergence:
$$
KL(P||Q)=-\sum_xPx\cdot log\frac{Qx}{Px}\=H(P,Q)-H(P)
$$
Mutual Information:
$$
I(X;Y)=\sum_{x}\sum_{y}p(x,y)log\frac{p(x,y)}{p(x)p(y)}\=\sum_x\sum_yp(x,y)log\frac{p(x|y)}{p(x)}\=\sum_x\sum_yp(x,y)logp(x|y)-\sum_xp(x)logp(x)\=H(X)-H(X|Y)
$$

When the probability distribution is continuous, just replace Sum notation with Integral.

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