Sharp variance-entropy comparison for nonnegative Gaussian quadratic forms

Abstract

In this article we study weighted sums of $n$ i.i.d. Gamma($\alpha$) random variables with nonnegative weights. We show that for $n\ge 1/\alpha$ the sum with equal coefficients maximizes differential entropy when variance is fixed. As a consequence, we prove that among nonnegative quadratic forms in $n$ independent standard Gaussian random variables, a diagonal form with equal coefficients maximizes differential entropy, under a fixed variance. This provides a sharp lower bound for the relative entropy between a nonnegative quadratic form and a Gaussian random variable. Bounds on capacities of transmission channels subject to $n$ independent additive gamma noises are also derived.