Three faces of entropy for complex systems: Information, thermodynamics, and the maximum entropy principle.

There are at least three distinct ways to conceptualize entropy: entropy as an extensive thermodynamic quantity of physical systems (Clausius, Boltzmann, Gibbs), entropy as a measure for information production of ergodic sources (Shannon), and entropy as a means for statistical inference on multinomial processes (Jaynes maximum entropy principle). Even though these notions represent fundamentally different concepts, the functional form of the entropy for thermodynamic systems in equilibrium, for ergodic sources in information theory, and for independent sampling processes in statistical systems, is degenerate, H(p)=-∑_{i}p_{i}logp_{i}. For many complex systems, which are typically history-dependent, nonergodic, and nonmultinomial, this is no longer the case. Here we show that for such processes, the three entropy concepts lead to different functional forms of entropy, which we will refer to as S_{EXT} for extensive entropy, S_{IT} for the source information rate in information theory, and S_{MEP} for the entropy functional that appears in the so-called maximum entropy principle, which characterizes the most likely observable distribution functions of a system. We explicitly compute these three entropy functionals for three concrete examples: for Pólya urn processes, which are simple self-reinforcing processes, for sample-space-reducing (SSR) processes, which are simple history dependent processes that are associated with power-law statistics, and finally for multinomial mixture processes.