Prove Costa's Entropy Power Inequality and High Order Inequality for Differential Entropy with Semidefinite Programming

Costa's entropy power inequality is an important generalization of Shannon's entropy power inequality. Related with Costa's entropy power inequality and a conjecture proposed by McKean in 1966, Cheng-Geng recently conjectured that $D(m,n): (-1)^{m+1}(\partial^m/\partial^m t)H(X_t)\ge0$, where $X_t$ is the $n$-dimensional random variable in Costa's entropy power inequality and $H(X_t)$ the differential entropy of $X_t$. $D(1,n)$ and $D(2,n)$ were proved by Costa as consequences of Costa's entropy power inequality. Cheng-Geng proved $D(3,1)$ and $D(4,1)$. In this paper, we propose a systematical procedure to prove $D(m,n)$ and Costa's entropy power inequality based on semidefinite programming. Using software packages based on this procedure, we prove $D(3,n)$ for $n=2,3,4$ and give a new proof for Costa's entropy power inequality. We also show that with the currently known constraints, $D(5,1)$ and $D(4,2)$ cannot be proved with the procedure.

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