I've long wanted to create educational materials on the topic of Information Theory + Machine Learning. I found some old drafts and decided to polish them up here, on Habr.

Information Theory and Machine Learning seem to me like an interesting pair of fields, the deep connection between which is often unknown to ML engineers, and whose synergy has not yet been fully revealed.

Let's start with basic concepts like Entropy, Information in a message, Mutual Information, and channel capacity. Next, there will be materials on the similarity between tasks of maximizing Mutual Information and minimizing Loss in regression problems. Then there will be a section on Information Geometry: Fisher metric, geodesics, gradient methods, and their connection to Gaussian processes (moving along the gradient using SGD is moving along the geodesic with noise).

It's also necessary to touch upon AIC, Information Bottleneck, and discuss how information flows in neural networks – Mutual Information between layers (Information Theory of Deep Learning, Naftali Tishby), and much more. It's not certain that I'll be able to cover everything listed, but I'll try to get started.