Approximating mutual information of high-dimensional variables using learned representations

Mutual information (MI) is a general measure of statistical dependence with widespread application across the sciences. However, estimating MI between multi-dimensional variables is challenging because the number of samples necessary to converge to an accurate estimate scales unfavorably with dimensionality. In practice, existing techniques can reliably estimate MI in up to tens of dimensions, but fail in higher dimensions, where sufficient sample sizes are infeasible. Here, we explore the idea that underlying low-dimensional structure in high-dimensional data can be exploited to faithfully approximate MI in high-dimensional settings with realistic sample sizes. We develop a method that we call latent MI (LMI) approximation, which applies a nonparametric MI estimator to low-dimensional representations learned by a simple, theoretically-motivated model architecture. Using several benchmarks, we show that unlike existing techniques, LMI can approximate MI well for variables with $> 10^3$ dimensions if their dependence structure is captured by low-dimensional representations.