Kullback-Leibler relative-entropy or KL-entropy of P with respect to R defined as ∫xlnddPRdP , where P and R are probability measures on a measurable space (X, ), plays a basic role in the definitions of classical information measures. It overcomes a shortcoming of Shannon entropy – discrete case definition of which cannot be extended to nondiscrete case naturally. Further, entropy and other classical information measures can be expressed in terms of KL-entropy and hence properties of their measure-theoretic analogs will follow from those of measure-theoretic KL-entropy. An important theorem in this respect is the Gelfand-Yaglom-Perez (GYP) Theorem which equips KL-entropy with a fundamental definition and can be stated as: measure-theoretic KL-entropy equals the supremum of KL-entropies over all measurable partitions of X . In this thesis we provide the measure-theoretic formulations for ‘generalized’ information measures, and state and prove the corresponding GYP-theorem – the ‘generalizations’ being in the sense of R ´enyi and nonextensive, both of which are explained below. Kolmogorov-Nagumo average or quasilinear mean of a vector x = (x1, . . . , xn) with respect to a pmf p= (p1, . . . , pn)is defined ashxiψ=ψ−1nk=1pkψ(xk), whereψis an arbitrarycontinuous and strictly monotone function. Replacing linear averaging in Shannon entropy with Kolmogorov-Nagumo averages (KN-averages) and further imposing the additivity constraint – a characteristic property of underlying information associated with single event, which is logarithmic – leads to the definition of α-entropy or R ´enyi entropy. This is the first formal well-known generalization of Shannon entropy. Using this recipe of R´enyi’s generalization, one can prepare only two information measures: Shannon and R´enyi entropy. Indeed, using this formalism R´enyi characterized these additive entropies in terms of axioms of KN-averages. On the other hand, if one generalizes the information of a single event in the definition of Shannon entropy, by replacing the logarithm with the so called q-logarithm, which is defined as lnqx =x1− 1 −1 −q , one gets what is known as Tsallis entropy. Tsallis entropy is also a generalization of Shannon entropy but it does not satisfy the additivity property. Instead, it satisfies pseudo-additivity of the form x ⊕qy = x + y + (1 − q)xy, and hence it is also known as nonextensive entropy. One can apply R´enyi’s recipe in the nonextensive case by replacing the linear averaging in Tsallis entropy with KN-averages and thereby imposing the constraint of pseudo-additivity. A natural question that arises is what are the various pseudo-additive information measures that can be prepared with this recipe? We prove that Tsallis entropy is the only one. Here, we mention that one of the important characteristics of this generalized entropy is that while canonical distributions resulting from ‘maximization’ of Shannon entropy are exponential in nature, in the Tsallis case they result in power-law distributions. The concept of maximum entropy (ME), originally from physics, has been promoted to a general principle of inference primarily by the works of Jaynes and (later on) Kullback. This connects information theory and statistical mechanics via the principle: the states of thermodynamic equi- librium are states of maximum entropy, and further connects to statistical inference via select the probability distribution that maximizes the entropy. The two fundamental principles related to the concept of maximum entropy are Jaynes maximum entropy principle, which involves maximizing Shannon entropy and the Kullback minimum entropy principle that involves minimizing relative-entropy, with respect to appropriate moment constraints. Though relative-entropy is not a metric, in cases involving distributions resulting from relative-entropy minimization, one can bring forth certain geometrical formulations. These are reminiscent of squared Euclidean distance and satisfy an analogue of the Pythagoras’ theorem. This property is referred to as Pythagoras’ theorem of relative-entropy minimization or triangle equality and plays a fundamental role in geometrical approaches to statistical estimation theory like information geometry. In this thesis we state and prove the equivalent of Pythagoras’ theorem in the nonextensive formalism. For this purpose we study relative-entropy minimization in detail and present some results. Finally, we demonstrate the use of power-law distributions, resulting from ME-rescriptions of Tsallis entropy, in evolutionary algorithms. This work is motivated by the recently proposed generalized simulated annealing algorithm based on Tsallis statistics. To sum up, in light of their well-known axiomatic and operational justifications, this thesis establishes some results pertaining to the mathematical significance of generalized measures of information. We believe that these results represent an important contribution towards the ongoing research on understanding the phenomina of information. (For formulas pl see the original document) ii