• français
    • English
  • English 
    • français
    • English
  • Login
JavaScript is disabled for your browser. Some features of this site may not work without it.
BIRD Home

Browse

This CollectionBy Issue DateAuthorsTitlesSubjectsJournals BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesSubjectsJournals

My Account

Login

Statistics

View Usage Statistics

Entropy Bounds on Bayesian Learning

Thumbnail
View/Open
2006-48.pdf (176.7Kb)
Date
2008
Dewey
Probabilités et mathématiques appliquées
Sujet
Bayesian learning; Repeated decision problem; Value of information; Entropy
JEL code
C11
Journal issue
Journal of Mathematical Economics
Volume
44
Number
1
Publication date
2008
Article pages
24-32
Publisher
Elsevier
DOI
http://dx.doi.org/10.1016/j.jmateco.2007.04.006
URI
https://basepub.dauphine.fr/handle/123456789/6067
Collections
  • CEREMADE : Publications
Metadata
Show full item record
Author
Gossner, Olivier
Tomala, Tristan
Type
Article accepté pour publication ou publié
Abstract (EN)
An observer of a process View the MathML source believes the process is governed by Q whereas the true law is P. We bound the expected average distance between P(xt|x1,…,xt−1) and Q(xt|x1,…,xt−1) for t=1,…,n by a function of the relative entropy between the marginals of P and Q on the n first realizations. We apply this bound to the cost of learning in sequential decision problems and to the merging of Q to P.

  • Accueil Bibliothèque
  • Site de l'Université Paris-Dauphine
  • Contact
SCD Paris Dauphine - Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16

 Content on this site is licensed under a Creative Commons 2.0 France (CC BY-NC-ND 2.0) license.