Gossner, Olivier and Tomala, Tristan (2008) Entropy bounds on Bayesian learning. Journal of Mathematical Economics, 44 (1). pp. 24-32. ISSN 0304-4068
Abstract
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.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.sciencedirect.com/science/journal/03044... |
| Additional Information: | © 2008 Elsevier |
| Library of Congress subject classification: | Q Science > QA Mathematics |
| Sets: | Departments > Mathematics |
| Date Deposited: | 18 Feb 2009 10:58 |
| URL: | http://eprints.lse.ac.uk/22723/ |
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