Gossner, Olivier and Tomala, Tristan
(2008)
*Entropy bounds on Bayesian learning.*
Journal of Mathematical Economics, 44 (1).
pp. 24-32.
ISSN 0304-4068

Identification Number: 10.1016/j.jmateco.2007.04.006

## 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 |
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Official URL: | http://www.sciencedirect.com/science/journal/03044... |

Additional Information: | © 2008 Elsevier |

Subjects: | Q Science > QA Mathematics |

Sets: | Departments > Mathematics |

Date Deposited: | 18 Feb 2009 10:58 |

Last Modified: | 01 Oct 2010 09:21 |

URI: | http://eprints.lse.ac.uk/id/eprint/22723 |

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