Gossner, Olivier 
ORCID: 0000-0003-3950-0208 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 |
|---|---|
| Official URL: | http://www.sciencedirect.com/science/journal/03044... |
| Additional Information: | © 2008 Elsevier |
| Divisions: | Mathematics |
| Subjects: | Q Science > QA Mathematics |
| Date Deposited: | 18 Feb 2009 10:58 |
| Last Modified: | 01 Oct 2024 03:34 |
| URI: | http://eprints.lse.ac.uk/id/eprint/22723 |
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