Entropy bounds on Bayesian learning

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

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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:	11 Dec 2024 23:18
URI:	http://eprints.lse.ac.uk/id/eprint/22723

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