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- handle: 10670/1.jdbbkh
- halshs: halshs-00754314
- doi: 10.1016/j.jmateco.2007.04.006
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.jmateco.2007.04.006
Mots-clés
Bayesian learning Repeated decision problem Value of information Entropy B - History of Economic Thought, Methodology, and Heterodox Approaches/B.B1 - History of Economic Thought through 1925/B.B1.B10 - General C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General A - General Economics and Teaching/A.A1 - General EconomicsSujets proches
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Olivier Gossner et al., « Entropy bounds on Bayesian learning », HAL-SHS : économie et finance, ID : 10.1016/j.jmateco.2007.04.006
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Résumé
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.