Entropy bounds on Bayesian learning
Gossner, O.
& Tomala, T.
(2008).
Entropy bounds on Bayesian learning.
Journal of Mathematical Economics,
44(1), 24-32.
https://doi.org/10.1016/j.jmateco.2007.04.006
& Tomala, T.
(2008).
Entropy bounds on Bayesian learning.
Journal of Mathematical Economics,
44(1), 24-32.
https://doi.org/10.1016/j.jmateco.2007.04.006
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.