Cahiers du CEREMADE

Unité Mixte de Recherche du C.N.R.S. N°7534
 
Abstract : An observer of a process (Xt) believes the process is governed by Q whereas the true law is P. We bound the expected average L1 distance between the stage-conditional distributions of P and Q 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.
 
 
Entropy Bounds on Bayesian Learning
GOSSNER Olivier, TOMALA Tristan
2006-48
24-10-2006
 
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