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Expected value minimization in information theoretic multiple priors models

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Author:Imre Csiszar, Thomas Breuer
Parent Title (English):IEEE Transactions on Information Theory
Document Type:Article
Year of publication:2018
Release Date:2019/08/01
Tag:Bregman distance; Bregman distance ball; Convex functions; Entropy; I-divergence ball; Mathematical model; Minimization; Random variables; convex integral functional; expected value minimization; f-divergence; f-divergence ball; finance; generalized exponential family; information geometry; information theoretic multiple priors; level set; minimisation; plausible prior distributions; probability; risk measure
Volume:64. Jg
Issue:H. 6
First Page:3957
Last Page:3974
Organisationseinheit:Forschung / Forschungszentrum Business Informatics
Publicationlist:Breuer, Thomas