Expected value minimization in information theoretic multiple priors models
Author: | Imre Csiszar, Thomas Breuer |
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DOI: | https://doi.org/10.1109/TIT.2018.2827364 |
ISSN: | 0018-9448 |
Parent Title (English): | IEEE Transactions on Information Theory |
Document Type: | Article |
Language: | English |
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 |