1,194 research outputs found
R\'enyi Divergence and Kullback-Leibler Divergence
R\'enyi divergence is related to R\'enyi entropy much like Kullback-Leibler
divergence is related to Shannon's entropy, and comes up in many settings. It
was introduced by R\'enyi as a measure of information that satisfies almost the
same axioms as Kullback-Leibler divergence, and depends on a parameter that is
called its order. In particular, the R\'enyi divergence of order 1 equals the
Kullback-Leibler divergence.
We review and extend the most important properties of R\'enyi divergence and
Kullback-Leibler divergence, including convexity, continuity, limits of
-algebras and the relation of the special order 0 to the Gaussian
dichotomy and contiguity. We also show how to generalize the Pythagorean
inequality to orders different from 1, and we extend the known equivalence
between channel capacity and minimax redundancy to continuous channel inputs
(for all orders) and present several other minimax results.Comment: To appear in IEEE Transactions on Information Theor
Uniform Continuity of the Value of Zero-Sum Games with Differential Information
We establish uniform continuity of the value for zero-sum games with differential information, when the distance between changing information fields of each player is measured by the Boylan (1971) pseudo-metric. We also show that the optimal strategy correspondence is upper semi-continuous when the information fields of players change (even with the weak topology on players' strategy sets), and is approximately lower semi-continuous.Zero-Sum Games, Differential Information, Value, Op-timal Strategies, Uniform Continuity
A non-convex relaxed version of minimax theorems
Given a subset of a locally convex space (with
compact) and a function such that
are concave and upper semicontinuous, the minimax
inequality is shown to hold provided that be the set of
such that is proper, convex and lower semi-contiuous. Moreover, if
in addition , then we can take as
the set of such that is convex. The relation to Moreau's
biconjugate representation theorem is discussed, and some applications to\
convex duality are provided.
Key words. Minimax theorem, Moreau theorem, conjugate function, convex
optimization
Advance research on control systems for the Saturn launch vehicle Final report, Jan., 1964 - May, 1965
Minimax problem in control systems for Saturn launch vehicl
Statistical minimax theorems via nonstandard analysis
For statistical decision problems with finite parameter space, it is
well-known that the upper value (minimax value) agrees with the lower value
(maximin value). Only under a generalized notion of prior does such an
equivalence carry over to the case infinite parameter spaces, provided nature
can play a prior distribution and the statistician can play a randomized
strategy. Various such extensions of this classical result have been
established, but they are subject to technical conditions such as compactness
of the parameter space or continuity of the risk functions. Using nonstandard
analysis, we prove a minimax theorem for arbitrary statistical decision
problems. Informally, we show that for every statistical decision problem, the
standard upper value equals the lower value when the is taken over the
collection of all internal priors, which may assign infinitesimal probability
to (internal) events. Applying our nonstandard minimax theorem, we derive
several standard minimax theorems: a minimax theorem on compact parameter space
with continuous risk functions, a finitely additive minimax theorem with
bounded risk functions and a minimax theorem on totally bounded metric
parameter spaces with Lipschitz risk functions
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