Related papers: Relative and Discrete Utility Maximising Entropy
The background for the general mathematical link between utility and information theory investigated in this paper is a simple financial market model with two kinds of small traders: less informed traders and insiders, whose extra…
Entropy and relative or cross entropy measures are two very fundamental concepts in information theory and are also widely used for statistical inference across disciplines. The related optimization problems, in particular the maximization…
Entropic uncertainty relations place nontrivial lower bounds to the sum of Shannon information entropies for noncommuting observables. Here we obtain a novel lower bound on the entropy sum for general pairs of observables in…
In ordinary Boltzmann-Gibbs thermostatistics, the relative entropy expression plays the role of generalized free energy, providing the difference between the off-equilibrium and equilibrium free energy terms associated with Boltzmann-Gibbs…
We have presented first an axiomatic derivation of Boltzmann entropy on the basis of two axioms consistent with two basic properties of thermodynamic entropy. We have then studied the relationship between Boltzmann entropy and information…
We introduce the notion of metric entropy for a nonautonomous dynamical system given by a sequence of probability spaces and a sequence of measure-preserving maps between these spaces. This notion generalizes the classical concept of metric…
In this paper we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real axis. Our results are inspired by -- and can be seen as the robust analogues of --…
Boltzmann introduced in the 1870's a logarithmic measure for the connection between the thermodynamical entropy and the probabilities of the microscopic configurations of the system. His entropic functional for classical systems was…
We examine the {combinatorial} or {probabilistic} definition ("Boltzmann's principle") of the entropy or cross-entropy function $H \propto \ln \mathbb{W}$ or $D \propto - \ln \mathbb{P}$, where $\mathbb{W}$ is the statistical weight and…
Tsallis' non-extensive entropy is extended to incorporate the dependence on affinities between the microstates of a system. At the core of our construction of the extended entropy ($\mathcal{H}$) is the concept of the effective number of…
We revisit entropic formulations of the uncertainty principle for an arbitrary pair of positive operator-valued measures (POVM) $A$ and $B$, acting on finite dimensional Hilbert space. Salicr\'u generalized $(h,\phi)$-entropies, including…
We provide sufficient conditions under which a utility function may be recovered from a finite choice experiment. Identification, as is commonly understood in decision theory, is not enough. We provide a general recoverability result that…
Numerous entropy-type characteristics (functionals) generalizing R\'enyi entropy are widely used in mathematical statistics, physics, information theory, and signal processing for characterizing uncertainty in probability distributions and…
This study investigates entropy's potential for analyzing scientific research patterns across disciplines. Originating from thermodynamics, entropy now measures uncertainty and diversity in information systems. We examine Shannon Entropy,…
We pursue an inverse approach to utility theory and consumption & investment problems. Instead of specifying an agent's utility function and deriving her actions, we assume we observe her actions (i.e. her consumption and investment…
We introduce R\'enyi entropy of a subsystem energy as a natural quantity which closely mimics the behavior of the entanglement entropy and can be defined for all the quantum many body systems. For this purpose, consider a quantum chain in…
Uncertainty quantification is a key aspect in many tasks such as model selection/regularization, or quantifying prediction uncertainties to perform active learning or OOD detection. Within credal approaches that consider modeling…
The equilibrium distributions of probabilities providing maximality of Renyi and Tsallis entropies are rederived. New S-forms of them are found which are normalised with corresponding entropies in contrast to the usual Z-forms normalised…
We generalize, improve and unify theorems of Rumin, and Maassen--Uffink about classical entropies associated to quantum density matrices. These theorems refer to the classical entropies of the diagonals of a density matrix in two different…
A way to pose the entropic uncertainty principle for trace-preserving super-operators is presented. It is based on the notion of extremal unraveling of a super-operator. For given input state, different effects of each unraveling result in…