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We describe and develop a close relationship between two problems that have customarily been regarded as distinct: that of maximizing entropy, and that of minimizing worst-case expected loss. Using a formulation grounded in the equilibrium…
Recently, the conditional maximum-entropy method (abbreviated as C-MaxEnt) has been proposed for selecting priors in Bayesian statistics in a very simple way. Here, it is examined for extreme-value statistics. For the Weibull type as an…
(Jaynes') Method of (Shannon-Kullback's) Relative Entropy Maximization (REM or MaxEnt) can be - at least in the discrete case - according to the Maximum Probability Theorem (MPT) viewed as an asymptotic instance of the Maximum Probability…
Entropy Search (ES) and Predictive Entropy Search (PES) are popular and empirically successful Bayesian Optimization techniques. Both rely on a compelling information-theoretic motivation, and maximize the information gained about the…
We use the method of Maximum (relative) Entropy to process information in the form of observed data and moment constraints. The generic "canonical" form of the posterior distribution for the problem of simultaneous updating with data and…
It has been shown that one can accommodate data (Bayes) and constraints (MaxEnt) in one method, the method of Maximum (relative) Entropy (ME) (Giffin 2007). In this paper we show a complex agent based example of inference with two different…
These lectures deal with the problem of inductive inference, that is, the problem of reasoning under conditions of incomplete information. Is there a general method for handling uncertainty? Or, at least, are there rules that could in…
Maximum Entropy is a powerful concept that entails a sharp separation between relevant and irrelevant variables. It is typically invoked in inference, once an assumption is made on what the relevant variables are, in order to estimate a…
Probabilistic reasoning systems combine different probabilistic rules and probabilistic facts to arrive at the desired probability values of consequences. In this paper we describe the MESA-algorithm (Maximum Entropy by Simulated Annealing)…
This paper examines the conditions under which Bayesian conditioning aligns with Maximum Entropy. Specifically, I address cases in which newly learned information does not correspond to an event in the probability space defined on the…
The entropy maximum approach (Maxent) was developed as a minimization of the subjective uncertainty measured by the Boltzmann--Gibbs--Shannon entropy. Many new entropies have been invented in the second half of the 20th century. Now there…
Bayesian methods suffer from the problem of how to specify prior beliefs. One interesting idea is to consider worst-case priors. This requires solving a stochastic zero-sum game. In this paper, we extend well-known results from bandit…
What is information? Is it physical? We argue that in a Bayesian theory the notion of information must be defined in terms of its effects on the beliefs of rational agents. Information is whatever constrains rational beliefs and therefore…
In this article we provide initial findings regarding the problem of solving likelihood equations by means of a maximum entropy approach. Unlike standard procedures that require equating at zero the score function of the maximum-likelihood…
One of the core problems in variational inference is a choice of approximate posterior distribution. It is crucial to trade-off between efficient inference with simple families as mean-field models and accuracy of inference. We propose a…
We discuss how the method of maximum entropy, MaxEnt, can be extended beyond its original scope, as a rule to assign a probability distribution, to a full-fledged method for inductive inference. The main concept is the (relative) entropy…
The phenomenon of entropy concentration provides strong support for the maximum entropy method, MaxEnt, for inferring a probability vector from information in the form of constraints. Here we extend this phenomenon, in a discrete setting,…
We prove that information-theoretic maximum entropy (MaxEnt) approach to canonical ensemble is mathematically equivalent to the classic approach of Boltzmann, Gibbs and Darwin-Fowler. The two approaches, however, "interpret" a same…
The major problem in information theoretic analysis of neural responses and other biological data is the reliable estimation of entropy--like quantities from small samples. We apply a recently introduced Bayesian entropy estimator to…
Making statistical predictions requires tackling two problems: one must assign appropriate probability distributions and then one must calculate a variety of expected values. The method of maximum entropy is commonly used to address the…