Game theory, maximum entropy, minimum discrepancy and robust Bayesian decision theory
Game theory, maximum entropy, minimum discrepancy and robust Bayesian decision theory
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 theory of zero-sum games between Decision Maker and Nature, these two problems are shown to …