1 citations · 1 across the 3 of their papers we have counts for
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Single-Period Portfolio Selection via Information Projection
Bo-Yu Yang, Michael Gastpar
We study the single-period portfolio selection problem under Constant Relative Risk-Aversion (CRRA) utility through the information-theoretic lens. Assuming only that the market pa…
Contraction of Rényi Divergences for Discrete Channels: Properties and Applications
Adrien Vandenbroucque, Amedeo Roberto Esposito, Michael Gastpar
This work explores properties of Strong Data-Processing constants for Rényi Divergences. Parallels are made with the well-studied -Divergences, and it is shown that the order $α…
Model non-collapse: Minimax bounds for recursive discrete distribution estimation
Millen Kanabar, Michael Gastpar
Learning discrete distributions from i.i.d. samples is a well-understood problem. However, advances in generative machine learning prompt an interesting new, non-i.i.d. setting: af…
Shannon Bounds for Quadratic Rate-Distortion Problems
Michael Gastpar, Erixhen Sula
The Shannon lower bound has been the subject of several important contributions by Berger. This paper surveys Shannon bounds on rate-distortion problems under mean-squared error di…
Sibson -Mutual Information and Its Variational Representations
Amedeo Roberto Esposito, Michael Gastpar, Ibrahim Issa
Information measures can be constructed from Rényi divergences much like mutual information from Kullback-Leibler divergence. One such information measure is known as Sibson -mu…
Properties of the Strong Data Processing Constant for Rényi Divergence
Lifu Jin, Amedeo Roberto Esposito, Michael Gastpar
Strong data processing inequalities (SDPI) are an important object of study in Information Theory and have been well studied for -divergences. Universal upper and lower bounds h…