5 papers
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…
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…
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…
Simultaneous Computation and Communication over MAC
Matthias Frey, Igor BjelakoviÄ, Michael C. Gastpar +1
We study communication over a Gaussian multiple-access channel (MAC) with two types of transmitters: Digital transmitters hold a message from a discrete set that needs to be commun…