Optimal measures and Markov transition kernels

Roman V. Belavkin

doi:10.1007/s10898-012-9851-1

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arXiv · 1012.0366

Optimal measures and Markov transition kernels

Roman V. Belavkin

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Abstract

We study optimal solutions to an abstract optimization problem for measures, which is a generalization of classical variational problems in information theory and statistical physics. In the classical problems, information and relative entropy are defined using the Kullback-Leibler divergence, and for this reason optimal measures belong to a one-parameter exponential family. Measures within such a family have the property of mutual absolute continuity. Here we show that this property characterizes other families of optimal positive measures if a functional representing information has a strictly convex dual. Mutual absolute continuity of optimal probability measures allows us to strictly separate deterministic and non-deterministic Markov transition kernels, which play an important role in theories of decisions, estimation, control, communication and computation. We show that deterministic transitions are strictly sub-optimal, unless information resource with a strictly convex dual is unconstrained. For illustration, we construct an example where, unlike non-deterministic, any deterministic kernel either has negatively infinite expected utility (unbounded expected error) or communicates infinite information.

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Roman V. Belavkin. 2010-12-02. Optimal measures and Markov transition kernels. https://doi.org/10.1007/s10898-012-9851-1

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