Fundamental Limitations in Sequential Prediction and Recursive Algorithms: $\mathcal{L}_{p}$ Bounds via an Entropic Analysis

Song Fang; Quanyan Zhu

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arXiv · 1912.02628

Fundamental Limitations in Sequential Prediction and Recursive Algorithms: $\mathcal{L}_{p}$ Bounds via an Entropic Analysis

Song Fang·Quanyan Zhu

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Abstract

In this paper, we obtain fundamental $\mathcal{L}_{p}$ bounds in sequential prediction and recursive algorithms via an entropic analysis. Both classes of problems are examined by investigating the underlying entropic relationships of the data and/or noises involved, and the derived lower bounds may all be quantified in a conditional entropy characterization. We also study the conditions to achieve the generic bounds from an innovations' viewpoint.

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cs.LG cs.IT eess.SP math.IT math.ST stat.ML stat.TH

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Song Fang, Quanyan Zhu. 2019-12-03. Fundamental Limitations in Sequential Prediction and Recursive Algorithms: $\mathcal{L}_{p}$ Bounds via an Entropic Analysis. https://arxiv.org/abs/1912.02628

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