On optimum strategies for minimizing the exponential moments of a loss function

Neri Merhav

doi:10.1109/ISIT.2012.6283493

On optimum strategies for minimizing the exponential moments of a loss function

Neri Merhav

Technion - Israel Institute of Technology

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

We consider a general problem of minimizing the exponential moment of a given loss function, with an emphasis on the relation to the more common criterion of minimization the first moment of the same loss function. Our basic observation is about simple sufficient conditions for a strategy to be optimum in the exponential moment sense. This observation is useful and application examples are given. We also examine the asymptotic regime and investigate universal asymptotically optimum strategies in light of the aforementioned sufficient conditions.

Original language	English
Title of host publication	2012 IEEE International Symposium on Information Theory Proceedings, ISIT 2012
Pages	140-144
Number of pages	5
DOIs	https://doi.org/10.1109/ISIT.2012.6283493
State	Published - 2012
Event	2012 IEEE International Symposium on Information Theory, ISIT 2012 - Cambridge, MA, United States Duration: 1 Jul 2012 → 6 Jul 2012

Publication series

Name	IEEE International Symposium on Information Theory - Proceedings

Conference

Conference	2012 IEEE International Symposium on Information Theory, ISIT 2012
Country/Territory	United States
City	Cambridge, MA
Period	1/07/12 → 6/07/12

All Science Journal Classification (ASJC) codes

Theoretical Computer Science
Information Systems
Modelling and Simulation
Applied Mathematics

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10.1109/ISIT.2012.6283493

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title = "On optimum strategies for minimizing the exponential moments of a loss function",

abstract = "We consider a general problem of minimizing the exponential moment of a given loss function, with an emphasis on the relation to the more common criterion of minimization the first moment of the same loss function. Our basic observation is about simple sufficient conditions for a strategy to be optimum in the exponential moment sense. This observation is useful and application examples are given. We also examine the asymptotic regime and investigate universal asymptotically optimum strategies in light of the aforementioned sufficient conditions.",

author = "Neri Merhav",

year = "2012",

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isbn = "9781467325790",

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booktitle = "2012 IEEE International Symposium on Information Theory Proceedings, ISIT 2012",

note = "2012 IEEE International Symposium on Information Theory, ISIT 2012 ; Conference date: 01-07-2012 Through 06-07-2012",

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Merhav, N 2012, On optimum strategies for minimizing the exponential moments of a loss function. in 2012 IEEE International Symposium on Information Theory Proceedings, ISIT 2012., 6283493, IEEE International Symposium on Information Theory - Proceedings, pp. 140-144, 2012 IEEE International Symposium on Information Theory, ISIT 2012, Cambridge, MA, United States, 1/07/12. https://doi.org/10.1109/ISIT.2012.6283493

On optimum strategies for minimizing the exponential moments of a loss function. / Merhav, Neri.
2012 IEEE International Symposium on Information Theory Proceedings, ISIT 2012. 2012. p. 140-144 6283493 (IEEE International Symposium on Information Theory - Proceedings).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AB - We consider a general problem of minimizing the exponential moment of a given loss function, with an emphasis on the relation to the more common criterion of minimization the first moment of the same loss function. Our basic observation is about simple sufficient conditions for a strategy to be optimum in the exponential moment sense. This observation is useful and application examples are given. We also examine the asymptotic regime and investigate universal asymptotically optimum strategies in light of the aforementioned sufficient conditions.

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M3 - منشور من مؤتمر

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On optimum strategies for minimizing the exponential moments of a loss function

Abstract

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All Science Journal Classification (ASJC) codes

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