Conditional entropy of a finite probability vector decreases with more information
ProvedOnlineNRM.TSFixed.finitePosteriorEntropy_monobanditsp2o-batch-p100ap2o-gran-per-chapterp2o-plan-paperp2o-v1revenue-managementthompson-sampling
For an ambient-measurable probability vector on a finite type, expected conditional entropy decreases under refinement of the conditioning σ-algebra. The statement also covers conditioning σ-algebras outside the ambient one, using Mathlib’s zero convention for conditional expectation.
Preamble
import Definitions.Def_OnlineNRM_TSFixed_OracleEntropy open MeasureTheory ProbabilityTheory open scoped BigOperators
Formal statement
theorem OnlineNRM.TSFixed.finitePosteriorEntropy_mono
{Ω α : Type*} [mΩ : MeasurableSpace Ω] [Fintype α]
(P : Measure Ω) [IsProbabilityMeasure P]
(m₁ m₂ : MeasurableSpace Ω) (hm : m₁ ≤ m₂)
(w : Ω → α → ℝ)
(hwmeas : ∀ a, @Measurable Ω ℝ mΩ inferInstance (fun ω => w ω a))
(hw0 : ∀ ω a, 0 ≤ w ω a)
(hwsum : ∀ ω, ∑ a : α, w ω a = 1) :
@ProbabilityTheory.finitePosteriorEntropy Ω α mΩ inferInstance P m₂ w ≤
@ProbabilityTheory.finitePosteriorEntropy Ω α mΩ inferInstance P m₁ w := by sorrySource
Ferreira, Simchi-Levi, Wang, Online Network Revenue Management Using Thompson Sampling, Oper. Res. 66(6), 2018, p. 1594, Theorem 1