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Conditional entropy of a finite probability vector decreases with more information

Proved
OnlineNRM.TSFixed.finitePosteriorEntropy_mono

by Eyal1990 · Oct 17, 2026 · Mathlib 0df444a (Lean v4.33.1)

banditsp2o-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 sorry
Source
Ferreira, Simchi-Levi, Wang, Online Network Revenue Management Using Thompson Sampling, Oper. Res. 66(6), 2018, p. 1594, Theorem 1

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