Author(s)： Jun'ichi Takeuchi

J. Math-for-Ind. 2B (2010) 213-225.

• File： JMI2010B-10.pdf (196KB)

Abstract
We pick up and discus three topics from information theory and learning theory: stochastic complexity, communication channel capacity, and portfolio theory in finance. At first glance, they seem very different ones, but they have common game theoretic profiles. The purpose of this article is to present brief introductions to each problem and describe the relation between them.

Keyword(s).　 stochastic complexity, minimax problem, channel capacity, universal portfolio