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Entropy, Information, and the Updating of Probabilities
1Physics Department, University at Albany-SUNY, Albany, NY 12222, USA.
Entropy (Basel, Switzerland)
|August 6, 2021
Summary
This review introduces the Maximum Entropy (ME) method, a unified inference framework. It integrates Bayesian and entropic approaches, handling diverse data and prior information effectively.
Area of Science:
- * Statistical inference
- * Information theory
- * Bayesian probability
Background:
- * Reviews a pragmatic approach to the method of maximum entropy.
- * Defines an epistemic notion of information relative to Bayesian beliefs.
- * Highlights the role of ideally rational agents in inference.
Purpose of the Study:
- * To present the Maximum Entropy (ME) method as a general inference framework.
- * To unify entropic and Bayesian methods into a single scheme.
- * To explore the pragmatic derivation and application of the ME method.
Main Methods:
- * Utilizes an eliminative induction process for updating probability distributions.
- * Employs logarithmic relative entropy as a universal updating tool.
- * Incorporates arbitrary priors and constraints within the ME framework.
Main Results:
- * The ME method unifies Maximum Entropy (MaxEnt) and Bayes' rules as special cases.
- * Logarithmic relative entropy is identified for its universal applicability and role in recognizing prior information and independence.
- * The framework handles arbitrary priors and constraints, unifying inference.
Conclusions:
- * The ME method offers a unified and general scheme for statistical inference.
- * It extends beyond selecting a single posterior to analyzing probability distribution differences.
- * Provides a bridge to theories of fluctuations and large deviations in probability.
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