Definition of the value of information

Roman V. Belavkin, Panos M. Pardalos, Jose C. Principe and Ruslan L. Stratonovich
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Roman V. Belavkin: Middlesex University, Faculty of Science and Technology
Panos M. Pardalos: University of Florida, Industrial and Systems Engineering
Jose C. Principe: University of Florida, Electrical & Computer Engineering

Chapter Chapter 9 in Theory of Information and its Value, 2020, pp 289-325 from Springer

Abstract: Abstract The concept of the value of informationvalue of information , introduced in this chapter, connects Shannon’s information theory with statistical decision theory. In the latter theory, the most basic is the notion of average cost or risk, which characterizes the quality of decisions being made. The value of information can be described as the maximum benefit that can be gained in the process of minimizing the average cost with the help of a given amount of information. Such a definition of the value of information turns out to be related to the formulation and the solution of certain conditional variational problems.

Date: 2020
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DOI: 10.1007/978-3-030-22833-0_9

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