This article includes a list of general
references, but it lacks sufficient corresponding
inline citations. (May 2021) |
In stochastic game theory, Bayesian regret is the expected difference (" regret") between the utility of a Bayesian strategy and that of the optimal strategy (the one with the highest expected payoff).
The term Bayesian refers to Thomas Bayes (1702–1761), who proved a special case of what is now called Bayes' theorem, who provided the first mathematical treatment of a non-trivial problem of statistical data analysis using what is now known as Bayesian inference.
This term has been used to compare a random buy-and-hold strategy to professional traders' records. This same concept has received numerous different names, as the New York Times notes:
"In 1957, for example, a statistician named James Hanna called his theorem Bayesian Regret. He had been preceded by David Blackwell, also a statistician, who called his theorem Controlled Random Walks. [1] Other, later papers had titles like 'On Pseudo Games', [2] 'How to Play an Unknown Game' [3][ citation needed], 'Universal Coding' [4] and 'Universal Portfolios'". [5] [6]
This article has an unclear
citation style. (September 2018) |
This article includes a list of general
references, but it lacks sufficient corresponding
inline citations. (May 2021) |
In stochastic game theory, Bayesian regret is the expected difference (" regret") between the utility of a Bayesian strategy and that of the optimal strategy (the one with the highest expected payoff).
The term Bayesian refers to Thomas Bayes (1702–1761), who proved a special case of what is now called Bayes' theorem, who provided the first mathematical treatment of a non-trivial problem of statistical data analysis using what is now known as Bayesian inference.
This term has been used to compare a random buy-and-hold strategy to professional traders' records. This same concept has received numerous different names, as the New York Times notes:
"In 1957, for example, a statistician named James Hanna called his theorem Bayesian Regret. He had been preceded by David Blackwell, also a statistician, who called his theorem Controlled Random Walks. [1] Other, later papers had titles like 'On Pseudo Games', [2] 'How to Play an Unknown Game' [3][ citation needed], 'Universal Coding' [4] and 'Universal Portfolios'". [5] [6]
This article has an unclear
citation style. (September 2018) |