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Definition of the value of information

  • Roman V. Belavkin
  • Panos M. Pardalos
  • Jose C. Principe
Chapter

Abstract

The concept of the value 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.

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Copyright information

© Springer Nature Switzerland AG 2020

Authors and Affiliations

  • Roman V. Belavkin
    • 1
  • Panos M. Pardalos
    • 2
  • Jose C. Principe
    • 3
  1. 1.Faculty of Science and TechnologyMiddlesex UniversityLondonUK
  2. 2.Industrial and Systems EngineeringUniversity of FloridaGainesvilleUSA
  3. 3.Electrical & Computer EngineeringUniversity of FloridaGainesvilleUSA

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