Séminaire de Probabilités XLVI pp 411-459

Part of the Lecture Notes in Mathematics book series (LNM, volume 2123) | Cite as

Ergodicity, Decisions, and Partial Information

Chapter

Abstract

In the simplest sequential decision problem for an ergodic stochastic process X, at each time n a decision un is made as a function of past observations \(X_{0},\ldots,X_{n-1}\), and a loss l(un, Xn) is incurred. In this setting, it is known that one may choose (under a mild integrability assumption) a decision strategy whose pathwise time-average loss is asymptotically smaller than that of any other strategy. The corresponding problem in the case of partial information proves to be much more delicate, however: if the process X is not observable, but decisions must be based on the observation of a different process Y, the existence of pathwise optimal strategies is not guaranteed. The aim of this paper is to exhibit connections between pathwise optimal strategies and notions from ergodic theory. The sequential decision problem is developed in the general setting of an ergodic dynamical system \((\varOmega,\mathcal{B},\mathbf{P},T)\) with partial information \(\mathcal{Y}\subseteq \mathcal{B}\). The existence of pathwise optimal strategies grounded in two basic properties: the conditional ergodic theory of the dynamical system, and the complexity of the loss function. When the loss function is not too complex, a general sufficient condition for the existence of pathwise optimal strategies is that the dynamical system is a conditional K-automorphism relative to the past observations \(\bigvee _{n\geq 0}T^{n}\mathcal{Y}\). If the conditional ergodicity assumption is strengthened, the complexity assumption can be weakened. Several examples demonstrate the interplay between complexity and ergodicity, which does not arise in the case of full information. Our results also yield a decision-theoretic characterization of weak mixing in ergodic theory, and establish pathwise optimality of ergodic nonlinear filters.

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Copyright information

© Springer International Publishing Switzerland 2014

Authors and Affiliations

  1. 1.Princeton UniversityPrincetonUSA

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