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Teoriya Veroyatnostei i ee Primeneniya, 2023, Volume 68, Issue 1, Pages 93–105
DOI: https://doi.org/10.4213/tvp5464
(Mi tvp5464)
 

This article is cited in 2 scientific papers (total in 2 papers)

Optimal information usage in binary sequential hypothesis testing

M. Dörpinghausab, I. Neric, E. Roldánd, F. Jülichereb

a Vodafone Chair Mobile Communications Systems, Technische Universität Dresden, Dresden, Germany
b Center for Advancing Electronics Dresden (cfaed), Technische Universität Dresden, Dresden, Germany
c Department of Mathematics, King's College London, London, UK
d ICTP – Abdus Salam International Centre for Theoretical Physics, Trieste, Italy
e Max-Planck-Institute for the Physics of Complex Systems, Dresden, Germany
Full-text PDF (499 kB) Citations (2)
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Abstract: An interesting question is whether an information theoretic interpretation can be given of optimal algorithms in sequential hypothesis testing. We prove that for the binary sequential probability ratio test of a continuous observation process, the mutual information between the observation process up to the decision time and the actual hypothesis conditioned on the decision variable is equal to zero. This result can be interpreted as an optimal usage of the information on the hypothesis available in the observations by the sequential probability ratio test. As a consequence, the mutual information between the random decision time of the sequential probability ratio test and the actual hypothesis conditioned on the decision variable is also equal to zero.
Keywords: sequential hypothesis testing, sequential probability ratio test, mutual information.
Funding agency Grant number
Deutsche Forschungsgemeinschaft EXC 1056
CRC 912
This work was partly supported by the German Research Foundation (DFG) within the Cluster of Excellence EXC 1056 “Center for Advancing Electronics Dresden (cfaed)” and within the CRC 912 “Highly Adaptive Energy-Efficient Computing (HAEC).”
Received: 07.12.2020
Revised: 18.07.2022
Accepted: 20.07.2022
English version:
Theory of Probability and its Applications, 2023, Volume 68, Issue 1, Pages 77–87
DOI: https://doi.org/10.1137/S0040585X97T991295
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: M. Dörpinghaus, I. Neri, E. Roldán, F. Jülicher, “Optimal information usage in binary sequential hypothesis testing”, Teor. Veroyatnost. i Primenen., 68:1 (2023), 93–105; Theory Probab. Appl., 68:1 (2023), 77–87
Citation in format AMSBIB
\Bibitem{DorNerRol23}
\by M.~D\"orpinghaus, I.~Neri, E.~Rold\'an, F.~J\"ulicher
\paper Optimal information usage in binary sequential hypothesis testing
\jour Teor. Veroyatnost. i Primenen.
\yr 2023
\vol 68
\issue 1
\pages 93--105
\mathnet{http://mi.mathnet.ru/tvp5464}
\crossref{https://doi.org/10.4213/tvp5464}
\transl
\jour Theory Probab. Appl.
\yr 2023
\vol 68
\issue 1
\pages 77--87
\crossref{https://doi.org/10.1137/S0040585X97T991295}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85166197297}
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  • https://www.mathnet.ru/eng/tvp5464
  • https://doi.org/10.4213/tvp5464
  • https://www.mathnet.ru/eng/tvp/v68/i1/p93
  • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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