Threshold-policy conjecture for the greedy observation policy

For an information state z[0,1]z\in[0,1], let αi(z)\alpha_i(z) be the probability of selecting observation process ii and let ri(z)r_i(z) be the resulting information state, with entropy HH. The greedy policy minimises the expected entropy after one observation by choosing process 00 when

α0(z)H(r0(z))<α1(z)H(r1(z)),\alpha_0(z)H(r_0(z))<\alpha_1(z)H(r_1(z)),

and process 11 otherwise, up to exchanging strict and non-strict inequalities.

Greedy threshold-policy conjecture. The greedy policy is always a threshold policy.

The claim is supported in the excerpt only by computational results: across 152000 sampled parameter values, the defining functions crossed at most once. A proof is not given.

Sources & referencesView supporting material

Primary source

James Y. Zhao, “Hidden Markov Models with Multiple Observation Processes”, arXiv:1010.1042 (2011).

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