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JOURNALS // Vestnik Sankt-Peterburgskogo Universiteta. Seriya 10. Prikladnaya Matematika. Informatika. Protsessy Upravleniya // Archive

Vestnik S.-Petersburg Univ. Ser. 10. Prikl. Mat. Inform. Prots. Upr., 2024 Volume 20, Issue 2, Pages 154–169 (Mi vspui616)

Applied mathematics

The maximum entropy principle in decision theory

A. N. Prokaev

St. Petersburg Federal Research Center of the Russian Academy of Sciences — Hi Tech Research and Development Office Ltd, 39, 14-ya liniya V. О., St. Petersburg, 199178, Russian Federation

Abstract: Traditionally, the principle of maximum entropy is used to find unknown distribution of random variables. In decision theory, this principle is used primarily in situations of uncertainty regarding the probability distribution of hypotheses about the “state of the environment,” where the environment is understood as a set of parameters that influence the result of the decision made. This paper considers the use of the principle of maximum entropy for a different purpose, namely for the purpose of optimal distribution of resources of various types. A proof of theorems is given that make it possible to create algorithms for solving various problems of resource allocation based on the principle of maximum entropy, as well as examples of solving demonstrative problems.

Keywords: information theory, decision theory, search theory, expected utility theory, utility function, maximum entropy principle.

UDC: 519.878

MSC: 90B40

Received: February 3, 2024
Accepted: March 12, 2024

DOI: 10.21638/spbu10.2024.203



© Steklov Math. Inst. of RAS, 2024