Icef-dse-2024-fall — различия между версиями
Bdemeshev (обсуждение | вклад) |
Bdemeshev (обсуждение | вклад) |
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* Kelly, [https://www.princeton.edu/~wbialek/rome/refs/kelly_56.pdf A new interpretation of information rate]: original paper, very well written | * Kelly, [https://www.princeton.edu/~wbialek/rome/refs/kelly_56.pdf A new interpretation of information rate]: original paper, very well written | ||
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| + | 2024-09-19, lecture 3: Horse betting: optimal bet under signal. Optimal long-term interest rate as entropy difference. How to build a tree? Entropy drop as splitting criterion. Dealing with missing values. | ||
| + | How to stop? Tree pruning. | ||
==Past courses== | ==Past courses== | ||
Версия 23:25, 19 сентября 2024
General course info
Fall grade = 0.2 Small HAs + 0.2 Group project + 0.3 Midterm + 0.3 Final
We expect 3 practice HA and 3 theory HA.
Lecturer: Boris Demeshev
Class teachers: Yana Khassan, Shuana Pirbudagova
Lecture video recordings
Telegram group
Log Book or Tentative Plan
2024-09-05, lecture 1: Entropy, conditional entropy, joint entropy, mutual information, cross-entropy.
- Cristopher Olah, Visual Information Theory, https://colah.github.io/posts/2015-09-Visual-Information/
- Grand Sanderson, Solving Wordle using information theory, youtube.
- Artem Kirsanov, Key equation behind probability, youtube. Be careful, Artem uses notation H(P, Q) for Cross entropy (we use CE(P||Q)).
- Конспект аналогичной лекции на фкн на русском.
2024-09-12, lecture 2: Expected value of log-likelihood is zero. Kullback-Leibler divergence definition. Expected value calculation example. Optimizing long-run profit. Horse betting: optimal bet under private signal.
- Marcin Anforowicz, Just one more paradox youtube
- Wikipedia, [Kelly Criterion https://en.wikipedia.org/wiki/Kelly_criterion]: a good article
- Kelly, A new interpretation of information rate: original paper, very well written
2024-09-19, lecture 3: Horse betting: optimal bet under signal. Optimal long-term interest rate as entropy difference. How to build a tree? Entropy drop as splitting criterion. Dealing with missing values. How to stop? Tree pruning.
