OPTIMAL INFORMATION USAGE IN BINARY SEQUENTIAL HYPOTHESIS TESTING

Doerpinghaus, M.; Neri, I.; Roldan, E.; Jülicher, Frank

doi:10.1137/S0040585X97T991295

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OPTIMAL INFORMATION USAGE IN BINARY SEQUENTIAL HYPOTHESIS TESTING

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Jülicher, Frank
Max Planck Institute for the Physics of Complex Systems, Max Planck Society;

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Doerpinghaus, M., Neri, I., Roldan, E., & Jülicher, F. (2023). OPTIMAL INFORMATION USAGE IN BINARY SEQUENTIAL HYPOTHESIS TESTING. Theory of Probability and its Applications, 68(1), 77-87. doi:10.1137/S0040585X97T991295.

Cite as: https://hdl.handle.net/21.11116/0000-000D-8F37-5

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 sequen-tial 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.