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Introduction to dynamical systems II

Schedule

Wednesday, 24 February 2021 to Friday, 30 April 2021
Total hours: 20
Hours of lectures: 10
Hours of supplementary teaching: 10

Examination procedure

  • oral exam

Syllabus

Information theory, codes, data compression and prediction.

Probability, entropy, inference. Maximum likelyhood method.

St. Petersburg paradox. Utility function. Kelly criterion. Horse races. Universal portfolios.

Pseudorandom number generators. Monte Carlo method.

Educational Goals

To introduce the fundamental notions of information theory and of dynamical systems theory and applications

Bibliographical references

Cover-Thomas: Elements of Information Theory

Mackay: Information theory, Inference and Learning Algorithms

Shannon, Claude E. (July 1948). "A Mathematical Theory of Communication".

Bell System Technical Journal. 27 (3): 379–423.

Shannon, C. E. (1951), Prediction and Entropy of Printed English. Bell
System Technical Journal, 30: 50-64.

Kelly, J. L. (1956). "A New Interpretation of Information Rate" Bell
System Technical Journal. 35 (4): 917–926

MacLean, Thorp, Ziemba (2011) "The Kelly Capital Growth Investment
Criterion: Theory and Practice" World Scientific