Minimum description length induction, Bayesianism, and Kolmogorov complexity

  • Authors:
  • P. M.B. Vitanyi;Ming Li

  • Affiliations:
  • CWI, Amsterdam;-

  • Venue:
  • IEEE Transactions on Information Theory
  • Year:
  • 2006

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Abstract

The relationship between the Bayesian approach and the minimum description length approach is established. We sharpen and clarify the general modeling principles minimum description length (MDL) and minimum message length (MML), abstracted as the ideal MDL principle and defined from Bayes's rule by means of Kolmogorov complexity. The basic condition under which the ideal principle should be applied is encapsulated as the fundamental inequality, which in broad terms states that the principle is valid when the data are random, relative to every contemplated hypothesis and also these hypotheses are random relative to the (universal) prior. The ideal principle states that the prior probability associated with the hypothesis should be given by the algorithmic universal probability, and the sum of the log universal probability of the model plus the log of the probability of the data given the model should be minimized. If we restrict the model class to finite sets then application of the ideal principle turns into Kolmogorov's minimal sufficient statistic. In general, we show that data compression is almost always the best strategy, both in model selection and prediction