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lines changed Original file line number Diff line number Diff line change @@ -29,6 +29,7 @@ Entropy Pooling is a powerful method for implementing subjective views and
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performing stress-tests for fully general Monte Carlo distributions. It was first
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introduced by [ Meucci (2008)] ( https://ssrn.com/abstract=1213325 ) and refined
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with sequential algorithms by [ Vorobets (2021)] ( https://ssrn.com/abstract=3936392 ) .
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+ For a quick introduction to Entropy Pooling intuition, watch [ this YouTube video] ( https://youtu.be/qk_5l4ICXfY ) .
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The original Entropy Pooling approach solves the minimum relative entropy problem
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@@ -38,8 +39,8 @@ subject to the constraints
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$$ Gx\leq h \quad \text{and} \quad Ax=b. $$
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- The constraints matrices $A$ and $G$ contain transformations of the Monte Carlo
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- simulation that allow you to implement subjective views and stress-tests by
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+ The constraints matrices $A$ and $G$ contain functions of the Monte Carlo
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+ simulation $R$ that allow you to implement subjective views and stress-tests by
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changing the joint scenario probabilities from a prior probability vector $p$
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to a posterior probability vector $q$.
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