Roughly speaking, I want to know how badly Shannon can fail in the one-shot setting. The standard ideas of asymptotic information theory give a precise meaning to the entropy of a given probability distribution in terms of best achievable compression with vanishing error in the limit of many iid variables. More generally, we have the idea of a thermodynamic limit in which again roughly [itex] e^S [/itex] states suffice to capture most of the probability. S is the entropy which is growing with system size. I have a set of questions related to these ideas but in a one-shot setting. Here is an example. I consider a fixed probability distribution over many states (maybe it has a system size like parameter, but let's not use that right now) and I want to know how badly I can do by keeping only [itex] e^S [/itex] states. Formally, I keep the [itex] e^S [/itex] states with largest probability and then I ask how big I can make the probability of choosing a state that I've not kept. For example, can I always find a probability distibution with a given entropy for which this error is arbitrarily close to one? Any information along these general lines would be helpful to me. Also, this may be a "trivial" set of questions with "simple" answers in which case a reference suggestion would be very helpful.