On Estimation and Optimization of Mean Values of Bounded Variables
Statistics Theory
2012-12-06 v3 Probability
Applications
Statistics Theory
Abstract
In this paper, we develop a general approach for probabilistic estimation and optimization. An explicit formula and a computational approach are established for controlling the reliability of probabilistic estimation based on a mixed criterion of absolute and relative errors. By employing the Chernoff-Hoeffding bound and the concept of sampling, the minimization of a probabilistic function is transformed into an optimization problem amenable for gradient descendent algorithms.
Cite
@article{arxiv.0804.1399,
title = {On Estimation and Optimization of Mean Values of Bounded Variables},
author = {Xinjia Chen},
journal= {arXiv preprint arXiv:0804.1399},
year = {2012}
}
Comments
10 pages, no figure. Generalized to the case of bounded variables