Related papers: Optimality of Universal Bayesian Sequence Predicti…
Although the methods of bagging and random forests are some of the most widely used prediction methods, relatively little is known about their algorithmic convergence. In particular, there are not many theoretical guarantees for deciding…
We consider the problem of universal decoding for arbitrary unknown channels in the random coding regime. For a given random coding distribution and a given class of metric decoders, we propose a generic universal decoder whose average…
Bayesian optimization is a sequential method for minimizing objective functions that are expensive to evaluate and about which few assumptions can be made. By using all gathered data to train a Gaussian process model for the function and…
Consider a sequence of bits where we are trying to predict the next bit from the previous bits. Assume we are allowed to say 'predict 0' or 'predict 1', and our payoff is +1 if the prediction is correct and -1 otherwise. We will say that at…
Consider the case where consecutive blocks of N letters of a semi-infinite individual sequence X over a finite-alphabet are being compressed into binary sequences by some one-to-one mapping. No a-priori information about X is available at…
We consider the fixed-budget best arm identification problem with rewards following normal distributions. In this problem, the forecaster is given $K$ arms (or treatments) and $T$ time steps. The forecaster attempts to find the arm with the…
This work establishes a novel link between the problem of PAC-learning high-dimensional graphical models and the task of (efficient) counting and sampling of graph structures, using an online learning framework. We observe that if we apply…
The Unit Weibull distribution with parameters $\alpha$ and $\beta$ is considered to study in the context of dual generalized order statistics. For the analysis purpose, Bayes estimators based on symmetric and asymmetric loss functions are…
The problem is sequence prediction in the following setting. A sequence x1,..., xn,... of discrete-valued observations is generated according to some unknown probabilistic law (measure) mu. After observing each outcome, it is required to…
Prediction models are often employed in estimating parameters of optimization models. Despite the fact that in an end-to-end view, the real goal is to achieve good optimization performance, the prediction performance is measured on its own.…
Aggregated predictors are obtained by making a set of basic predictors vote according to some weights, that is, to some probability distribution. Randomized predictors are obtained by sampling in a set of basic predictors, according to some…
In this paper, we introduce a family of sequential decision-making problems, collectively termed the Keychain Problem, that involve exploring a set of actions to maximize expected payoff when only a subset of actions are available in each…
We study universal compression of sequences generated by monotonic distributions. We show that for a monotonic distribution over an alphabet of size $k$, each probability parameter costs essentially $0.5 \log (n/k^3)$ bits, where $n$ is the…
For a collection of distributions over a countable support set, the worst case universal compression formulation by Shtarkov attempts to assign a universal distribution over the support set. The formulation aims to ensure that the universal…
Approximate Bayesian computation (ABC) or likelihood-free inference algorithms are used to find approximations to posterior distributions without making explicit use of the likelihood function, depending instead on simulation of sample data…
This study investigates Bayesian ensemble learning for improving the quality of decision-making. We consider a decision-maker who selects an action from a set of candidates based on a policy trained using observations. In our setting, we…
We consider the problem of online forecasting of sequences of length $n$ with total-variation at most $C_n$ using observations contaminated by independent $\sigma$-subgaussian noise. We design an $O(n\log n)$-time algorithm that achieves a…
We propose a method to improve the efficiency and accuracy of amortized Bayesian inference by leveraging universal symmetries in the joint probabilistic model of parameters and data. In a nutshell, we invert Bayes' theorem and estimate the…
The forecasting problem for a stationary and ergodic binary time series $\{X_n\}_{n=0}^{\infty}$ is to estimate the probability that $X_{n+1}=1$ based on the observations $X_i$, $0\le i\le n$ without prior knowledge of the distribution of…
The use of surrogate models instead of computationally expensive simulation codes is very convenient in engineering. Roughly speaking, there are two kinds of surrogate models: the deterministic and the probabilistic ones. These last are…