Learning by mirror averaging

Details Learning by mirror averaging Learning by mirror averaging

2005-11-18

arxiv.org/abs/math/0511468v4

Annals of Statistics 2008, Vol. 36, No. 5, 2183-2206

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/07-AOS546 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of

Scientific paper

10.1214/07-AOS546

Given a finite collection of estimators or classifiers, we study the problem of model selection type aggregation, that is, we construct a new estimator or classifier, called aggregate, which is nearly as good as the best among them with respect to a given risk criterion. We define our aggregate by a simple recursive procedure which solves an auxiliary stochastic linear programming problem related to the original nonlinear one and constitutes a special case of the mirror averaging algorithm. We show that the aggregate satisfies sharp oracle inequalities under some general assumptions. The results are applied to several problems including regression, classification and density estimation.

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