PAC-Bayesian Inequalities for Martingales

Details PAC-Bayesian Inequalities for Martingales PAC-Bayesian Inequalities for Martingales

2011-10-31

arxiv.org/abs/1110.6886v1

Computer Science

Learning

Scientific paper

We present a set of high-probability inequalities that control the concentration of weighted averages of multiple (possibly uncountably many) simultaneously evolving and interdependent martingales. We also present a comparison inequality that bounds expectation of a convex function of martingale difference type variables by expectation of the same function of independent Bernoulli variables. This inequality is applied to derive a tighter analog of Hoeffding-Azuma inequality.

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