Optimal discovery with probabilistic expert advice

Details Optimal discovery with probabilistic expert advice Optimal discovery with probabilistic expert advice

2011-10-25

arxiv.org/abs/1110.5447v1

Mathematics

Optimization and Control

Scientific paper

We consider an original problem that arises from the issue of security analysis of a power system and that we name optimal discovery with probabilistic expert advice. We address it with an algorithm based on the optimistic paradigm and the Good-Turing missing mass estimator. We show that this strategy uniformly attains the optimal discovery rate in a macroscopic limit sense, under some assumptions on the probabilistic experts. We also provide numerical experiments suggesting that this optimal behavior may still hold under weaker assumptions.

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