منابع مشابه
Minimax Time Series Prediction
We consider an adversarial formulation of the problem of predicting a time series with square loss. The aim is to predict an arbitrary sequence of vectors almost as well as the best smooth comparator sequence in retrospect. Our approach allows natural measures of smoothness such as the squared norm of increments. More generally, we consider a linear time series model and penalize the comparator...
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Minimum output mutual information is regarded as a natural criterion for independent component analysis (ICA) and is used as the performance measure in many ICA algorithms. Two common approaches in information-theoretic ICA algorithms are minimum mutual information and maximum output entropy approaches. In the former approach, we substitute some form of probability density function (pdf) estima...
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Let X | μ ∼ Np(μ, vxI) and Y | μ ∼ Np(μ, vyI) be independent p-dimensional multivariate normal vectors with common unknown mean μ, and let p(x|μ) and p(y |μ) denote the conditional densities of X and Y . Based on only observing X = x, we consider the problem of obtaining a predictive distribution p̂(y |x) for Y that is close to p(y |μ) as measured by Kullback-Leibler loss. The natural straw man ...
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We address the online linear optimization problem when the actions of the forecaster are represented by binary vectors. Our goal is to understand the magnitude of the minimax regret for the worst possible set of actions. We study the problem under three different assumptions for the feedback: full information, and the partial information models of the so-called “semi-bandit”, and “bandit” probl...
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Mutual information is fundamentally important for measuring statistical dependence between variables and for quantifying information transfer by signaling and communication mechanisms. It can, however, be challenging to evaluate for physical models of such mechanisms and to estimate reliably from data. Furthermore, its relationship to better known statistical procedures is still poorly understo...
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ژورنال
عنوان ژورنال: Applicationes Mathematicae
سال: 2000
ISSN: 1233-7234,1730-6280
DOI: 10.4064/am-27-4-437-444