Optimality of Universal Bayesian Sequence Prediction for General Loss and Alphabet

Various optimality properties of universal sequence predictors based on Bayes-mixtures in general, and Solomonoff's prediction scheme in particular, will be studied. The probability of observing $x_t$ at time $t$, given past observations $x_1...x_{t-1}$ can be computed with the chain rule if the true generating distribution $\mu$ of the sequences $x_1x_2x_3...$ is known. If $\mu$ is unknown, but known to belong to a countable or continuous class \M one can base ones prediction on the Bayes-mixture $\xi$ defined as a $w_\nu$-weighted sum or integral of distributions \nu\in\M. The cumulative expected loss of the Bayes-optimal universal prediction scheme based on $\xi$ is shown to be close to the loss of the Bayes-optimal, but infeasible prediction scheme based on $\mu$. We show that the bounds are tight and that no other predictor can lead to significantly smaller bounds. Furthermore, for various performance measures, we show Pareto-optimality of $\xi$ and give an Occam's razor argument that the choice $w_\nu\sim 2^{-K(\nu)}$ for the weights is optimal, where $K(\nu)$ is the length of the shortest program describing $\nu$. The results are applied to games of chance, defined as a sequence of bets, observations, and rewards. The prediction schemes (and bounds) are compared to the popular predictors based on expert advice. Extensions to infinite alphabets, partial, delayed and probabilistic prediction, classification, and more active systems are briefly discussed.Comment: 34 page

Bayesian Bounds on Parameter Estimation Accuracy for Compact Coalescing Binary Gravitational Wave Signals

A global network of laser interferometric gravitational wave detectors is projected to be in operation by around the turn of the century. Here, the noisy output of a single instrument is examined. A gravitational wave is assumed to have been detected in the data and we deal with the subsequent problem of parameter estimation. Specifically, we investigate theoretical lower bounds on the minimum mean-square errors associated with measuring the parameters of the inspiral waveform generated by an orbiting system of neutron stars/black holes. Three theoretical lower bounds on parameter estimation accuracy are considered: the Cramer-Rao bound (CRB); the Weiss-Weinstein bound (WWB); and the Ziv-Zakai bound (ZZB). We obtain the WWB and ZZB for the Newtonian-form of the coalescing binary waveform, and compare them with published CRB and numerical Monte-Carlo results. At large SNR, we find that the theoretical bounds are all identical and are attained by the Monte-Carlo results. As SNR gradually drops below 10, the WWB and ZZB are both found to provide increasingly tighter lower bounds than the CRB. However, at these levels of moderate SNR, there is a significant departure between all the bounds and the numerical Monte-Carlo results.Comment: 17 pages (LaTeX), 4 figures. Submitted to Physical Review

Lower Bounds on Exponential Moments of the Quadratic Error in Parameter Estimation

Considering the problem of risk-sensitive parameter estimation, we propose a fairly wide family of lower bounds on the exponential moments of the quadratic error, both in the Bayesian and the non--Bayesian regime. This family of bounds, which is based on a change of measures, offers considerable freedom in the choice of the reference measure, and our efforts are devoted to explore this freedom to a certain extent. Our focus is mostly on signal models that are relevant to communication problems, namely, models of a parameter-dependent signal (modulated signal) corrupted by additive white Gaussian noise, but the methodology proposed is also applicable to other types of parametric families, such as models of linear systems driven by random input signals (white noise, in most cases), and others. In addition to the well known motivations of the risk-sensitive cost function (i.e., the exponential quadratic cost function), which is most notably, the robustness to model uncertainty, we also view this cost function as a tool for studying fundamental limits concerning the tail behavior of the estimation error. Another interesting aspect, that we demonstrate in a certain parametric model, is that the risk-sensitive cost function may be subjected to phase transitions, owing to some analogies with statistical mechanics.Comment: 28 pages; 4 figures; submitted for publicatio

PAC-Bayes and Domain Adaptation

We provide two main contributions in PAC-Bayesian theory for domain adaptation where the objective is to learn, from a source distribution, a well-performing majority vote on a different, but related, target distribution. Firstly, we propose an improvement of the previous approach we proposed in Germain et al. (2013), which relies on a novel distribution pseudodistance based on a disagreement averaging, allowing us to derive a new tighter domain adaptation bound for the target risk. While this bound stands in the spirit of common domain adaptation works, we derive a second bound (introduced in Germain et al., 2016) that brings a new perspective on domain adaptation by deriving an upper bound on the target risk where the distributions' divergence-expressed as a ratio-controls the trade-off between a source error measure and the target voters' disagreement. We discuss and compare both results, from which we obtain PAC-Bayesian generalization bounds. Furthermore, from the PAC-Bayesian specialization to linear classifiers, we infer two learning algorithms, and we evaluate them on real data.Comment: Neurocomputing, Elsevier, 2019. arXiv admin note: substantial text overlap with arXiv:1503.0694