38,965 research outputs found
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 at time , given past
observations can be computed with the chain rule if the true
generating distribution of the sequences is known. If
is unknown, but known to belong to a countable or continuous class \M
one can base ones prediction on the Bayes-mixture defined as a
-weighted sum or integral of distributions \nu\in\M. The cumulative
expected loss of the Bayes-optimal universal prediction scheme based on
is shown to be close to the loss of the Bayes-optimal, but infeasible
prediction scheme based on . 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 and give an
Occam's razor argument that the choice for the weights
is optimal, where is the length of the shortest program describing
. 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
On Universal Prediction and Bayesian Confirmation
The Bayesian framework is a well-studied and successful framework for
inductive reasoning, which includes hypothesis testing and confirmation,
parameter estimation, sequence prediction, classification, and regression. But
standard statistical guidelines for choosing the model class and prior are not
always available or fail, in particular in complex situations. Solomonoff
completed the Bayesian framework by providing a rigorous, unique, formal, and
universal choice for the model class and the prior. We discuss in breadth how
and in which sense universal (non-i.i.d.) sequence prediction solves various
(philosophical) problems of traditional Bayesian sequence prediction. We show
that Solomonoff's model possesses many desirable properties: Strong total and
weak instantaneous bounds, and in contrast to most classical continuous prior
densities has no zero p(oste)rior problem, i.e. can confirm universal
hypotheses, is reparametrization and regrouping invariant, and avoids the
old-evidence and updating problem. It even performs well (actually better) in
non-computable environments.Comment: 24 page
Algorithmic Complexity Bounds on Future Prediction Errors
We bound the future loss when predicting any (computably) stochastic sequence
online. Solomonoff finitely bounded the total deviation of his universal
predictor from the true distribution by the algorithmic complexity of
. Here we assume we are at a time and already observed .
We bound the future prediction performance on by a new
variant of algorithmic complexity of given , plus the complexity of the
randomness deficiency of . The new complexity is monotone in its condition
in the sense that this complexity can only decrease if the condition is
prolonged. We also briefly discuss potential generalizations to Bayesian model
classes and to classification problems.Comment: 21 page
Asymptotics of Discrete MDL for Online Prediction
Minimum Description Length (MDL) is an important principle for induction and
prediction, with strong relations to optimal Bayesian learning. This paper
deals with learning non-i.i.d. processes by means of two-part MDL, where the
underlying model class is countable. We consider the online learning framework,
i.e. observations come in one by one, and the predictor is allowed to update
his state of mind after each time step. We identify two ways of predicting by
MDL for this setup, namely a static} and a dynamic one. (A third variant,
hybrid MDL, will turn out inferior.) We will prove that under the only
assumption that the data is generated by a distribution contained in the model
class, the MDL predictions converge to the true values almost surely. This is
accomplished by proving finite bounds on the quadratic, the Hellinger, and the
Kullback-Leibler loss of the MDL learner, which are however exponentially worse
than for Bayesian prediction. We demonstrate that these bounds are sharp, even
for model classes containing only Bernoulli distributions. We show how these
bounds imply regret bounds for arbitrary loss functions. Our results apply to a
wide range of setups, namely sequence prediction, pattern classification,
regression, and universal induction in the sense of Algorithmic Information
Theory among others.Comment: 34 page
Scanning and Sequential Decision Making for Multidimensional Data -- Part II: The Noisy Case
We consider the problem of sequential decision making for random fields corrupted by noise. In this scenario, the decision maker observes a noisy version of the data, yet judged with respect to the clean data. In particular, we first consider the problem of scanning and sequentially filtering noisy random fields. In this case, the sequential filter is given the freedom to choose the path over which it traverses the random field (e.g., noisy image or video sequence), thus it is natural to ask what is the best achievable performance and how sensitive this performance is to the choice of the scan. We formally define the problem of scanning and filtering, derive a bound on the best achievable performance, and quantify the excess loss occurring when nonoptimal scanners are used, compared to optimal scanning and filtering. We then discuss the problem of scanning and prediction for noisy random fields. This setting is a natural model for applications such as restoration and coding of noisy images. We formally define the problem of scanning and prediction of a noisy multidimensional array and relate the optimal performance to the clean scandictability defined by Merhav and Weissman. Moreover, bounds on the excess loss due to suboptimal scans are derived, and a universal prediction algorithm is suggested. This paper is the second part of a two-part paper. The first paper dealt with scanning and sequential decision making on noiseless data arrays
On the Convergence Speed of MDL Predictions for Bernoulli Sequences
We consider the Minimum Description Length principle for online sequence
prediction. If the underlying model class is discrete, then the total expected
square loss is a particularly interesting performance measure: (a) this
quantity is bounded, implying convergence with probability one, and (b) it
additionally specifies a `rate of convergence'. Generally, for MDL only
exponential loss bounds hold, as opposed to the linear bounds for a Bayes
mixture. We show that this is even the case if the model class contains only
Bernoulli distributions. We derive a new upper bound on the prediction error
for countable Bernoulli classes. This implies a small bound (comparable to the
one for Bayes mixtures) for certain important model classes. The results apply
to many Machine Learning tasks including classification and hypothesis testing.
We provide arguments that our theorems generalize to countable classes of
i.i.d. models.Comment: 17 page
MDL Convergence Speed for Bernoulli Sequences
The Minimum Description Length principle for online sequence
estimation/prediction in a proper learning setup is studied. If the underlying
model class is discrete, then the total expected square loss is a particularly
interesting performance measure: (a) this quantity is finitely bounded,
implying convergence with probability one, and (b) it additionally specifies
the convergence speed. For MDL, in general one can only have loss bounds which
are finite but exponentially larger than those for Bayes mixtures. We show that
this is even the case if the model class contains only Bernoulli distributions.
We derive a new upper bound on the prediction error for countable Bernoulli
classes. This implies a small bound (comparable to the one for Bayes mixtures)
for certain important model classes. We discuss the application to Machine
Learning tasks such as classification and hypothesis testing, and
generalization to countable classes of i.i.d. models.Comment: 28 page
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