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134
How to Use Expert Advice
 JOURNAL OF THE ASSOCIATION FOR COMPUTING MACHINERY
, 1997
"... We analyze algorithms that predict a binary value by combining the predictions of several prediction strategies, called experts. Our analysis is for worstcase situations, i.e., we make no assumptions about the way the sequence of bits to be predicted is generated. We measure the performance of the ..."
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Cited by 323 (66 self)
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We analyze algorithms that predict a binary value by combining the predictions of several prediction strategies, called experts. Our analysis is for worstcase situations, i.e., we make no assumptions about the way the sequence of bits to be predicted is generated. We measure the performance of the algorithm by the difference between the expected number of mistakes it makes on the bit sequence and the expected number of mistakes made by the best expert on this sequence, where the expectation is taken with respect to the randomization in the predictions. We show that the minimum achievable difference is on the order of the square root of the number of mistakes of the best expert, and we give efficient algorithms that achieve this. Our upper and lower bounds have matching leading constants in most cases. We then show howthis leads to certain kinds of pattern recognition/learning algorithms with performance bounds that improve on the best results currently known in this context. We also compare our analysis to the case in which log loss is used instead of the expected number of mistakes.
The minimum description length principle in coding and modeling
 IEEE TRANS. INFORM. THEORY
, 1998
"... We review the principles of Minimum Description Length and Stochastic Complexity as used in data compression and statistical modeling. Stochastic complexity is formulated as the solution to optimum universal coding problems extending Shannon’s basic source coding theorem. The normalized maximized ..."
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Cited by 315 (12 self)
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We review the principles of Minimum Description Length and Stochastic Complexity as used in data compression and statistical modeling. Stochastic complexity is formulated as the solution to optimum universal coding problems extending Shannon’s basic source coding theorem. The normalized maximized likelihood, mixture, and predictive codings are each shown to achieve the stochastic complexity to within asymptotically vanishing terms. We assess the performance of the minimum description length criterion both from the vantage point of quality of data compression and accuracy of statistical inference. Context tree modeling, density estimation, and model selection in Gaussian linear regression serve as examples.
The ContextTree Weighting Method: Basic Properties
 IEEE Trans. Inform. Theory
, 1995
"... We describe a sequential universal data compression procedure for binary tree sources that performs the "double mixture." Using a context tree, this method weights in an efficient recursive way the coding distributions corresponding to all bounded memory tree sources, and achieves a desira ..."
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Cited by 168 (13 self)
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We describe a sequential universal data compression procedure for binary tree sources that performs the "double mixture." Using a context tree, this method weights in an efficient recursive way the coding distributions corresponding to all bounded memory tree sources, and achieves a desirable coding distribution for tree sources with an unknown model and unknown parameters. Computational and storage complexity of the proposed procedure are both linear in the source sequence length. We derive a natural upper bound on the cumulative redundancy of our method for individual sequences. The three terms in this bound can be identified as coding, parameter, and model redundancy. The bound holds for all source sequence lengths, not only for asymptotically large lengths. The analysis that leads to this bound is based on standard techniques and turns out to be extremely simple. Our upper bound on the redundancy shows that the proposed contexttree weighting procedure is optimal in the sense that it achieves the Rissanen (1984) lower bound.
Adaptive game playing using multiplicative weights
 GAMES AND ECONOMIC BEHAVIOR
, 1999
"... We present a simple algorithm for playing a repeated game. We show that a player using this algorithm suffers average loss that is guaranteed to come close to the minimum loss achievable by any fixed strategy. Our bounds are nonasymptotic and hold for any opponent. The algorithm, which uses the mult ..."
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Cited by 138 (14 self)
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We present a simple algorithm for playing a repeated game. We show that a player using this algorithm suffers average loss that is guaranteed to come close to the minimum loss achievable by any fixed strategy. Our bounds are nonasymptotic and hold for any opponent. The algorithm, which uses the multiplicativeweight methods of Littlestone and Warmuth, is analyzed using the Kullback–Liebler divergence. This analysis yields a new, simple proof of the min–max theorem, as well as a provable method of approximately solving a game. A variant of our gameplaying algorithm is proved to be optimal in a very strong sense.
Universal prediction
 IEEE TRANSACTIONS ON INFORMATION THEORY
, 1998
"... This paper consists of an overview on universal prediction from an informationtheoretic perspective. Special attention is given to the notion of probability assignment under the selfinformation loss function, which is directly related to the theory of universal data compression. Both the probabili ..."
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Cited by 137 (11 self)
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This paper consists of an overview on universal prediction from an informationtheoretic perspective. Special attention is given to the notion of probability assignment under the selfinformation loss function, which is directly related to the theory of universal data compression. Both the probabilistic setting and the deterministic setting of the universal prediction problem are described with emphasis on the analogy and the differences between results in the two settings.
The Context Tree Weighting Method: Basic Properties
 IEEE Transactions on Information Theory
, 1995
"... We describe a sequential universal data compression procedure for binary tree sources that performs the "double mixture". Using a context tree, this method weights in an efficient recursive way the coding distributions corresponding to all bounded memory tree sources, and achieves a desira ..."
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Cited by 81 (1 self)
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We describe a sequential universal data compression procedure for binary tree sources that performs the "double mixture". Using a context tree, this method weights in an efficient recursive way the coding distributions corresponding to all bounded memory tree sources, and achieves a desirable coding distribution for tree sources with an unknown model and unknown parameters. Computational and storage complexity of the proposed procedure are both linear in the source sequence length. We derive a natural upper bound on the cumulative redundancy of our method for individual sequences. The three terms in this bound can be identified as coding, parameter and model redundancy. The bound holds for all source sequence lengths, not only for asymptotically large lengths. The analysis that leads to this bound is based on standard techniques and turns out to be extremely simple. Our upper bound on the redundancy shows that the proposed context tree weighting procedure is optimal in the sense that i...
Sequential prediction of individual sequences under general loss functions
 IEEE Trans. on Information Theory
, 1998
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A tutorial introduction to the minimum description length principle
 in Advances in Minimum Description Length: Theory and Applications. 2005
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Predicting a Binary Sequence Almost as Well as the Optimal Biased Coin
, 1996
"... We apply the exponential weight algorithm, introduced and Littlestone and Warmuth [17] and by Vovk [24] to the problem of predicting a binary sequence almost as well as the best biased coin. We first show that for the case of the logarithmic loss, the derived algorithm is equivalent to the Bayes alg ..."
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Cited by 42 (4 self)
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We apply the exponential weight algorithm, introduced and Littlestone and Warmuth [17] and by Vovk [24] to the problem of predicting a binary sequence almost as well as the best biased coin. We first show that for the case of the logarithmic loss, the derived algorithm is equivalent to the Bayes algorithm with Jeffrey's prior, that was studied by Xie and Barron under probabilistic assumptions [26]. We derive a uniform bound on the regret which holds for any sequence. We also show that if the empirical distribution of the sequence is bounded away from 0 and from 1, then, as the length of the sequence increases to infinity, the difference between this bound and a corresponding bound on the average case regret of the same algorithm (which is asymptotically optimal in that case) is only 1=2. We show that this gap of 1=2 is necessary by calculating the regret of the minmax optimal algorithm for this problem and showing that the asymptotic upper bound is tight. We also study the application...
Universal compression of memoryless sources over unknown alphabets
 IEEE TRANSACTIONS ON INFORMATION THEORY
, 2004
"... It has long been known that the compression redundancy of independent and identically distributed (i.i.d.) strings increases to infinity as the alphabet size grows. It is also apparent that any string can be described by separately conveying its symbols, and its pattern—the order in which the symbol ..."
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Cited by 35 (10 self)
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It has long been known that the compression redundancy of independent and identically distributed (i.i.d.) strings increases to infinity as the alphabet size grows. It is also apparent that any string can be described by separately conveying its symbols, and its pattern—the order in which the symbols appear. Concentrating on the latter, we show that the patterns of i.i.d. strings over all, including infinite and even unknown, alphabets, can be compressed with diminishing redundancy, both in block and sequentially, and that the compression can be performed in linear time. To establish these results, we show that the number of patterns is the Bell number, that the number of patterns with a given number of symbols is the Stirling number of the second kind, and that the redundancy of patterns can be bounded using results of Hardy and Ramanujan on the number of integer partitions. The results also imply an asymptotically optimal solution for the GoodTuring probabilityestimation problem.