Unifying divergence minimization and statistical inference via convex duality

  • Authors:
  • Yasemin Altun;Alex Smola

  • Affiliations:
  • Toyota Technological Institute at Chicago, Chicago, IL;National ICT Australia, Canberra, ACT, Australia

  • Venue:
  • COLT'06 Proceedings of the 19th annual conference on Learning Theory
  • Year:
  • 2006

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Abstract

In this paper we unify divergence minimization and statistical inference by means of convex duality. In the process of doing so, we prove that the dual of approximate maximum entropy estimation is maximum a posteriori estimation as a special case. Moreover, our treatment leads to stability and convergence bounds for many statistical learning problems. Finally, we show how an algorithm by Zhang can be used to solve this class of optimization problems efficiently.