Exponential weighting and oracle inequalities for projection estimates

Authors:
G. K. Golubev
Affiliations:
Kharkevich Institute for Information Transmission Problems, Russian Academy of Sciences, Moscow, Russia and Moscow Institute of Physics and Technology (State University), Moscow, Russia
Venue:
Problems of Information Transmission
Year:
2012

Citing 2
Cited 0

On a Method of Empirical Risk Minimization

Problems of Information Transmission
Information Theory and Mixing Least-Squares Regressions

IEEE Transactions on Information Theory

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Abstract

We consider the problem of recovering an unknown vector from noisy data. The vector is estimated using a family of projection estimates, and the goal is finding a sufficiently good convex combination of these estimates based on the observations. We study an aggregation method for constructing estimates related to the so-called exponential weighting and present an upper bound on the mean-square risk of this method.