PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Aggregation by exponential weighting and sharp oracle inequalities.
Arnak Dalalyan and Alexandre Tsybakov
In: COLT 2007, 13-15 Jun 2007, San Diego, USA.


In the present paper, we study the problem of aggregation under the squared loss in the model of regression with deterministic design. We obtain sharp oracle inequalities for convex aggregates defined via exponential weights, under general assumptions on the distribution of errors and on the functions to aggregate. We show how these results can be applied to derive a sparsity oracle inequality.

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EPrint Type:Conference or Workshop Item (Paper)
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Computational, Information-Theoretic Learning with Statistics
Learning/Statistics & Optimisation
Theory & Algorithms
ID Code:3859
Deposited By:Alexandre Tsybakov
Deposited On:25 February 2008