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  PAC-Bayesian Inequalities for Martingales

Seldin, Y., Laviolette F, Cesa-Bianchi N, Shawe-Taylor, J., & Auer, P. (2012). PAC-Bayesian Inequalities for Martingales. IEEE Transactions on Information Theory, 58(12), 7086-7093. doi:10.1109/TIT.2012.2211334.

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Item Permalink: https://hdl.handle.net/11858/00-001M-0000-0013-B544-8 Version Permalink: https://hdl.handle.net/11858/00-001M-0000-0013-B545-6
Genre: Journal Article

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Seldin, Y1, Author           
Laviolette F, Cesa-Bianchi N, Shawe-Taylor, J, Author
Auer, P, Author
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1Department Empirical Inference, Max Planck Institute for Biological Cybernetics, Max Planck Society, ou_1497795              

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 Abstract: We present a set of high-probability inequalities that control the concentration of weighted averages of multiple (possibly uncountably many) simultaneously evolving and interdependent martingales. We also present a comparison inequality that bounds expectation of a convex function of martingale difference type variables by expectation of the same function of independent Bernoulli variables. This inequality is applied to derive a tighter analog of Hoeffding-Azuma inequality.

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 Dates: 2012-12
 Publication Status: Issued
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 Identifiers: URI: http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=arnumber=6257492
DOI: 10.1109/TIT.2012.2211334
BibTex Citekey: SeldinLCS2012
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Title: IEEE Transactions on Information Theory
Source Genre: Journal
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Pages: - Volume / Issue: 58 (12) Sequence Number: - Start / End Page: 7086 - 7093 Identifier: -