Minimax Optimal Bayes Mixtures for Memoryless Sources

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http://urn.fi/URN:NBN:fi:hulib-201711135689
Title: Minimax Optimal Bayes Mixtures for Memoryless Sources
Author: Jääsaari, Elias
Contributor: University of Helsinki, Faculty of Science, Department of Computer Science
Publisher: Helsingfors universitet
Date: 2017
URI: http://urn.fi/URN:NBN:fi:hulib-201711135689
http://hdl.handle.net/10138/228836
Thesis level: master's thesis
Abstract: Tasks such as data compression and prediction commonly require choosing a probability distribution over all possible sequences. To achieve an efficient prediction strategy, the chosen distribution should be a good approximation of the true distribution underlying the data. Similarly, an efficient compression strategy should assign shorter codes for more probable sequences. In particular, a compression strategy that minimizes the code-length can be shown to minimize the often-used logarithmic prediction loss. However, the optimal strategy requires knowing the true distribution which is not available in most applications. In universal compression or prediction we assume that the true probability distribution is not known but belongs to a known class of distributions. A universal code is a code that can compress the data essentially as well as the best distribution in the class in hindsight. Similarly, a universal predictor achieves low prediction loss regardless of the distribution. We call a universal code minimax optimal if it minimizes the worst-case regret, i.e. excess code-length or prediction loss compared to the best distribution in the class. In this thesis we assume the known class to be discrete memoryless sources. The minimax optimal code for this class is given by the normalized maximum likelihood (NML) distribution. However, in practice computationally more efficient distributions such as Bayes mixtures have to be used. A Bayes mixture is a mixture of the probability distributions in the class weighted by a prior distribution. The conjugate prior to the multinomial distribution is the Dirichlet distribution, using which asymptotically minimax codes have been developed. The Dirichlet distribution requires a hyperparameter that dictates the amount of prior mass given to the outcomes. The distribution given by the symmetric hyperparameter 1/2 has been widely studied and has been shown to minimize the worst-case expected regret asymptotically. Previous work on minimax optimal Bayes mixtures has mainly been concerned with large sample sizes in comparison to the alphabet size. In this thesis we investigate the minimax optimal Dirichlet prior in the large alphabet setting. In particular, we find that when the alphabet size is large compared to the sample size, the optimal hyperparameter for the Dirichlet distribution is 1/3. The worst-case regret of this mixture turns out to approach the NML regret when the alphabet size grows and the distribution provides an efficient approximation of the NML distribution. Furthermore, we develop an efficient algorithm for finding the optimal hyperparameter for any sample size or alphabet size.
Discipline: Datavetenskap
Computer science
Tietojenkäsittelytiede


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