PAC-Bayesian Analysis: A Link Between Inference and Statistical Physics

PAC-Bayesian Analysis: A Link Between Inference and Statistical Physics Page 1 PAC-Bayesian Analysis: A Link Between Inference and Statistical Physics Yevgeny Seldin Joint work with François Laviolette, John Shawe-Taylor Peter Auer, Nicol`o Cesa-Bianchi, Ronald Ortner Page 2 High Level Overview Concentration inequalities for weighted averages of multiple simultaneously evolving and interdependent martingales Page 3 High Level Overview Concentration inequalities for weighted averages of multiple simultaneously evolving and interdependent martingales Application to importance weighted sampling and multiarmed bandit problems Page 4 Outline Background: PAC-Bayesian Analysis Application to Multiarmed Bandits with Side Information Solution step 1: Importance Weighted Sampling Solution step 2: PAC-Bayesian Inequalities for Martingales Solution step 3: PAC-Bayesian regret bounds Page 5 …