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UBC Theses and Dissertations

Optimal algorithms for experts and mixtures of Gaussians Liaw, Christopher Vui

Abstract

This thesis makes contributions to two problems in learning theory: prediction with expert advice and learning mixtures of Gaussians. The problem of prediction with expert advice can be cast as a sequential game between an algorithm and an adversary as follows. At each time step, an algorithm chooses one of n options (or experts) and the adversary sets a cost for each expert. The algorithm's goal is to minimize its regret, i.e. its cost relative to the best expert in hindsight. The celebrated multiplicative weights algorithm is known to be optimal if the the game is terminated at a fixed, known time and the number of experts is large. Optimal algorithms are also known when the number of experts is 2, 3, or 4. If the game does not terminate at a known time or is run indefinitely, the optimal algorithm is not known for any number of experts. We contribute to this problem by giving the optimal algorithm when there are 2 experts. Our algorithm is designed by considering a continuous analogue of the problem, which is solved using ideas from stochastic calculus. In the second part of the thesis, we look at distribution learning, which is a fundamental task in statistics that has been studied for over a century. We consider such a problem where the distribution is a mixture of k Gaussians in d dimensions. The objective is density estimation: given i.i.d. samples from the unknown distribution, produce a distribution whose total variation from the unknown distribution is within some desired accuracy. We contribute to this problem by designing an algorithm with near-optimal sample complexity.

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