Statistical Learning Theory and Stochastic Optimization [electronic resource] : Ecole d’Eté de Probabilités de Saint-Flour XXXI - 2001 / by Olivier Catoni ; edited by Jean Picard.
Material type:![Text](/opac-tmpl/lib/famfamfam/BK.png)
- text
- computer
- online resource
- 9783540445074
- Distribution (Probability theory
- Mathematical statistics
- Mathematical optimization
- Artificial intelligence
- Mathematics
- Numerical analysis
- Probability Theory and Stochastic Processes
- Statistical Theory and Methods
- Optimization
- Artificial Intelligence
- Information and Communication, Circuits
- Numerical Analysis
- 519.2 23
- QA273.A1-274.9
- QA274-274.9
Universal Lossless Data Compression -- Links Between Data Compression and Statistical Estimation -- Non Cumulated Mean Risk -- Gibbs Estimators -- Randomized Estimators and Empirical Complexity -- Deviation Inequalities -- Markov Chains with Exponential Transitions -- References -- Index.
Statistical learning theory is aimed at analyzing complex data with necessarily approximate models. This book is intended for an audience with a graduate background in probability theory and statistics. It will be useful to any reader wondering why it may be a good idea, to use as is often done in practice a notoriously "wrong'' (i.e. over-simplified) model to predict, estimate or classify. This point of view takes its roots in three fields: information theory, statistical mechanics, and PAC-Bayesian theorems. Results on the large deviations of trajectories of Markov chains with rare transitions are also included. They are meant to provide a better understanding of stochastic optimization algorithms of common use in computing estimators. The author focuses on non-asymptotic bounds of the statistical risk, allowing one to choose adaptively between rich and structured families of models and corresponding estimators. Two mathematical objects pervade the book: entropy and Gibbs measures. The goal is to show how to turn them into versatile and efficient technical tools, that will stimulate further studies and results.
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