Learning by mirror averaging

@inproceedings{Juditsky2006LearningBM,
  title={Learning by mirror averaging},
  author={Anatoli Juditsky and Philippe Rigollet and Alexandre B. Tsybakov},
  year={2006}
}
Given a collection of M different estimators or classifiers, we study the problem of model selection type aggregation, i.e., we construct a new estimator or classifier, called aggregate, which is nearly as good as the best among them with respect to a given risk criterion. We define our aggregate by a simple recursive procedure which solves an auxiliary stochastic linear programming problem related to the original non-linear one and constitutes a special case of the mirror averaging algorithm… CONTINUE READING
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