Corpus ID: 7299259

PAC-Bayesian Analysis of Martingales and Multiarmed Bandits

@article{Seldin2011PACBayesianAO,
  title={PAC-Bayesian Analysis of Martingales and Multiarmed Bandits},
  author={Yevgeny Seldin and F. Laviolette and J. Shawe-Taylor and Jan Peters and P. Auer},
  journal={ArXiv},
  year={2011},
  volume={abs/1105.2416}
}
  • Yevgeny Seldin, F. Laviolette, +2 authors P. Auer
  • Published 2011
  • Computer Science, Mathematics
  • ArXiv
  • We present two alternative ways to apply PAC-Bayesian analysis to sequences of dependent random variables. The first is based on a new lemma that enables to bound expectations of convex functions of certain dependent random variables by expectations of the same functions of independent Bernoulli random variables. This lemma provides an alternative tool to Hoeffding-Azuma inequality to bound concentration of martingale values. Our second approach is based on integration of Hoeffding-Azuma… CONTINUE READING
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