IK
I.D. Krylov
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We consider the problem of online nonparametric regression for signals of length n with total variation at most Cn whose observations are contaminated by σ-subgaussian noise. While there exist many algorithms which achieve optimal performance under the assumption of independent noise, this work focusses on the less explored general case of dependent noise. We focus on the Follow-the-Leading-History (FLH) algorithm, a powerful meta-aggregation method for online learning.
We prove that under mild assumptions of weak long-range dependence, we may apply FLH to m ≈ log n partitioned data streams to mitigate high correlations. We show that the resulting algorithm Thinned-FLH (TFLH) achieves the minimax optimal cumulative error rate of O(n^(1/3)C_n^(2/3)) with high probability, matching the performance in the independent case up to logarithmic factors. We also conduct a simulation study, which validates our theoretical findings and demonstrates that TFLH may outperform FLH in high dependence environments in spite of the data thinning. ...
We prove that under mild assumptions of weak long-range dependence, we may apply FLH to m ≈ log n partitioned data streams to mitigate high correlations. We show that the resulting algorithm Thinned-FLH (TFLH) achieves the minimax optimal cumulative error rate of O(n^(1/3)C_n^(2/3)) with high probability, matching the performance in the independent case up to logarithmic factors. We also conduct a simulation study, which validates our theoretical findings and demonstrates that TFLH may outperform FLH in high dependence environments in spite of the data thinning. ...
We consider the problem of online nonparametric regression for signals of length n with total variation at most Cn whose observations are contaminated by σ-subgaussian noise. While there exist many algorithms which achieve optimal performance under the assumption of independent noise, this work focusses on the less explored general case of dependent noise. We focus on the Follow-the-Leading-History (FLH) algorithm, a powerful meta-aggregation method for online learning.
We prove that under mild assumptions of weak long-range dependence, we may apply FLH to m ≈ log n partitioned data streams to mitigate high correlations. We show that the resulting algorithm Thinned-FLH (TFLH) achieves the minimax optimal cumulative error rate of O(n^(1/3)C_n^(2/3)) with high probability, matching the performance in the independent case up to logarithmic factors. We also conduct a simulation study, which validates our theoretical findings and demonstrates that TFLH may outperform FLH in high dependence environments in spite of the data thinning.
We prove that under mild assumptions of weak long-range dependence, we may apply FLH to m ≈ log n partitioned data streams to mitigate high correlations. We show that the resulting algorithm Thinned-FLH (TFLH) achieves the minimax optimal cumulative error rate of O(n^(1/3)C_n^(2/3)) with high probability, matching the performance in the independent case up to logarithmic factors. We also conduct a simulation study, which validates our theoretical findings and demonstrates that TFLH may outperform FLH in high dependence environments in spite of the data thinning.
In this thesis we study for which domain types the Poincare inequality holds for all functions having continuous first derivative. We first consider the classical Poincare inequality, which we prove holds for a very large class of open sets in Rd. We then constructively prove that bounded, open, and connected domains in Rd, which also possess a smooth C1-boundary, must satisfy the Poincare-Wirtinger inequality. We do this in six successive steps.
First, we show that an arbitrary open rectangle in Rd must satisfy the inequality.Second, we prove that a C1-diffeomorphism with a sufficient condition, between a set which satisfies the inequality and an open, bounded and connected set implies the open, bounded and connected set also satisfies the Poincare-Wirtinger inequality. Third, we show that there exists such a C1-diffeomorphism between a domain in the class of open rectangles with one face distorted by a C1-function and another domain in the class of arbitrary open rectangles in Rd. Fourth, we show the class of all open rectangles with one face distorted by a C1-function satisfies the Poincare-Wirtinger inequality. Fifth, we show the union of non-disjoint open sets which satisfy the inequality in turn also satisfies the Poincare-Wirtinger inequality. Lastly, we cover the open, bounded and connected domain with a C1-boundary by a collection of rectangles from the classes of open rectangles with one face distorted by a C1-function and arbitrary open rectangles to show that the domain satisfies thePoincare-Wirtinger inequality.
Finally, we extend our function space to the first-order Sobolev space and show that we can directly extend our results to this function space.
...
First, we show that an arbitrary open rectangle in Rd must satisfy the inequality.Second, we prove that a C1-diffeomorphism with a sufficient condition, between a set which satisfies the inequality and an open, bounded and connected set implies the open, bounded and connected set also satisfies the Poincare-Wirtinger inequality. Third, we show that there exists such a C1-diffeomorphism between a domain in the class of open rectangles with one face distorted by a C1-function and another domain in the class of arbitrary open rectangles in Rd. Fourth, we show the class of all open rectangles with one face distorted by a C1-function satisfies the Poincare-Wirtinger inequality. Fifth, we show the union of non-disjoint open sets which satisfy the inequality in turn also satisfies the Poincare-Wirtinger inequality. Lastly, we cover the open, bounded and connected domain with a C1-boundary by a collection of rectangles from the classes of open rectangles with one face distorted by a C1-function and arbitrary open rectangles to show that the domain satisfies thePoincare-Wirtinger inequality.
Finally, we extend our function space to the first-order Sobolev space and show that we can directly extend our results to this function space.
...
In this thesis we study for which domain types the Poincare inequality holds for all functions having continuous first derivative. We first consider the classical Poincare inequality, which we prove holds for a very large class of open sets in Rd. We then constructively prove that bounded, open, and connected domains in Rd, which also possess a smooth C1-boundary, must satisfy the Poincare-Wirtinger inequality. We do this in six successive steps.
First, we show that an arbitrary open rectangle in Rd must satisfy the inequality.Second, we prove that a C1-diffeomorphism with a sufficient condition, between a set which satisfies the inequality and an open, bounded and connected set implies the open, bounded and connected set also satisfies the Poincare-Wirtinger inequality. Third, we show that there exists such a C1-diffeomorphism between a domain in the class of open rectangles with one face distorted by a C1-function and another domain in the class of arbitrary open rectangles in Rd. Fourth, we show the class of all open rectangles with one face distorted by a C1-function satisfies the Poincare-Wirtinger inequality. Fifth, we show the union of non-disjoint open sets which satisfy the inequality in turn also satisfies the Poincare-Wirtinger inequality. Lastly, we cover the open, bounded and connected domain with a C1-boundary by a collection of rectangles from the classes of open rectangles with one face distorted by a C1-function and arbitrary open rectangles to show that the domain satisfies thePoincare-Wirtinger inequality.
Finally, we extend our function space to the first-order Sobolev space and show that we can directly extend our results to this function space.
First, we show that an arbitrary open rectangle in Rd must satisfy the inequality.Second, we prove that a C1-diffeomorphism with a sufficient condition, between a set which satisfies the inequality and an open, bounded and connected set implies the open, bounded and connected set also satisfies the Poincare-Wirtinger inequality. Third, we show that there exists such a C1-diffeomorphism between a domain in the class of open rectangles with one face distorted by a C1-function and another domain in the class of arbitrary open rectangles in Rd. Fourth, we show the class of all open rectangles with one face distorted by a C1-function satisfies the Poincare-Wirtinger inequality. Fifth, we show the union of non-disjoint open sets which satisfy the inequality in turn also satisfies the Poincare-Wirtinger inequality. Lastly, we cover the open, bounded and connected domain with a C1-boundary by a collection of rectangles from the classes of open rectangles with one face distorted by a C1-function and arbitrary open rectangles to show that the domain satisfies thePoincare-Wirtinger inequality.
Finally, we extend our function space to the first-order Sobolev space and show that we can directly extend our results to this function space.