Aggregating estimates by convex optimization
Summary: We discuss the approach to estimate aggregation and adaptive estimation based upon (nearly optimal) testing of convex hypotheses. We show that in the situation where the observations stem from \textit{simple observation schemes} (Juditsky and Nemirovski, 2020) and where the set of unknown signals is a finite union of convex and compact sets, the proposed approach leads to aggregation and adaptation routines with nearly optimal performance. As an illustration, we consider application of the proposed estimates to the problem of recovery of unknown signal known to belong to a union of ellitopes (Juditsky and Nemirovski, 2018 and 2020) in Gaussian observation scheme. The proposed approach can be implemented efficiently when the number of sets in the union is ``not very large. We conclude the paper with a small simulation study illustrating practical performance of the proposed procedures in the problem of signal estimation in the single-index model.
- Aggregation of estimators and stochastic optimization
- Aggregation of affine estimators
- Linear and convex aggregation of density estimators
- Approximation aggregation under uncertainty
- Aggregation via empirical risk minimization
- Optimal bounds for aggregation of affine estimators
- scientific article; zbMATH DE number 2051797
- Aggregation and minimax optimality in high-dimensional estimation
- A Framework For Estimation Of Convex Functions
- Bounds on the suboptimalization of aggregation in convex programming
- A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
- A universal procedure for aggregating estimators
- A universally acceptable smoothing factor for kernel density estimates
- Adaptive estimation over anisotropic functional classes via oracle approach
- Adaptive estimation under single-index constraint in a regression model
- Aggregated estimators and empirical complexity for least square regression
- Aggregating regression procedures to improve performance
- Aggregation for Gaussian regression
- Asymptotic minimax estimation of regression in the additive model
- Asymptotically Minimax Adaptive Estimation. I: Upper Bounds. Optimally Adaptive Estimates
- Asymptotically minimax adaptive estimation. II: Schemes without optimal adaption. Adaptive estimates
- Bandwidth selection in kernel density estimation: oracle inequalities and adaptive minimax optimality
- Combinatorial methods in density estimation
- Deviation optimal learning using greedy \(Q\)-aggregation
- Discrimination of hypotheses for Gaussian measures, and a geometrical characterization of Gaussian distribution
- Estimation and selection procedures in regression: anL1approach
- scientific article; zbMATH DE number 3651489 (Why is no real title available?)
- scientific article; zbMATH DE number 177229 (Why is no real title available?)
- Hypothesis testing by convex optimization
- Hypothesis testing via affine detectors
- Kullback-Leibler aggregation and misspecified generalized linear models
- Learning by mirror averaging
- Learning Theory and Kernel Machines
- Linear and convex aggregation of density estimators
- Minimax estimation of linear functionals over nonconvex parameter spaces.
- Mixing strategies for density estimation.
- Model selection for Poisson processes
- Model selection via testing: an alternative to (penalized) maximum likelihood estimators.
- Near-optimal recovery of linear and N-convex functions on unions of convex sets
- Near-optimality of linear recovery in Gaussian observation scheme under \(\| \cdot \|_{2}^{2}\)-loss
- On a Problem of Adaptive Estimation in Gaussian White Noise
- On adaptive estimation of linear functionals
- On polyhedral estimation of signals via indirect observations
- Optimal learning with \textit{Q}-aggregation
- Rates of convergence of minimum distance estimators and Kolmogorov's entropy
- Robust tests for model selection
- Structural adaptation via \(\mathbb L_p\)-norm oracle inequalities
- Universal pointwise selection rule in multivariate function estimation
- Recursive aggregation of estimators by the mirror descent algorithm with averaging
- A unified scheme for generalizing cardinality estimators to sum aggregation
- Aggregation by Exponential Weighting and Sharp Oracle Inequalities
- Aggregation of regularized solutions from multiple observation models
- Aggregating estimates by convex optimization
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