Statistical Learning Theory and Stochastic Optimization: Ecole d’Eté de Probabilités de Saint-Flour XXXI - 2001

Description

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. Introduction....Pages 1-4 1. Universal lossless data compression....Pages 5-54 2. Links between data compression and statistical estimation....Pages 55-69 3. Non cumulated mean risk....Pages 71-95 4. Gibbs estimators....Pages 97-154 5. Randomized estimators and empirical complexity....Pages 155-197 6. Deviation inequalities....Pages 199-222 7. Markov chains with exponential transitions....Pages 223-260 References....Pages 261-265 Index....Pages 267-269 List of participants and List of short lectures....Pages 271-273