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Aggregation by exponential weighting, sharp PAC-Bayesian bounds and sparsity

Abstract : We study the problem of aggregation under the squared loss in the model of regression with deterministic design. We obtain sharp PAC-Bayesian risk bounds for aggregates defined via exponential weights, under general assumptions on the distribution of errors and on the functions to aggregate. We then apply these results to derive sparsity oracle inequalities.
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https://hal.archives-ouvertes.fr/hal-00265651
Contributor : Arnak Dalalyan <>
Submitted on : Friday, March 22, 2013 - 9:51:10 AM
Last modification on : Friday, March 27, 2020 - 3:11:16 AM
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Arnak S. Dalalyan, Alexandre Tsybakov. Aggregation by exponential weighting, sharp PAC-Bayesian bounds and sparsity. Machine Learning, Springer Verlag, 2008, 72 (1-2), pp.39-61. ⟨10.1007/s10994-008-5051-0⟩. ⟨hal-00265651v2⟩

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