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On the convergence speed of MDL predictions for Bernoulli sequences

Poland, Jan; Hutter, Marcus

Description

We consider the Minimum Description Length principle for online sequence prediction. If the underlying model class is discrete, then the total expected square loss is a particularly interesting performance measure: (a) this quantity is bounded, implying convergence with probability one, and (b) it additionally specifies a rate of convergence. Generally, for MDL only exponential loss bounds hold, as opposed to the linear bounds for a Bayes mixture. We show that this is even the case if the model...[Show more]

CollectionsANU Research Publications
Date published: 2004
Type: Conference paper
URI: http://hdl.handle.net/1885/15058
DOI: 10.1007/978-3-540-30215-5_23

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