On the Convergence Speed of MDL Predictions for Bernoulli Sequences

  • Jan Poland
  • Marcus Hutter
Part of the Lecture Notes in Computer Science book series (LNCS, volume 3244)

Abstract

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 class contains only Bernoulli distributions. We derive a new upper bound on the prediction error for countable Bernoulli classes. This implies a small bound (comparable to the one for Bayes mixtures) for certain important model classes. The results apply to many Machine Learning tasks including classification and hypothesis testing. We provide arguments that our theorems generalize to countable classes of i.i.d. models.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • Jan Poland
    • 1
  • Marcus Hutter
    • 1
  1. 1.IDSIAManno (Lugano)Switzerland

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