5.1 A mutual information bound based on metric entropy

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1 Chapter 5 Global Fao Method I this chapter, we exted the techiques of Chapter 2.4 o Fao s method the local Fao method) to a more global costructio. I particular, we show that, rather tha costructig a local packig, choosig a scalig δ > 0, ad the optimizig over this δ, it is actually, i may cases, possible to prove lower bouds o miimax error directly usig packig ad coverig umbers metric etropy ad packig etropy). The material i this chapter is based o a paper of Yag ad Barro 5]. 5.1 A mutual iformatio boud based o metric etropy Tobegi, werecalltheclassicalfaoiequality, whichsaysthatforaymarkovchaiv X V, where V is uiform o the fiite set V, we have P V V) 1 IV;X)+log2. log V ) Recall Corollary 2.11.) Thus, there are two igrediets i provig lower bouds o the error i a hypothesis test: upper boudig the mutual iformatio ad lower boudig the size V. Here, we state a propositio doig the former. Before statig our result, we require a bit of otatio. First, we assume that V is draw from a distributio µ, ad coditioal o V = v, assume the sample X P v. The a stadard calculatio or simply the defiitio of mutual iformatio; recall equatio 2.4.4)) gives that IV;X) = D kl Pv P ) dµv), where P = P v dµv) ) Now, we show how to coect this mutual iformatio quatity to a coverig umber of a set of distributios. Assume that for all v, we have P v P, where P is a collectio of distributios. I aalogy with Defiitio 2.1, we say that the collectio of distributios Q i } N i=1 form a ǫ-cover of P i KL-divergece if for all P P, there exists some i such that D kl P Q i ) ǫ 2. With this, we may defie the KL-coverig umber of the set P as N kl ǫ,p) := if } N N Q i,i = 1,...,N, sup mid kl P Q i ) ǫ 2, 5.1.2) P P i wheren kl ǫ,p) = + ifosuchcoverexists. Withdefiitio5.1.2)iplace, wehavethefollowig propositio. 49

2 Staford Statistics 311/Electrical Egieerig 377 Propositio 5.1. Uder coditios of the precedig paragraphs, we have IV;X) if ǫ 2 +logn kl ǫ,p) } ) ǫ>0 Proof First, we claim that D kl Pv P ) dµv) D kl P v Q)dµv) 5.1.4) for ay distributio Q. Ideed, briefly, we have D kl Pv P ) dµv) = dp v log dp v V X dp dµv) = V X = D kl P v Q)dµv)+ dµv)dp v V X V }} =dp ) = D kl P v Q)dµv) D kl P Q dp v log dp ] v dq +log dµv) Q dp log dq dp D kl P v Q)dµv), so that iequality 5.1.4) holds. By carefully choosig the distributio Q i the upper boud5.1.4), we obtai the propositio. Now, assume that the distributios Q i, i = 1,...,N form a ǫ 2 -cover of the family P, meaig that mi i N] D klp Q i ) ǫ 2 for all P P. Let p v ad q i deote the desities of P v ad Q i with respect to some fixed base measure o X the choice of based measure does ot matter). The defiiig the distributio Q = 1/N) N i=1 Q i, we obtai for ay v that i expectatio over X P v, D kl P v Q) = E Pv log p ] ] vx) p v X) = E Pv log qx) N 1 i=1 q ix) ] ] p v X) p v X) = logn +E Pv log N i=1 q logn +E Pv log ix) max i q i X) logn +mie Pv log p ] vx) = logn +mid kl P v Q i ). i q i X) i By our assumptio that the Q i form a cover, this gives the desired result, as ǫ 0 was arbitrary, as was our choice of the cover. By a completely parallel proof, we also immediately obtai the followig corollary. Corollary 5.2. Assume that X 1,...,X are draw i.i.d. from P v coditioal o V = v. Let N kl ǫ,p) deote the KL-coverig umber of a collectio P cotaiig the distributios over a sigle observatio) P v for all v V. The IV;X 1,...,X ) if ǫ 2 +logn kl ǫ,p) }. ǫ 0 50

3 Staford Statistics 311/Electrical Egieerig 377 With Corollary 5.2 ad Propositio 5.1 i place, we thus see that the global coverig umbers i KL-divergece gover the behavior of iformatio. We remark i passig that the quatity 5.1.3), ad its i.i.d. aalogue i Corollary 5.2, is kow as the idex of resolvability, ad it cotrols estimatio rates ad redudacy of codig schemes for ukow distributios i a variety of scearios; see, for example, Barro 1] ad Barro ad Cover 2]. It is also similar to otios of complexity i Dudley s etropy itegral cf. Dudley 3]) i empirical process theory, where the fluctuatios of a empirical process are govered by a tradeoff betwee coverig umber ad approximatio of idividual terms i the process. 5.2 Miimax bouds usig global packigs There is ow a four step process to provig miimax lower bouds usig the global Fao method. Our startig poit is to recall the Fao miimax lower boud i Propositio 2.12, which begis with the costructio of a set of poits θp v )} v V that form a 2δ-packig of a set Θ i some ρ-semimetric. With this iequality i mid, we perform the followig four steps: i) Boud the packig etropy. Give a lower boud o the packig umber of the set Θ with 2δ-separatio call this lower boud Mδ)). ii) Boud the metric etropy. Give a upper boud o the KL-metric etropy of the class P of distributios cotaiig all the distributios P v, that is, a upper boud o logn kl ǫ,p). iii) Fid the critical radius. Notig as i Corollary 5.2 that with i.i.d. observatios, we have IV;X 1,...,X ) if ǫ 2 +logn kl ǫ,p) }, ǫ 0 we ow balace the iformatio IV;X1 ) ad the packig etropy logmδ). To that ed, we choose ǫ ad δ > 0 at the critical radius, defied as follows: choose the ay ǫ such that ad choose the largest δ > 0 such that ǫ 2 logn kl ǫ,p), logmδ ) 4ǫ 2 +2log2 2N kl ǫ,p)+2ǫ 2 +2log2 2IV;X 1)+log2). We could have chose the ǫ attaiig the ifimum i the mutual iformatio, but this way we eed oly a upper boud o logn kl ǫ,p).) iv) Apply the Fao miimax boud. Havig chose δ ad ǫ as above, we immediately obtai that for the Markov chai V X 1 V, PV V) 1 IV;X 1,...,X )+log2 logmδ ) = 1 2, ad thus, applyig the Fao miimax boud i Propositio 2.12, we obtai M θp);φ ρ) 1 2 Φδ ). 51

4 Staford Statistics 311/Electrical Egieerig Example: o-parametric regressio I this sectio, we flesh out the outlie i the prequel to show how to obtai a miimax lower boud for a o-parametric regressio problem directly with packig ad metric etropies. I this example, we sketch the result, leavig explicit costat calculatios to the dedicated reader. Noetheless, we recover a aalogue of Theorem 4.4 o miimax risks for estimatio of 1-Lipschitz fuctios o 0, 1]. We use the stadard o-parametric regressio settig, where our observatios Y i follow the idepedet oise model 4.1.1), that is, Y i = fx i )+ε i. Lettig F := f : 0,1] R, f0) = 0, f is Lipschitz} be the family of 1-Lipschitz fuctios with f0) = 0, we have Propositio 5.3. There exists a uiversal costat c > 0 such that M F, ) := if sup f f F E f f f ] c ) σ 2 1/3, where f is costructed based o the idepedet observatios fx i )+ε i. The rate i Propositio 5.3 is sharp to withi factors logarithmic i ; a more precise aalysis of the upper ad lower bouds o the miimax rate yields M F, ) := if sup f f F E f f f ] σ 2 ) 1/3 log. See, for example, Tsybakov 4] for a proof of this fact. Proof Our first step is to ote that the coverig ad packig umbers of the set F i the l metric satisfy lognδ,f, ) logmδ,f, ) 1 δ ) To see this, fix some δ 0,1) ad assume for simplicity that 1/δ is a iteger. Defie the sets E j = δj 1),δj), ad for each v 1,1} 1/δ defie h v x) = 1/δ j=1 v j1x E j }. The defie the fuctio f v t) = t 0 h vt)dt, which icreases or decreases liearly o each iterval of width δ i 0,1]. The these f v form a 2δ-packig ad a 2δ-cover of F, ad there are 2 1/δ such f v. Thus the asymptotic approximatio 5.3.1) holds. TODO: Draw a picture Now, if for some fixed x 0,1] ad f,g F we defie P f ad P g to be the distributios of the observatios fx)+ε or gx)+ε, we have that D kl P f P g ) = 1 2σ 2fX i) gx i )) 2 f g 2 2σ 2, ad if P f is the distributio of the observatios fx i)+ε i, i = 1,...,, we also have D kl P f Pg ) 1 = 2σ 2fX i) gx i )) 2 2σ 2 f g 2. i=1 52

5 Staford Statistics 311/Electrical Egieerig 377 I particular, this implies the upper boud logn kl ǫ,p) 1 σǫ o the KL-metric etropy of the class P = P f : f F}, as lognδ,f, ) δ 1. Thus we have completed steps i) ad ii) i our program above. It remais to choose the critical radius i step iii), but this is ow relatively straightforward: by choosig ǫ 1/σ) 1/3, ad whece ǫ 2 /σ 2 ) 1/3, we fid that takig δ σ 2 /) 1/3 is sufficiet to esure that lognδ,f, ) δ 1 4ǫ 2 +2log2. Thus we have as desired. M F, ) δ 1 2 σ 2 ) 1/3 53

6 Bibliography 1] A. R. Barro. Complexity regularizatio with applicatio to artificial eural etworks. I Noparametric Fuctioal Estimatio ad Related Topics, pages Kluwer Academic, ] A. R. Barro ad T. M. Cover. Miimum complexity desity estimatio. IEEE Trasactios o Iformatio Theory, 37: , ] R. M. Dudley. Uiform Cetral Limit Theorems. Cambridge Uiversity Press, ] A. B. Tsybakov. Itroductio to Noparametric Estimatio. Spriger, ] Y. Yag ad A. Barro. Iformatio-theoretic determiatio of miimax rates of covergece. Aals of Statistics, 275): ,

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