Haili Zhang

Sharp KL Convex Aggregation under Arbitrary Misspecification

We determine the optimal high-probability excess Kullback–Leibler risk for proper convex aggregation under arbitrary misspecification. The excess is measured relative to the best convex mixture of a dictionary of M densities. For n ≥ 1, M ≥ 2, and failure probability 0 < δ ≤ 1/2,...