Gabor Lugosi

Simon Briend, Luc Devroye, Gabor Lugosi

A uniform $k$-{\sc dag} generalizes the uniform random recursive tree by picking $k$ parents uniformly at random from the existing nodes. It starts with $k$ ''roots''. Each of the $k$ roots is assigned a bit. These bits are propagated by a noisy channel. The parents' bits are flipped with probability $p$, and a majority vote is taken. When all nodes have received their bits, the $k$-{\sc dag} is shown without identifying the roots. The goal is to estimate the majority bit among the roots. We identify the threshold for $p$ as a function of $k$ below which the majority rule among all nodes yields an error $c+o(1)$ with $c<1/2$. Above the threshold the majority rule errs with probability $1/2+o(1)$.

Caelan Atamanchuk, Luc Devroye, Gabor Lugosi

Let $G_n$ be a random geometric graph with vertex set $[n]$ based on $n$ i.i.d.\ random vectors $X_1,\ldots,X_n$ drawn from an unknown density $f$ on $\R^d$. An edge $(i,j)$ is present when $\|X_i -X_j\| \le r_n$, for a given threshold $r_n$ possibly depending upon $n$, where $\| \cdot \|$ denotes Euclidean distance. We study the problem of estimating the dimension $d$ of the underlying space when we have access to the adjacency matrix of the graph but do not know $r_n$ or the vectors $X_i$. The main result of the paper is that there exists an estimator of $d$ that converges to $d$ in probability as $n \to \infty$ for all densities with $\int f^5 < \infty$ whenever $n^{3/2} r_n^d \to \infty$ and $r_n = o(1)$. The conditions allow very sparse graphs since when $n^{3/2} r_n^d \to 0$, the graph contains isolated edges only, with high probability. We also show that, without any condition on the density, a consistent estimator of $d$ exists when $n r_n^d \to \infty$ and $r_n = o(1)$.

Gabor Lugosi, Eulalia Nualart

We study a continuous-time approximation of the stochastic gradient descent process for minimizing the population expected loss in learning problems. The main results establish general sufficient conditions for the convergence, extending the results of Chatterjee (2022) established for (nonstochastic) gradient descent. We show how the main result can be applied to the case of overparametrized neural network training.

Gabor Lugosi, Shahar Mendelson

We consider the problem of estimating the mean of a random vector based on $N$ independent, identically distributed observations. We prove the existence of an estimator that has a near-optimal error in all directions in which the variance of the one dimensional marginal of the random vector is not too small: with probability $1-δ$, the procedure returns $\whμ_N$ which satisfies that for every direction $u \in S^{d-1}$, \[ \inr{\whμ_N - μ, u}\le \frac{C}{\sqrt{N}} \left( σ(u)\sqrt{\log(1/δ)} + \left(\E\|X-\EXP X\|_2^2\right)^{1/2} \right)~, \] where $σ^2(u) = \var(\inr{X,u})$ and $C$ is a constant. To achieve this, we require only slightly more than the existence of the covariance matrix, in the form of a certain moment-equivalence assumption. The proof relies on novel bounds for the ratio of empirical and true probabilities that hold uniformly over certain classes of random variables.

Luc Devroye, Silvio Lattanzi, Gabor Lugosi et al.

We study the problem of estimating the common mean $μ$ of $n$ independent symmetric random variables with different and unknown standard deviations $σ_1 \le σ_2 \le \cdots \leσ_n$. We show that, under some mild regularity assumptions on the distribution, there is a fully adaptive estimator $\widehatμ$ such that it is invariant to permutations of the elements of the sample and satisfies that, up to logarithmic factors, with high probability, \[ |\widehatμ - μ| \lesssim \min\left\{σ_{m^*}, \frac{\sqrt{n}}{\sum_{i = \sqrt{n}}^n σ_i^{-1}} \right\}~, \] where the index $m^* \lesssim \sqrt{n}$ satisfies $m^* \approx \sqrt{σ_{m^*}\sum_{i = m^*}^nσ_i^{-1}}$.

Gabor Lugosi, Shahar Mendelson

We survey some of the recent advances in mean estimation and regression function estimation. In particular, we describe sub-Gaussian mean estimators for possibly heavy-tailed data both in the univariate and multivariate settings. We focus on estimators based on median-of-means techniques but other methods such as the trimmed mean and Catoni's estimator are also reviewed. We give detailed proofs for the cornerstone results. We dedicate a section on statistical learning problems--in particular, regression function estimation--in the presence of possibly heavy-tailed data.

Gabor Lugosi, Abbas Mehrabian

We study multiplayer stochastic multi-armed bandit problems in which the players cannot communicate and if two or more players pull the same arm, a collision occurs and the involved players receive zero reward. We consider two feedback models: a model in which the players can observe whether a collision has occurred and a more difficult setup when no collision information is available. We give the first theoretical guarantees for the second model: an algorithm with a logarithmic regret, and an algorithm with a square-root regret type that does not depend on the gaps between the means. For the first model, we give the first square-root regret bounds that do not depend on the gaps. Building on these ideas, we also give an algorithm for reaching approximate Nash equilibria quickly in stochastic anti-coordination games.

Nicolò Cesa-Bianchi, Pierre Gaillard, Gabor Lugosi et al.

Mirror descent with an entropic regularizer is known to achieve shifting regret bounds that are logarithmic in the dimension. This is done using either a carefully designed projection or by a weight sharing technique. Via a novel unified analysis, we show that these two approaches deliver essentially equivalent bounds on a notion of regret generalizing shifting, adaptive, discounted, and other related regrets. Our analysis also captures and extends the generalized weight sharing technique of Bousquet and Warmuth, and can be refined in several ways, including improvements for small losses and adaptive tuning of parameters.