Active Sampling of Multiple Sources for Sequential Estimation
This work addresses a sequential estimation problem in statistics, offering incremental improvements by extending tractable analysis to multi-source settings.
The paper tackles the problem of actively sampling from multiple sources to sequentially estimate shared and private parameters with minimal samples, proposing an asymptotically optimal algorithm and demonstrating its efficacy through numerical experiments.
Consider $K$ processes, each generating a sequence of identical and independent random variables. The probability measures of these processes have random parameters that must be estimated. Specifically, they share a parameter $θ$ common to all probability measures. Additionally, each process $i\in\{1, \dots, K\}$ has a private parameter $α_i$. The objective is to design an active sampling algorithm for sequentially estimating these parameters in order to form reliable estimates for all shared and private parameters with the fewest number of samples. This sampling algorithm has three key components: (i)~data-driven sampling decisions, which dynamically over time specifies which of the $K$ processes should be selected for sampling; (ii)~stopping time for the process, which specifies when the accumulated data is sufficient to form reliable estimates and terminate the sampling process; and (iii)~estimators for all shared and private parameters. Owing to the sequential estimation being known to be analytically intractable, this paper adopts \emph {conditional} estimation cost functions, leading to a sequential estimation approach that was recently shown to render tractable analysis. Asymptotically optimal decision rules (sampling, stopping, and estimation) are delineated, and numerical experiments are provided to compare the efficacy and quality of the proposed procedure with those of the relevant approaches.