= 27d567bc2d48d9f40e9ccc20ea370b15)
paulfchristiano comments on (Subjective Bayesianism vs. Frequentism) VS. Formalism - Less Wrong
You are viewing a comment permalink. View the original post to see all comments and the full post content.
= 783df68a0f980790206b9ea87794c5b6)
Loading…= b715d02e85f7b3b4ae65ca3d3e450868)
Subscribe to RSS Feed
Powered by Reddit
= f037147d6e6c911a85753b9abdedda8d)
You are viewing a comment permalink. View the original post to see all comments and the full post content.
Comments (106)
Can you explain further? Casually, I consider results like compressed sensing and multiplicative weights to be examples of frequentist approaches (as do people working in these areas), which achieve their results in adversarial settings where no prior is available. I would be interested in seeing how Bayesian methods with improper priors recommend similar behavior.
I admit I'm not familiar with either of those... Can you make a simple example of an “adversarial setting where no prior is available”?
I let you choose some linear functionals, and then tell you the value of each one on some unknown sparse vector (compressed sensing).
We play an iterated game with unknown payoffs; you observe your payoff in each round, but nothing more, and want to maximize total payoff (multiplicative weights).
Put even more simply, what is the Bayesian method that plays randomly in rock-paper-scissors against an unknown adversary? Minimax play seems like a canonical example of a frequentist method; if you have any fixed model of your adversary you might as well play deterministically (at least if you are doing consequentialist loss minimization).
The minimax estimator can be related to Bayesian estimation through the concept of a "least-favorable prior".