提出可验证的算法判断多项分布置信集是否相交。
Exact Minimum-Volume Confidence Set Intersection for Multinomial Outcomes
- 利用对数似然比在对数几率坐标中构造半空间约束
- 对三分类问题实现可靠相交判定,支持容忍度控制
- 适用于A/B测试中置信集交叉的可信决策
置信集计算是数据科学和机器学习的核心,广泛用于A/B测试并支撑强化学习算法的运行与分析。在所有有效的多项分布参数置信集中,最小体积置信集(MVCs)是最优的,因其平均体积最小,但其定义为一个不连续且难以计算的精确p值的水平集。本文不直接刻画MVC的几何结构,而是研究一个实际相关的决策问题:给定两个观测到的多项分布结果,能否证明它们的MVCs相交?我们提出一种可验证、带容差感知的相交判定算法。该方法利用似然排序在对数几率坐标中诱导出半空间约束,实现参数空间的自适应几何划分,并在每个单元格上计算出p值的上下界。对于三分类情形,该方法能高效且严格地判定相交、不相交,或在容差范围内返回不确定结果。进一步证明了该方法可扩展至高维情形。结果表明,尽管MVCs具有不规则几何结构,仍可建立可靠的可验证决策程序,适用于A/B测试中的核心任务。
原文摘要 · Abstract (English)
Computation of confidence sets is central to data science and machine learning, serving as the workhorse of A/B testing and underpinning the operation and analysis of reinforcement learning algorithms. Among all valid confidence sets for the multinomial parameter, minimum-volume confidence sets (MVCs) are optimal in that they minimize average volume, but they are defined as level sets of an exact p-value that is discontinuous and difficult to compute. Rather than attempting to characterize the geometry of MVCs directly, this paper studies a practically motivated decision problem: given two observed multinomial outcomes, can one certify whether their MVCs intersect? We present a certified, tolerance-aware algorithm for this intersection problem. The method exploits the fact that likelihood ordering induces halfspace constraints in log-odds coordinates, enabling adaptive geometric partitioning of parameter space and computable lower and upper bounds on p-values over each cell. For three categories, this yields an efficient and provably sound algorithm that either certifies intersection, certifies disjointness, or returns an indeterminate result when the decision lies within a prescribed margin. We further show how the approach extends to higher dimensions. The results demonstrate that, despite their irregular geometry, MVCs admit reliable certified decision procedures for core tasks in A/B testing.
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