arXiv:2602.03049stat.MLcs.LG2026-02

统一单人与多人行为预测框架,实现稳定性和最优性双重保障

Unified Inference Framework for Single and Multi-Player Performative Prediction: Method and Asymptotic Optimality

  • 提出重复风险最小化方法估计行为稳定性
  • 新双步估计器达半参数效率极限且抗分布误设
  • 适合动态系统建模与决策优化的研究者

行为预测描述了预测模型自身会改变其要预测的数据分布,从而引发复杂反馈循环的环境。以往研究将单智能体与多智能体行为性视为不同现象,本文提出一个统一的统计推断框架,将前者作为后者特例。贡献有二:一是提出重复风险最小化(RRM)程序用于估计行为稳定性,并建立其渐近正态性与渐近有效性理论;二是引入结合再校准预测推断(RePPI)与重要性采样思想的新型双步插值估计器,进一步推导出底层分布参数及插值结果的中心极限定理。理论分析表明,该估计器达到半参数效率界限,在弱分布误设下仍具鲁棒性。本工作为动态行为环境中可靠估计与决策提供了原则性工具。

原文摘要 · Abstract (English)

Performative prediction characterizes environments where predictive models alter the very data distributions they aim to forecast, triggering complex feedback loops. While prior research treats single-agent and multi-agent performativity as distinct phenomena, this paper introduces a unified statistical inference framework that bridges these contexts, treating the former as a special case of the latter. Our contribution is two-fold. First, we put forward the Repeated Risk Minimization (RRM) procedure for estimating the performative stability, and establish a rigorous inferential theory for admitting its asymptotic normality and confirming its asymptotic efficiency. Second, for the performative optimality, we introduce a novel two-step plug-in estimator that integrates the idea of Recalibrated Prediction Powered Inference (RePPI) with Importance Sampling, and further provide formal derivations for the Central Limit Theorems of both the underlying distributional parameters and the plug-in results. The theoretical analysis demonstrates that our estimator achieves the semiparametric efficiency bound and maintains robustness under mild distributional misspecification. This work provides a principled toolkit for reliable estimation and decision-making in dynamic, performative environments.

行为预测统计推断效率边界

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