Given a finite collection of estimators or classifiers, we study the problem of model selection type aggregation, that is, we construct a new estimator or classifier, called aggregate, which is nearly as good as the best among them with respect to a given risk criterion. We define our aggregate by a simple recursive procedure which solves an auxiliary stochastic linear programming problem related to the original nonlinear one and constitutes a special case of the mirror averaging algorithm. We show that the aggregate satisfies sharp oracle inequalities under some general assumptions. The results are applied to several problems including regression, classification and density estimation.
A. Juditsky. P. Rigollet. A. B. Tsybakov. "Learning by mirror averaging." Ann. Statist. 36 (5) 2183 - 2206, October 2008. https://doi.org/10.1214/07-AOS546