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Prediction Using a Universal Algorithmic Prior Based on the Shortest Way of Describing Objects

Roughly fourty years ago Solomonoff started the theory of universal optimal induction based on the apparently harmless simplicity assumption that $P$ is computable [62]. While Equation (1) makes predictions of the entire future, given the past, Solomonoff [63] focuses just on the next bit in a sequence. Although this provokes surprisingly nontrivial problems associated with translating the bitwise approach to alphabets other than the binary one -- this was achieved only recently [20] -- it is sufficient for obtaining essential insights. Given an observed bitstring $x$, Solomonoff assumes the data are drawn according to a recursive measure $\mu$; that is, there is a program for a universal Turing machine that reads $x \in B^*$ and computes $\mu(x)$ and halts. He estimates the probability of the next bit (assuming there will be one), using the remarkable, well-studied, enumerable prior $M$ [62,77,63,15,31]

\begin{displaymath}
M(x) = \sum_{program~prefix~p~computes \atop output~starting~with~x} 2^{-l(p)}.
\end{displaymath} (2)

$M$ is universal, dominating the less general recursive measures as follows: For all $x \in B^*$,
\begin{displaymath}
M(x) \geq c_{\mu} \mu (x)
\end{displaymath} (3)

where $c_{\mu}$ is a constant depending on $\mu$ but not on $x$. Solomonoff observed that the conditional $M$-probability of a particular continuation, given previous observations, converges towards the unknown conditional $\mu$ as the observation size goes to infinity [63], and that the sum over all observation sizes of the corresponding $\mu$-expected deviations is actually bounded by a constant. Hutter (on the author's SNF research grant ``"Unification of Universal Induction and Sequential Decision Theory'') recently showed that the number of prediction errors made by universal Solomonoff prediction is essentially bounded by the number of errors made by any other predictor, including the optimal scheme based on the true $\mu$ [20].

Recent Loss Bounds for Universal Prediction. A more general recent result is this. Assume we do know that $p$ is in some set $P$ of distributions. Choose a fixed weight $w_q$ for each $q$ in $P$ such that the $w_q$ add up to 1 (for simplicity, let $P$ be countable). Then construct the Bayesmix $M(x) = \sum_q w_q q(x)$, and predict using $M$ instead of the optimal but unknown $p$. How wrong is it to do that? The recent work of Hutter provides general and sharp (!) loss bounds [21]:

Let $LM(n)$ and $Lp(n)$ be the total expected unit losses of the $M$-predictor and the p-predictor, respectively, for the first $n$ events. Then $LM(n)-Lp(n)$ is at most of the order of $\sqrt{Lp(n)}$. That is, $M$ is not much worse than $p$. And in general, no other predictor can do better than that! In particular, if $p$ is deterministic, then the $M$-predictor soon won't make any errors any more.

If $P$ contains all recursively computable distributions, then $M$ becomes the celebrated enumerable universal prior. That is, after decades of somewhat stagnating research we now have sharp loss bounds for Solomonoff's universal induction scheme (compare recent work of Merhav and Feder [33]).

Solomonoff's approach, however, is uncomputable. To obtain a feasible approach, reduce M to what you get if you, say, just add up weighted estimated future finance data probabilities generated by 1000 commercial stock-market prediction software packages. If only one of the probability distributions happens to be close to the true one (but you do not know which) you still should get rich.

Note that the approach is much more general than what is normally done in traditional statistical learning theory, e.g., [69], where the often quite unrealistic assumption is that the observations are statistically independent.


next up previous
Next: Super Omegas and Generalizations Up: The New AI: General Previous: More Formally
Juergen Schmidhuber 2003-11-27