PAC-Bayes Iterated Logarithm Bounds for Martingale Mixtures (1506.06573v1)

Abstract: We give tight concentration bounds for mixtures of martingales that are simultaneously uniform over (a) mixture distributions, in a PAC-Bayes sense; and (b) all finite times. These bounds are proved in terms of the martingale variance, extending classical Bernstein inequalities, and sharpening and simplifying prior work.