AI中文摘要
我们研究经典问题:给定\(N\)个i.i.d.样本,构造分布均值的置信区间(CI),使得CI以至少\(1 - \delta\)的概率包含真实均值,其中\(\delta \in (0,1)\)。我们根据当样本量\(N_{\delta} \to \infty\)且\(\delta \to 0\)时任何CI的最小可达极限宽度,刻画了三种不同的学习机制。在第一种机制中,\(N_{\delta}\)增长慢于\(\log(1/\delta)\),任何CI的极限宽度等于分布支撑的宽度,排除了有意义的推断。在第二种机制中,\(N_{\delta}\)与\(\log(1/\delta)\)同阶,我们精确刻画了依赖于缩放常数的最小极限宽度。在第三种机制中,\(N_{\delta}\)增长快于\(\log(1/\delta)\),可实现完全学习,CI的极限宽度收缩到零,收敛到真实均值。我们证明,基于Kullback-Leibler(KL)散度的浓度不等式导出的CI在充分学习和完全学习机制下,对于单参数指数族和有界支撑分布族,达到了渐近最优性能,即获得了最小极限宽度。此外,这些结果可推广到单侧CI,只需适当调整宽度概念。最后,我们将结果推广到具有随机每样本成本的情形,受随机模拟器和云服务选择等实际应用启发。我们考虑成本预算\(C_{\delta}\)而非固定样本量,识别类似的学习机制并刻画最优CI构造策略。
英文摘要
We address the classical problem of constructing confidence intervals (CIs) for the mean of a distribution, given \(N\) i.i.d. samples, such that the CI contains the true mean with probability at least \(1 - \delta\), where \(\delta \in (0,1)\). We characterize three distinct learning regimes based on the minimum achievable limiting width of any CI as the sample size \(N_{\delta} \to \infty\) and \(\delta \to 0\). In the first regime, where \(N_{\delta}\) grows slower than \(\log(1/\delta)\), the limiting width of any CI equals the width of the distribution's support, precluding meaningful inference. In the second regime, where \(N_{\delta}\) scales as \(\log(1/\delta)\), we precisely characterize the minimum limiting width, which depends on the scaling constant. In the third regime, where \(N_{\delta}\) grows faster than \(\log(1/\delta)\), complete learning is achievable, and the limiting width of the CI collapses to zero, converging to the true mean. We demonstrate that CIs derived from concentration inequalities based on Kullback--Leibler (KL) divergences achieve asymptotically optimal performance, attaining the minimum limiting width in both sufficient and complete learning regimes for distributions in two families: single-parameter exponential and bounded support. Additionally, these results extend to one-sided CIs, with the width notion adjusted appropriately. Finally, we generalize our findings to settings with random per-sample costs, motivated by practical applications such as stochastic simulators and cloud service selection. Instead of a fixed sample size, we consider a cost budget \(C_{\delta}\), identifying analogous learning regimes and characterizing the optimal CI construction policy.