论文库

Model selection and hyperparameter tuning pose a central challenge in off-policy evaluation (OPE) because estimation errors in fitted $Q$-functions and occupancy ratios cannot be directly evaluated using held-out transition data. Existing Bellman-residual-based validation methods often require auxiliary regressions, while many minimax-based methods require optimization over separate critic classes. We propose pairwise Bellman validation (PBV), a family of penalized Bellman tournament methods that reduces validation to computing held-out sample averages. PBV constructs critics from pairwise candidate differences, on the log scale for occupancy ratios, and selects the candidate with the smallest worst-case penalized score. This construction approximates oracle critics given by $Q$-function errors and log ratios of candidate to true occupancy ratios, whose Bellman and adjoint Bellman moments control estimation error. Critic penalties account for approximation error under candidate-class misspecification. We establish finite-sample oracle inequalities relative to the best available candidate, even under candidate-class misspecification. For $Q$-function selection, unweighted PBV avoids importance weighting but requires a coercivity condition on a quadratic form induced by the Bellman operator. Importance-weighted PBV (IW-PBV) uses marginalized importance weighting to exploit Bellman contraction under the target-policy occupancy measure, avoiding this condition. For occupancy-ratio selection, adjoint PBV (A-PBV) exploits KL contraction of the adjoint Bellman operator to obtain oracle guarantees under the offline data law. On Hopper and DeepOPE, unweighted PBV is competitive with LSTD-Tournament, often achieving higher accuracy on Hopper, while importance weighting can further improve performance under controlled overlap.

Attention-based time series forecasters commonly group consecutive observations into patches. Patch length is known to have a substantial impact on forecasting performance, yet its selection remains largely empirical. We develop a theoretical framework that explains why patch length matters for forecasting accuracy and provides a principled basis for its selection. For linear state-space models, we derive an exact factorization of the forecasting coefficient matrix that separates forecast dynamics from filtering dynamics. We show that dominance of a single forecast component at long horizons does not generally imply a rank-one representation. This explains why longer horizons alone need not reduce representational complexity. We combine the factorization with estimation bounds to develop a patch-selection criterion that balances representation and estimation errors under temporal dependence. Our analysis establishes conditions under which balanced patching is justified and clarifies how predictive structure, head count, training sample size, and long-run dependence enter the selection criterion.

Model combination offers an alternative to selecting a single forecasting model, particularly when individual models are sensitive to random initialization and hyperparameter choices. We study online aggregation through Follow-the-Leader (FTL) and Hedge-type algorithms, with an application to ensembles of Multi-Frequency Echo State Networks (MFESNs) for macroeconomic forecasting. On the theoretical side, we derive Hoeffding- and Bernstein-type expected-regret bounds for FTL and decreasing Hedge under independent and $\varphi$-mixing expert losses. Under a positive gap between the best expert's expected loss and those of its competitors, the bounds are uniform in the number of forecasting rounds and exhibit logarithmic dependence on the number of experts. Monte Carlo experiments investigate the effects of temporal dependence and the separation between experts' expected losses. Empirically, we construct MFESN ensembles for forecasting U.S. quarterly GDP growth using mixed-frequency macroeconomic and financial indicators. The results show that adaptive aggregation, particularly FTL and AdaHedge, achieves substantial reductions in out-of-sample mean squared forecasting error relative to individual MFESN models and conventional forecast combinations.