The Optimal Approximation Factor in Density Estimation.

Consider the following problem: given two arbitrary densities $q_1,q_2$ and a sample-access to an unknown target density $p$, find which of the $q_i$u0027s is closer to $p$ in total variation. A remarkable result due to Yatracos shows that this problem is tractable in the following sense: there exists an algorithm that uses $O(epsilon^{-2})$ samples from $p$ and outputs~$q_i$ such that with high probability, $TV(q_i,p) leq 3cdotmathsf{opt} + epsilon$, where $mathsf{opt}= min{TV(q_1,p),TV(q_2,p)}$. Moreover, this result extends to any finite class of densities $mathcal{Q}$: there exists an algorithm that outputs the best density in $mathcal{Q}$ up to a multiplicative approximation factor of 3. We complement and extend this result by showing that: (i) the factor 3 can not be improved if one restricts the algorithm to output a density from $mathcal{Q}$, and (ii) if one allows the algorithm to output arbitrary densities (e.g. a mixture of densities from $mathcal{Q}$), then the approximation factor can be reduced to 2, which is optimal. In particular this demonstrates an advantage of improper learning over proper in this setup. We develop two approaches to achieve the optimal approximation factor of 2: an adaptive one and a static one. Both approaches are based on a geometric point of view of the problem and rely on estimating surrogate metrics to the total variation. Our sample complexity bounds exploit techniques from {it Adaptive Data Analysis}.