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Poster

SURF: A Simple, Universal, Robust, Fast Distribution Learning Algorithm

Yi Hao · Ayush Jain · Alon Orlitsky · Vaishakh Ravindrakumar

Poster Session 4 #1257

Abstract: Sample- and computationally-efficient distribution estimation is a fundamental tenet in statistics and machine learning. We present \SURF, an algorithm for approximating distributions by piecewise polynomials. \SURF is: simple, replacing prior complex optimization techniques by straight-forward empirical probability approximation of each potential polynomial piece through simple empirical-probability interpolation, and using plain divide-and-conquer to merge the pieces; universal, as well-known polynomial-approximation results imply that it accurately approximates a large class of common distributions; robust to distribution mis-specification as for any degree d8, it estimates any distribution to an 1 distance <3 times that of the nearest degree-d piecewise polynomial, improving known factor upper bounds of 3 for single polynomials and 15 for polynomials with arbitrarily many pieces; fast, using optimal sample complexity, running in near sample-linear time, and if given sorted samples it may be parallelized to run in sub-linear time. In experiments, \SURF outperforms state-of-the art algorithms.

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