hunch_net hunch_net-2010 hunch_net-2010-413 knowledge-graph by maker-knowledge-mining

413 hunch net-2010-10-08-An easy proof of the Chernoff-Hoeffding bound


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Introduction: Textbooks invariably seem to carry the proof that uses Markov’s inequality, moment-generating functions, and Taylor approximations. Here’s an easier way. For , let be the KL divergence between a coin of bias and one of bias : Theorem: Suppose you do independent tosses of a coin of bias . The probability of seeing heads or more, for , is at most . So is the probability of seeing heads or less, for . Remark: By Pinsker’s inequality, . Proof Let’s do the case; the other is identical. Let be the distribution over induced by a coin of bias , and likewise for a coin of bias . Let be the set of all sequences of tosses which contain heads or more. We’d like to show that is unlikely under . Pick any , with say heads. Then: Since for every , we have and we’re done.


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1 Textbooks invariably seem to carry the proof that uses Markov’s inequality, moment-generating functions, and Taylor approximations. [sent-1, score-0.491]

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6 Let be the set of all sequences of tosses which contain heads or more. [sent-9, score-0.966]

7 Then: Since for every , we have and we’re done. [sent-12, score-0.047]


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