arxivmath.STcs.LGstat.ML2026-07-02
Aggregation with Exponential Weights is Optimal in Expectation
Mikael Møller Høgsgaard, Patrick Rebeschini, Tobias Wegel
The aggregation with exponential weights (AEW) estimator is not fully understood in the basic setting of model selection aggregation with squared loss. In particular, whether it is minimax-rate optimal in expectation for large enough fixed temperatures and under random design has…