Concept

Method 3: Weighted Bi-Criteria Aggregation between Fit and Complexity

Those methods compute a weighted bi-criteria aggregation between fit and complexity AB^(θ)=SB^(θ)+λCB^(θ)\mathcal{A}_{\hat{\mathcal{B}}}(\theta) =S_{\hat{\mathcal{B}}}(\theta) + \lambda C_{\hat{\mathcal{B}}}(\theta). We use the same notation θ^\hat{\theta} for the set of parameters that minimizes the score AB^(θ)\mathcal{A}_{\hat{\mathcal{B}}}(\theta) .

If AXY(θ)<AYX(θ)\mathcal{A}_{X\rightarrow Y}(\theta) < \mathcal{A}_{Y\rightarrow X}(\theta), it is decided that X → Y , otherwise it is decided that Y → X .

This bi-objective aggregation corresponds for example to cause-effect inference based on the MML principle. In this case, the total score is directly SB^(θ)+CB^(θ)S_{\hat{\mathcal{B}}}(\theta) + C_{\hat{\mathcal{B}}}(\theta), without any aggregation parameter λ . However this aggregation parameter is “implicitly” set in the chosen prior π ( θ ).

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Updated 2020-07-21

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Data Science