Optimal discovery with probabilistic expert advice
  We consider an original problem that arises from the issue of security analysis of a power system and that we name optimal discovery with probabilistic expert advice. We address it with an algorithm based on the optimistic paradigm and the Good-Turing missing mass estimator. We show that this strategy uniformly attains the optimal discovery rate in a macroscopic limit sense, under some assumptions on the probabilistic experts. We also provide numerical experiments suggesting that this optimal behavior may still hold under weaker assumptions. 
S\'ebastien Bubeck, Damien Ernst, Aur\'elien Garivier
math.OC cs.LG