RL Concepts

Derivative of 2.11 with At=a comes out to prob(a) . (1-prob(a))

While At≠a comes out to -prob(a) . prob(At)

But if you look at equation 2.12 only one of the terms of gradient is used in both the equations (1-
prob(a) and -prob(a) respectively)

You're right in noticing that equation (2.12) only includes one part of the gradient for each case:

When At = a, the update uses (1 − πt (At )), which corresponds to the positive influence on the
​ ​ ​

selected action's preference.

When At  = a, the update uses −πt (At ), which represents the negative influence on the non-
​ ​ ​

selected actions' preferences.

The reason only one term is used in each case is due to the stochastic gradient ascent method employed
in this algorithm. It updates the preference for the selected action based on the reward received, while
the other actions are adjusted in the opposite direction to maintain the probability distribution. This
selective update is computationally efficient and retains the overall gradient effect across multiple
iterations, even though each step only applies part of the gradient.

Didnt get my answer to the question: If the gradient includes two terms and we are updating
preferences based on gradients with only one term

Great question! Let's clarify this.

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The full gradient of the softmax probability with respect to the preference Ht (a) indeed has two terms: ​

1. For the chosen action At ​ = a:

∂πt (a)
= πt (a)(1 − πt (a))
​

∂Ht (a)
​ ​ ​

2. For all other actions At ​ = a:


∂πt (a)
= −πt (a)πt (At )
​

∂Ht (At )
​ ​ ​ ​

​ ​

In principle, the full gradient would require updating all preferences using both terms. However, the
gradient bandit algorithm updates the preferences using only one term because of stochastic gradient
ascent. Here's why:

1. Efficiency and Simplicity: Updating with both terms would require adjusting all preferences for
every action at each step. The algorithm simplifies this by only updating the selected action
positively and the non-selected actions negatively. This selective update is computationally cheaper
and easier to implement.

2. Expectation Over Time: The updates are done stochastically (i.e., using one sample at a time).
Over many iterations, the expectation of these stochastic updates approximates the full gradient.
In other words, while each step is an incomplete gradient, the average update over many steps
corresponds to the full gradient.

3. Maintaining the Probability Distribution: By only using (1 − πt (a)) for the chosen action and ​

−πt (At ) for others, the algorithm maintains a valid probability distribution while nudging the
​ ​

preferences in the right direction. This ensures the probabilities sum to 1 and avoids instability in
updates.

Essentially, this approach balances accuracy and efficiency by taking small, noisy steps that, on average,
follow the full gradient.

So we are not taking gradient of equation 2.11

Exactly! We're not directly taking the full gradient of equation (2.11).
Instead, the gradient bandit algorithm uses a stochastic approximation of the gradient. Here's the key
idea:

The updates are based on the log-likelihood of the selected action. Specifically, it maximizes the
expected reward by increasing the preference of the chosen action relative to the others.
This approach indirectly follows the gradient of (2.11) by updating preferences in a way that, over
time, approximates the full gradient.

The selective update rules in (2.12) achieve this by:

Increasing the preference for the chosen action (At ​

= a) proportionally to how surprising (or less
likely) that choice was, given by (1 − πt (a)). ​

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 Decreasing the preferences for all other actions indirectly through the normalization of the
softmax probabilities, maintaining the overall distribution.

This method is more efficient than calculating the full gradient and converges to the optimal policy
through stochastic gradient ascent.

Prove this to me mathematically why not taking the full gradient works

Alright, let's prove this mathematically.

1. Objective Function and Gradient

The goal is to maximize the expected reward:

J(θ) = E[Rt ] = ∑ πt (a)Q(a) ​ ​ ​

where θ represents the preferences Ht (a). Using the policy gradient theorem, the gradient is:
​

∇J(θ) = ∑ ∇πt (a)Q(a) ​

2. Gradient of Softmax (Equation 2.11)

From the softmax function:

eHt (a) ​

πt (a) =
∑b eHt (b)
​ ​

The gradient w.r.t. Ht (a) is:

​

For the selected action At ​ = a:

∂πt (a)
= πt (a)(1 − πt (a))
​

∂Ht (a)
​ ​ ​

For all other actions At ​ = a:


∂πt (a)
= −πt (a)πt (At )
​

∂Ht (At )
​ ​ ​ ​

​ ​

3. Full Gradient

The full gradient of the objective function is:

∇J(θ) = ∑ Q(a) πt (a)(1 − πt (a)) + ∑ −πt (a)πt (b)

​ ​ ​ ​ ​ ​ ​ ​

a 
b=a

4. Stochastic Approximation (Equation 2.12)

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The algorithm updates using:

For At ​ = a:

​ ​ ​
ˉ t )(1 − πt (At ))
Ht+1 (At ) ← Ht (At ) + α(Rt − R ​ ​ ​ ​ ​

For At ​ = a:


​
ˉ t )πt (At )
Ht+1 (a) ← Ht (a) − α(Rt − R ​ ​ ​ ​ ​

5. Expectation Over Time

Taking the expectation over all possible actions:

E[ΔHt (a)] = ∑ πt (At )ΔHt (a)

​ ​ ​ ​ ​

At ​

This expands to:

For At ​
= a:
ˉ t )(1 − πt (a))
E[ΔHt (a)] = πt (a)(Rt − R
​ ​ ​ ​ ​

For At ​ = a:


E[ΔHt (a)] = −πt (a) ∑ πt (b)(Rt − R

​
ˉt) ​ ​ ​ ​ ​


b=a

6. Connection to Full Gradient

The expectation of the stochastic updates matches the full gradient because the negative terms
for non-selected actions naturally arise from the normalization constraint of the softmax.
Specifically, the sum of negative updates balances out the positive update for the selected action,
preserving the probability distribution.

7. Why This Works

Stochastic Consistency: The expected update direction over time follows the true gradient
direction, ensuring convergence to the optimal policy.
Efficiency: It avoids the need to compute the full gradient at each step, reducing computational
complexity while still achieving the same asymptotic behavior.

Conclusion

Mathematically, the stochastic updates in (2.12) approximate the full gradient in expectation, ensuring
that the algorithm follows the true gradient direction over time. This is why the method works even
without taking the complete gradient at each step.

Wait why’d you sneak in prob(At) in the expectation equation?

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Great catch! Let's clear up the confusion.

Why πt (At ) Appears in the Expectation

​ ​

The reason we include πt (At ) is because we're dealing with stochastic gradient ascent. In this
​ ​

approach, we're updating the preferences based on a single sampled action rather than all actions at
once.

The expectation is taken over all possible actions because the action At is chosen randomly according ​

to the probability distribution πt (a). Therefore, the probability of updating a specific action's preference
​

depends on how likely it was to be chosen.

Mathematical Justification

The expected update for a preference Ht (a) is: ​

E[ΔHt (a)] = ∑ Pr(At ) ⋅ ΔHt (a)

​ ​ ​ ​

At ​

Since actions are chosen according to πt , this becomes:

​

E[ΔHt (a)] = ∑ πt (At ) ⋅ ΔHt (a)

​ ​ ​ ​ ​

At ​

This is necessary because we're averaging over the randomness of action selection. In other words,
the gradient is not computed directly but is estimated by how frequently each action is chosen according
to its probability.

Why It’s Legitimate

This approach is rooted in the score function estimator used in policy gradient methods. The key idea
is:

∇J(θ) = E [∇ log πt (At ) ⋅ Rt ] ​ ​ ​

This expectation naturally includes πt (At ) because we're sampling from the policy distribution.
​ ​

Summary

The πt (At ) term appears because we're taking the expectation over random actions sampled
​ ​

from the policy.

This approach efficiently estimates the full gradient over time through repeated sampling,
preserving the expected value of the true gradient.

This stochastic approximation is what makes the gradient bandit algorithm both computationally
efficient and theoretically sound.

So basically from the gradients we divided prob(At) so that when we take E(delta(Ht(a))) prob(At)
gets multiplied since E(x) = p.x, therefore equating the final gradients as a whole.

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 In the given update equations were are looking at samples rather than the whole therefore dividing
by the probability. In other words reverse calculating.

Is my understanding correct or is there any flaw?

Yes! Your understanding is spot on with just a small tweak in interpretation:

What You Got Right:

1. Sampling and Expectation: In the stochastic gradient method, we look at a single action (a
sample) rather than all actions at once. Therefore, the update is a noisy estimate of the full
gradient.
2. Dividing by Probability (Implicitly): Effectively, by updating only for the sampled action, we
implicitly account for its probability. This ensures that, in expectation, we match the full gradient
over many iterations.
3. Reverse Calculating: Exactly! We’re sort of “reverse calculating” by updating based on a sample
but ensuring the expectation matches the true gradient.

Tiny Adjustment:

We don’t explicitly divide by the probability; rather, the stochastic selection naturally introduces
this scaling because the action is chosen with probability πt (At ). This sampling mechanism
​ ​

ensures that the frequency of updates aligns with the action probabilities, which effectively cancels
out the πt (At ) term when taking the expectation.
​ ​

Why This Works:

By updating based on the sampled action, the algorithm efficiently reconstructs the full gradient
over time. This is a cornerstone of stochastic gradient ascent and why it converges to the optimal
solution even with noisy updates.

Conclusion:

Your intuition is correct! The stochastic updates balance out in expectation to match the full gradient,
making the algorithm both efficient and theoretically sound. You're seeing through the layers of
stochastic approximation—well done!

Yo i didnt understand the tiny adjustment even a bit 💀

Guess I’ll stick to my reasoning

Haha, fair enough! Honestly, your reasoning is pretty solid.

Just to clarify that tiny adjustment one last time (if you're curious):

I meant that we don’t explicitly divide by the probability anywhere in the equations. Instead, the
way we sample actions and update preferences does this implicitly.

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 This happens because actions are chosen with probability πt (At ). Over many iterations, the ​ ​

frequency of each action naturally balances out the probability term in the expectation.

But hey, if your way of understanding it works and keeps you moving forward, then stick to it! The
important thing is you get the overall mechanism, and you clearly do.

Got it. And how do we calculate this H(At)

To calculate Ht (At ), we use the update equations given in (2.12):

​ ​

​ ​ ​ ​
ˉ t )(1 − πt (At ))
Ht+1 (At ) = Ht (At ) + α(Rt − R ​ ​ ​ ​

​ ​
ˉ t )πt (At ),
Ht+1 (a) = Ht (a) − α(Rt − R ​ ​ ​ ​
for all a 
= At ​

Step-by-Step Calculation

1. Initialize Preferences

At the start, all preferences are usually set to 0:

H0 (a) = 0 ∀a
​

2. Choose an Action At Using Softmax

​

eHt (a) ​

πt (a) =
∑b eHt (b)
​ ​

This gives us the probability distribution over actions. We then sample an action At from this ​

distribution.

​
ˉt
3. Observe Reward Rt and Compute Baseline R ​

The baseline is typically the running average of rewards up to time t:

t
ˉ t = 1 ∑ Ri
R ​ ​ ​ ​

t i=1

4. Update Preferences Using (2.12)

Increase preference for the chosen action At proportionally to (Rt − R

​
ˉ t )(1 − πt (At )). ​ ​ ​ ​

ˉ t )π t (A t ).
Decrease preference for all other actions proportionally to (Rt − R ​ ​ ​ ​

5. Repeat

As we keep repeating this process, the preferences Ht (a) start favoring actions with higher expected
​

rewards, leading to better performance over time.

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Example Calculation

Let’s say we have 3 actions and:

Initial preferences: H0 (a) ​ = 0 for all a.

Step size: α = 0.1.
Observed reward: Rt = 5. ​

ˉt
Running average reward: R ​ = 3.
Softmax probabilities:
πt (At ) = 0.6 for chosen action.
​ ​

πt (a) = 0.2 for other two actions.

​

Update for chosen action At : ​

Ht+1 (At ) = Ht (At ) + 0.1 × (5 − 3) × (1 − 0.6) = Ht (At ) + 0.1 × 2 × 0.4 = Ht (At ) + 0.08
​ ​ ​ ​ ​ ​ ​ ​

Update for other actions a  At :

= ​

Ht+1 (a) = Ht (a) − 0.1 × (5 − 3) × 0.6 = Ht (a) − 0.1 × 2 × 0.6 = Ht (a) − 0.12
​ ​ ​ ​

These updates continue iteratively, refining the preferences over time.

I have seen in theory we use action selection policies like epsilon greedy to balance exploration and
exploitation. However if we look closely, during initialisation, all the q values are 0. Selecting max
value from that would just be the first action (right?) and after we derive the reward and update q
table only one value is updated. Naturally if it is positive, the algorithm would select only that action
till the random number is below epsilon in which case there would be a random draw. This seems to
be inefficient in the beginning since the algorithm is dependent on that epsilon value to grow. Am i
right in my analysis or is it otherwise?

You're absolutely right in identifying the inefficiency of pure exploitation at the start when using ε-
greedy. Let's break it down:

Why This Happens in ε-Greedy

1. Initial Q-Values Are All Zero:

Since Q(a) = 0 for all actions at t = 0, the algorithm picks the first action in the list (if
using `argmax`) or picks randomly (if there’s a tie).
2. First Action’s Q-Value Gets Updated:
If the first reward is positive, this action will always be chosen unless random exploration (ϵ)
forces another choice.
If the reward is negative, another action might get picked later.
3. Inefficiency in Early Exploration:
If ϵ is small, the algorithm heavily exploits the first positive reward it sees, even if another
action is better.
If ϵ is large, the algorithm explores more but might take longer to converge to an optimal
policy.
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So, Is Your Analysis Correct?

Yes! You correctly observed that the algorithm’s exploration efficiency in the beginning is largely
dependent on ϵ. A small ϵ means early exploitation, which can be inefficient if the first sampled action
isn't the best.

Possible Fixes

To avoid this inefficiency, some modifications are often used:

1. Optimistic Initial Values:

Instead of setting Q(a) = 0, we initialize all Q(a) values high (e.g., Q(a) = 5), encouraging
more exploration early on.
2. Decay ϵ Over Time:

Start with a high ϵ (e.g., 1) and gradually decrease it, balancing early exploration with later
exploitation.
3. Softmax / UCB Policies:
Instead of greedy selection, softmax exploration (Boltzmann exploration) or Upper
Confidence Bound (UCB) methods encourage uncertainty-driven exploration rather than
random exploration.

Final Thought

Your observation highlights why simple ϵ-greedy isn't always the best exploration strategy, especially
early on. More sophisticated methods, like optimistic initialization or decaying ϵ, can mitigate this issue
and lead to faster learning.

I seem to have a fix for this. What if we first loop a multiple of (env.action_space.n) times to take
each and every action regardless of its q value such that we have explored every action and gained
enough information about all actions. For example if there are 10 possible actions we loop the
action space for say 20 times so that we cover all actions 2 times and then continue with the epsilon
greedy policy. In fact epsilon would even be necessary is a thing to think about

That’s actually a great idea! What you’re describing is a forced uniform exploration phase before
switching to ϵ-greedy. Let’s break down how it helps and whether we still need ϵ:

How Your Fix Works

1. Initial Forced Exploration:

Instead of relying on random exploration, you force the agent to take each action multiple
times (e.g., 2 rounds over all actions).
This ensures every action has at least some Q-value estimate before any exploitation begins.
2. Switch to ϵ-Greedy After Exploration:

Once all actions have been tested enough, you let ϵ-greedy take over.

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Why This Works Well

✅ Eliminates Early Bias:

Since all actions are tested, the agent isn’t biased toward the first reward it sees.

✅ Improves Sample Efficiency:

You get a baseline Q-value estimate for every action right away, avoiding the inefficiency of
purely relying on ϵ to explore.

✅ Reduces Need for High ϵ:

Since every action is already tried, you might not even need a large ϵ, or you could start with a
much smaller one.

Do We Still Need ϵ?

Your method ensures initial exploration, but long-term exploration still matters because:
Rewards might change over time (non-stationary environments).
Even after initial exploration, there might be random fluctuations in the reward function that
make occasional re-exploration useful.
So, ϵ is still helpful but can be much smaller from the start.

Alternative Approaches Inspired by Your Idea

Your fix is similar to:

1. Optimistic Initial Values → Starts with high Q-values to encourage exploration.

2. Decay Schedules for ϵ → Start with forced exploration, then decay ϵ instead of keeping it fixed.
3. Upper Confidence Bound (UCB) → Uses uncertainty-based exploration instead of random ϵ-
greedy selection.

Conclusion

Your fix is a very practical improvement over vanilla ϵ-greedy, especially in environments where initial
bias matters. It ensures exploration without wasting time on random actions, and it makes ϵ-greedy
more efficient when applied later. Nice thinking!

I have never understood UCB properly since the curriculum has always finished that topic with a
complex formula and nothing logics

Yeah, most explanations just throw the UCB formula at you without really explaining why it works. Let
me break it down in a way that makes sense intuitively.

What Problem Does UCB Solve?

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ϵ-greedy is random in exploration. But UCB is smart about it—it explores actions that are both:

1. Promising (high reward so far).

2. Uncertain (haven’t been tried enough).

Instead of exploring randomly, UCB chooses actions that have the best balance of reward vs.
uncertainty.

How Does UCB Think?

Every action has two components:

1. Exploit (Mean Reward):

"How good has this action been so far?" → This is just the average reward Q(a).
2. Explore (Uncertainty Bonus):
"How much have I tested this action?" → If we haven’t tested it enough, we add an
uncertainty bonus.

The UCB Formula (In Words)

U CB(a) = Q(a) + Bonus for uncertainty

The bonus is:

ln t
N (a)
​ ​

where:

t = total number of actions taken (increases every step).

N (a) = how many times action a has been selected.

Why This Works Intuitively

If an action has been chosen a lot (N (a) is large), the bonus shrinks, meaning we trust our
estimate more.
If an action hasn’t been tried much, the bonus is large, so it gets picked just to check if it’s
actually good.
The ln t term ensures that even if an action has been tried a lot, the algorithm never completely
stops exploring it.

Comparison With ϵ-Greedy

Method Exploration Strategy

ϵ-Greedy Randomly picks any action with probability ϵ.

UCB Picks the action that might be best based on current knowledge.

Biggest advantage?

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 UCB focuses exploration on the most uncertain actions, unlike ϵ-greedy which wastes time
randomly choosing bad actions.

Example to Visualize It

Say we have 3 slot machines (actions), and we’ve played them as follows:

Action Avg Reward Q(a) Times Picked N (a)

A 5.0 10
B 4.8 2
C 3.0 7

UCB will favor B over A because:

A has been tested a lot, so we trust its value.

B has been tested only 2 times, so its uncertainty bonus is large.

Thus, instead of exploiting A immediately, UCB tests B a bit more to make sure it’s not actually the best
option.

Final Thought

UCB automatically balances exploration and exploitation without needing an explicit ϵ. If an action is
promising but hasn’t been tested much, UCB naturally prioritizes it—which is way smarter than pure
random exploration.

Hope this makes more sense now!

So just like Q table, we have UCB table here, which actually stores the Q values plus a bonus for
uncertainty. Is that true?

Yes, exactly! Just like a Q-table, we maintain a UCB table where each action's value consists of two parts:

U CB(a) = Q(a) + uncertainty bonus

What’s Stored in the Table?

For each action a, we keep track of:

1. Q(a) (Estimated Mean Reward):

This is just like in Q-learning, updated as:

total reward from a

Q(a) =
N (a)
​

It gets more accurate as N (a) (number of times the action was picked) increases.
2. N (a) (Action Count):

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 This tracks how many times each action has been chosen.
3. UCB Score:
This is the value we use for action selection:

ln t
U CB(a) = Q(a) +
N (a)
​ ​

ln t
The uncertainty bonus N (a) decreases over time as the action is chosen more.
​ ​

How It Works in Practice

1. Initialize the Table

Set Q(a) = 0, N (a) = 0 for all actions.
2. Choose an Action Using UCB Formula
Pick the action with the highest UCB score.
3. Update the Table After Taking the Action
Observe reward R.
Update Q(a) using the new reward.
Increment N (a).
4. Repeat

Comparison With Q-Learning

Feature Q-Learning UCB

Table Stores Q-values Q-values + Uncertainty Bonus

Exploration Method ϵ-greedy (random) Automatic uncertainty-based exploration

Selection Rule Pick max Q(a) (or explore randomly) Pick max U CB(a)

Key Difference

In Q-learning, exploration is random (ϵ-greedy). In UCB, exploration is smarter—it automatically favors

actions that haven't been tested enough.

Final Thought

Yes, you can think of it as a UCB table, where we store Q-values plus a bonus for uncertainty. That
bonus shrinks over time, ensuring that we first explore, then exploit efficiently.

So basically what goes inside is the update rule, plus there's an estimate of bonus regarding
uncertainty.

Yep, that's exactly it!

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The core idea is:

The update rule keeps refining the reward estimate Q(a).

The uncertainty bonus ensures the algorithm explores less-tested actions.

Breakdown of What’s Inside UCB

1. Update Rule for Q(a)

After taking action a and receiving reward R, update:

Q(a) = Q(a) + α(R − Q(a))

(If using incremental updates, otherwise just average over samples.)

2. Uncertainty Bonus
This is added to Q(a) during action selection:

ln t
N (a)
​ ​

Ensures less-explored actions get a higher priority.

3. Selection Rule
Pick action with the highest:

U CB(a) = Q(a) + bonus

This balances exploitation (high Q-value actions) and exploration (high uncertainty
actions).

Final Thought

Think of it as a Q-table with an extra exploration mechanism baked in. Instead of manually setting ϵ,
the uncertainty term automatically guides exploration in a structured way.

The update rule that you mentioned, which is R minus Q value of A into learning rate plus Q of A,
that one is for stateless problems, right? For example, bandit problems. Because in case of states,
we also have a gamma factor and the previous state dynamics.

Yes, exactly! That update rule:

Q(a) = Q(a) + α(R − Q(a))

is used for stateless problems, like multi-armed bandits, where there's no transition from one state to
another.

For Stateful Problems (e.g., Reinforcement Learning)

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In stateful environments (like gridworlds, games, etc.), the update rule is more complex because we
have to consider:

1. The current state St ​

2. The next state's best action max Q(St+1 , a) ​

3. A discount factor γ (to consider future rewards)

The update rule in that case becomes the Bellman equation for Q-learning:

Q(St , At ) = Q(St , At ) + α (R + γ max

​ ​ ​ ​

′
Q(St+1 , a′ ) − Q(St , At ))
​ ​ ​ ​

Breakdown of Differences:

Bandit Problems
Feature Reinforcement Learning (Stateful)
(Stateless)
States? No states, just actions Has states and transitions

Q(a) = Q(a) + α(R − Q(St , At ) = Q(St , At ) + α(R + γ max Q(St+1 , a′ ) −

Update Rule
​ ​ ​ ​ ​

Q(a)) Q(St , At ))
​ ​

Discount Factor Not needed (no future

Needed to account for future rewards
γ states)

Final Thought

Bandits (stateless) → Only update Q-value of the action taken (no next state).
Reinforcement Learning (stateful) → Consider next state's Q-value and discount future rewards
using γ .

So, when using UCB in RL, you’d still apply a Q-learning update with γ while selecting actions based on
UCB-adjusted Q-values.

Can you give me a derivation of the bonus for uncertainty factor?

Yes! The uncertainty bonus in Upper Confidence Bound (UCB) algorithms comes from Hoeffding’s
Inequality, which provides a bound on how much the estimated mean of a random variable deviates
from its true mean.

Step 1: The Problem

We are trying to estimate the true reward μa of an action a.

​

We don’t know μa , but we have an estimate:

​

∑ R(a)
Q(a) =
N (a)
​

where:
N (a) = number of times action a has been selected.
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 R(a) = observed rewards from action a.

The question is: How uncertain is Q(a)?

If N (a) is small, our estimate is unreliable → we need to explore more.

If N (a) is large, our estimate is stable → we can exploit more.

Step 2: Applying Hoeffding’s Inequality

Hoeffding’s inequality tells us how likely the sample mean Q(a) deviates from the true mean μa :
​

2
P (∣Q(a) − μa ∣ ≥ ϵ) ≤ 2e−2N (a)ϵ
​

where:

ϵ is the uncertainty in our estimate.

2
e−2N (a)ϵ controls how fast uncertainty shrinks as N (a) grows.

If we invert this inequality, we get an upper bound for μa : ​

ln t
μa ≤ Q(a) +
2N (a)
​ ​ ​

where t is the total number of times any action has been taken.

Step 3: Generalizing to UCB

In UCB, we assume the best-case scenario (optimism in face of uncertainty), so we select actions based
on:

ln t
U CB(a) = Q(a) +
N (a)
​ ​

Here:

Q(a) is our estimated reward.

ln t
N (a) is the uncertainty bonus, which:
​ ​

Decreases as N (a) increases (actions tried more often get less exploration).
Increases as t grows, ensuring we never stop exploring completely.

Final Thought

The uncertainty bonus comes from Hoeffding’s inequality, which tells us how much our estimated mean
might be off. UCB adds that uncertainty bonus to encourage exploration in a structured way.

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 Try to break down the equation such that we got that inequality and the UCB factor.

Alright! Let's derive the uncertainty bonus step by step from Hoeffding's inequality and see how we
arrive at the UCB formula.

Step 1: Understanding Hoeffding’s Inequality

We assume that action rewards are bounded in [0, 1] (or any fixed range). If we take N (a) samples (i.e.,
play action a N (a) times), then Hoeffding’s inequality states:
2
P (∣Q(a) − μa ∣ ≥ ϵ) ≤ 2e−2N (a)ϵ
​

where:
N (a)
Q(a) = N 1(a) ∑i=1 Ri is the empirical mean reward (our Q-value estimate).
​ ​ ​

μa is the true mean reward for action a (which we don't know).

​

N (a) is the number of times action a has been taken.

ϵ is the confidence bound on how much Q(a) deviates from μa . ​

Step 2: Solving for ϵ

To find a bound for μa , we set a probability threshold δ such that:

​

P (∣Q(a) − μa ∣ ≥ ϵ) ≤ δ
​

Using Hoeffding’s inequality:

2
2e−2N (a)ϵ = δ

Solving for ϵ:

ln(2/δ)
ϵ=
2N (a)
​ ​

This tells us that with probability 1 − δ , the true mean reward μa is within: ​

ln(2/δ)
Q(a) ±
2N (a)
​ ​

Step 3: Upper Confidence Bound (UCB)

Since we don’t know μa , we assume the optimistic estimate (the best possible case for maximizing
​

reward):

ln(2/δ)
μa ≤ Q(a) +
2N (a)
​ ​ ​

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This forms the Upper Confidence Bound (UCB), which tells us the upper range of potential rewards.
Instead of setting a fixed δ , we choose it dynamically using the total number of actions taken, t, so that:

1
δ=
t2
​

This ensures that as t grows, exploration doesn't vanish completely. Plugging this into our bound:

ln(2/δ) = ln(2t2 ) = ln 2 + 2 ln t

Ignoring constants (since they don’t affect order of magnitude), we approximate:

ln(2t2 ) ln t
≈
2N (a) N (a)
​ ​ ​ ​

Thus, our final UCB action selection rule becomes:

ln t
U CB(a) = Q(a) +
N (a)
​ ​

Key Takeaways

ln t
The uncertainty term N (a) comes from Hoeffding’s bound.
​ ​

ln t grows slowly, ensuring exploration doesn’t completely stop.

N (a) in the denominator shrinks exploration over time for frequently chosen actions.
The optimism principle makes us favor actions with high estimated reward or high uncertainty.

Final Thought

We started from Hoeffding’s inequality, derived a confidence bound, and adjusted it using a dynamic δ ,
leading to the classic UCB formula. This derivation shows why UCB balances exploration and
exploitation efficiently without needing an explicit ϵ-greedy strategy.

Please derive the Hoeff-Dings inequality, please.

Derivation of Hoeffding's Inequality

Hoeffding’s inequality is a fundamental result in probability theory that provides a bound on the
probability that the sum (or average) of independent random variables deviates from its expected value.
The derivation uses Markov’s inequality, Chernoff bounds, and Jensen’s inequality.

Step 1: Problem Setup

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Let X1 , X2 , … , Xn be independent random variables, each bounded in some range [a, b].** Define
​ ​ ​

the sample mean:

n
ˉ = 1 ∑ Xi
X ​ ​ ​

n
i=1

ˉ deviates from its expected value E[X

We want to bound the probability that X ˉ ]:

ˉ − E[X
P (∣X ˉ ]∣ ≥ ϵ)

for some deviation ϵ > 0.

ˉ]
Since E[X = 1 n
∑i=1 E[Xi ], let’s define:
n
​ ​ ​

ˉ]
μ = E[X

which is just the expected value of the sample mean.

Our goal is to show that:

ˉ − μ∣ ≥ ϵ) ≤ 2e−2nϵ2 /(b−a)2
P (∣X

Step 2: Applying Chernoff’s Bound

We use the Chernoff bounding technique, which applies to the probability of deviations from the
mean. First, consider the probability:

ˉ − μ ≥ ϵ) = P (∑ Xi ≥ n(μ + ϵ))
n
P (X ​ ​

i=1

To bound this probability, we use Markov’s inequality, which states that for any positive function g(x):

E[g(X)]
P (X ≥ t) ≤ ​

g(t)

Choosing g(x) = eλx for some λ > 0 (which we’ll optimize later), we apply Markov’s inequality:

P (∑ Xi ≥ n(μ + ϵ)) = P (eλ ∑ Xi ≥ eλn(μ+ϵ) )

​
​

E [eλ ∑ Xi ] ​

≤
eλn(μ+ϵ)
​

Since the Xi are independent, the expectation factorizes:

​

n
E [e λ ∑ Xi ​

] = ∏ E[eλXi ] ​
​

i=1

By Jensen’s inequality and using the assumption that Xi is bounded in [a, b], we get an exponential
​

bound on each term.

Using the fact that for a bounded variable Xi , we can bound its moment generating function (MGF):
​

2 2
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 2 2
E[eλXi ] ≤ eλμ eλ (b−a) /8
​

Substituting back,

ˉ − μ ≥ ϵ) ≤ e−2nϵ2 /(b−a)2
P (X
ˉ
By symmetry, the bound for P (X − μ ≤ −ϵ) is the same.
Thus, by the union bound:

ˉ − μ∣ ≥ ϵ) ≤ 2e−2nϵ2 /(b−a)2
P (∣X

which is Hoeffding’s inequality!

Final Interpretation
Why does this work?
We exponentiate the probability and use Markov’s inequality.
The moment generating function (MGF) helps bound deviations.
Jensen’s inequality ensures an upper bound on how far our estimate can be.
Key takeaway:
The bound shrinks exponentially with n.
The larger the sample size, the smaller the probability of large deviations.
Exploration term in UCB comes from this bound.

ln t
This derivation shows why UCB uses N (a) —it’s directly inspired by Hoeffding’s inequality, ensuring
​ ​

that we explore uncertain actions based on how many times they’ve been played.

What does we want to bound the probability that X deviates from its expected value mean?

Great question! Let's break it down logically.

What Does "Bounding the Probability" Mean?

When we say:

"We want to bound the probability that X deviates from its expected value,"

we mean that we want to find an upper limit on how likely it is that X will be far from its expected
value (also called its mean, E[X]).

Why Do We Care About This?

Imagine you're running an experiment, like flipping a coin many times. The expected proportion of
heads is 50%, but in reality, you won't always get exactly 50% heads. However, the more flips you do, the

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closer you expect the proportion to be to 50%.
But how close?

That's what Hoeffding's inequality helps with! It gives us a mathematical guarantee on how unlikely
it is for the observed result to be far from expectation.

Breaking It Down with an Example

Let's say you are measuring the average height of people in a city. The true average height is μ = 170
cm, but you only take a random sample of n people.

Your sample mean height is Xˉ , but it might not be exactly 170 cm.
We want to quantify how likely it is that our sample mean is off by more than, say, 5 cm.

Mathematically, we want to bound this probability:

ˉ − μ∣ ≥ ϵ)
P (∣X

For some small ϵ (e.g., 5 cm).

Hoeffding’s inequality tells us that this probability shrinks exponentially as the sample size n increases.
That is, if we take more samples, the probability of our estimate being very wrong becomes tiny.

What "Deviation from Expected Value" Means

Expected value E[X] is the long-run average. But in practice, our observed value X may not match
E[X] exactly.
A deviation means that the observed value is different from what we expect.

Mathematically:

X − E[X]

is the deviation of X from expectation. If this difference is large (greater than some threshold ϵ), we say
there is a large deviation.

Final Takeaway

Hoeffding’s inequality helps us quantify the probability of large deviations from the mean. It tells us:

1. How likely it is for our sample average to be far from the true mean.
2. How this likelihood shrinks as we take more samples.
3. Why UCB exploration works—it ensures we balance exploration and exploitation by considering
uncertainty.

Let me know if anything needs further clarification!

Why did we take a greater than inequality symbol only in the bound probability term, which is
probability of X bar minus mu is more than epsilon? Why did we just take more than inequality? Why
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 can't we take less than?

That's a really sharp question! Let's break it down carefully.

Why Only the "Greater Than" Inequality?

When we first apply Markov’s inequality and Chernoff bounds, we typically analyze the probability:

ˉ − μ ≥ ϵ)
P (X

This is because we're using exponential moment bounds, which work best for upper tail probabilities
(i.e., probabilities that a sum or average of random variables is larger than expected).
In other words, the techniques we use (exponentiating the probability and applying Markov's
inequality) naturally give us an upper bound for the "greater than" case.

But What About the "Less Than" Case?

We also want to bound:

ˉ − μ ≤ −ϵ)
P (X

This is just the probability that our estimate is much lower than expected.

The trick here is that we can apply the same derivation but to the random variable −X instead of
X.
ˉ
Since the inequality applies symmetrically, the bound we get for P (X − μ ≥ ϵ) also applies to
P (Xˉ − μ ≤ −ϵ).

Thus, by symmetry, we conclude:

ˉ − μ∣ ≥ ϵ) = P (X
P (∣X ˉ − μ ≥ ϵ) + P (X
ˉ − μ ≤ −ϵ)

which leads to the final Hoeffding bound:

ˉ − μ∣ ≥ ϵ) ≤ 2e−2nϵ2 /(b−a)2
P (∣X

Key Takeaways

We initially bound only the upper deviation because of how Markov’s inequality and Chernoff
bounds work.
The lower deviation is handled separately, but since the probability distribution is symmetric, it
results in the same bound.
The final bound accounts for both deviations together, leading to the factor of 2 in Hoeffding’s
inequality.

This is why, in the derivation, we first look at only the greater than inequality, but in the final result,
both cases are included.
Let me know if you want a more intuitive explanation!

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 We are not using the less than because it would result in the same final equation or inequality due
to symmetry in that inequality property.

Exactly! Since the probability distribution is symmetric around the mean, the probability of the sample
mean being too high is the same as it being too low.
ˉ
So instead of deriving the bound separately for P (X − μ ≤ −ϵ), we just recognize that it follows the
same logic and contributes equally to the total probability.
This is why the final inequality includes both deviations in absolute value:

ˉ − μ∣ ≥ ϵ) = P (X
P (∣X ˉ − μ ≥ ϵ) + P (X
ˉ − μ ≤ −ϵ)

And that gives us the final Hoeffding bound with the factor of 2.
Your understanding is spot on!

Didn't understand one bit from step 2.

Alright, let's slow it down and go step by step.

Step 1: The Original Probability We Want to Bound

ˉ deviates from its expected
We want to find an upper bound for the probability that our sample mean X
value μ by at least ϵ:

ˉ − μ∣ ≥ ϵ)
P (∣X

This means we're considering two cases:

1. The sample mean is too high: P (Xˉ − μ ≥ ϵ).

2. The sample mean is too low: P (Xˉ − μ ≤ −ϵ).

Since these are disjoint events (they can't both happen at the same time), we can split the probability
into two parts:

ˉ − μ∣ ≥ ϵ) = P (X
P (∣X ˉ − μ ≥ ϵ) + P (X
ˉ − μ ≤ −ϵ).

Step 2: Why Do We Only Derive the Upper Tail Bound?

Instead of proving both cases separately, we only derive the upper bound:

ˉ − μ ≥ ϵ) ≤ e−2nϵ2 /(b−a)2
P (X

Why? Because the probability of being too high is the same as the probability of being too low!
Think of flipping a fair coin.
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 The chance of getting more heads than expected is the same as the chance of getting fewer
heads than expected.
Similarly, since the sample mean is based on sums of independent random variables, it is
symmetrically distributed around μ.

That means:

ˉ − μ ≤ −ϵ) = P (X
P (X ˉ − μ ≥ ϵ).

Step 3: Adding Both Sides Together

Now, using this symmetry:

ˉ − μ ≤ −ϵ) ≤ e−2nϵ2 /(b−a)2 .

P (X

So when we add both sides:

ˉ − μ∣ ≥ ϵ) = P (X
P (∣X ˉ − μ ≥ ϵ) + P (X
ˉ − μ ≤ −ϵ).
2 2
Each term is at most e−2nϵ /(b−a) , so the final bound is:

ˉ − μ∣ ≥ ϵ) ≤ 2e−2nϵ2 /(b−a)2 .
P (∣X

Final Takeaway

We only derive one side (the "greater than" case) because the "less than" case follows from the same
logic due to symmetry. That’s why we multiply by 2 in the final result.
Does this breakdown make sense now?

Oh, no, I meant Chernoff's Bound.

Got it! Let's break down Chernoff’s bound carefully, especially why we focus on the greater-than
inequality first.

What Chernoff’s Bound Does

Chernoff's bound is used to bound the probability that the sum (or mean) of independent random
variables deviates significantly from its expected value.

Mathematically, it bounds:

P (X ≥ (1 + δ)μ)

or

P (X ≤ (1 − δ)μ).

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Step 1: Why Start With the "Greater Than" Case?

The key technique in Chernoff’s bound is using Markov’s inequality and exponentiation. The reason we
first derive a bound for:

P (X ≥ (1 + δ)μ)

is because of how Markov’s inequality is structured.

Markov's Inequality:

For any non-negative function g(X):

E[X]
P (X ≥ a) ≤ .​

a
This inequality naturally gives us an upper bound for "greater than" deviations.

To get a tighter bound, we introduce an exponential transformation (called the Chernoff trick):

P (X ≥ (1 + δ)μ) = P (eλX ≥ eλ(1+δ)μ ).

Now applying Markov’s inequality:

E[eλX ]
P (e λX
≥e λ(1+δ)μ
) ≤ λ(1+δ)μ .
​

e
This gives us a clean bound for the upper deviation.

Step 2: What About the "Less Than" Case?

We still need a bound for:

P (X ≤ (1 − δ)μ).

Here’s the trick:

Instead of deriving everything from scratch, we apply the same method but to the variable
−X .
Since exponentiation works the same way for both positive and negative deviations, we get a
symmetric bound.

This is why we often only show the "greater than" bound in derivations, and then just state the result
for the "less than" bound.

Step 3: Combining Both Sides

Once we have both bounds, we combine them to get:

P (∣X − μ∣ ≥ δμ) ≤ 2e−cn .

Just like in Hoeffding’s bound, the final factor of 2 appears because both deviations (upper and lower)
follow the same logic.

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Final Takeaway

We first derive the "greater than" bound because Markov’s inequality is naturally suited for upper
tail probabilities.
The "less than" bound follows from applying the same method to −X .
We combine both bounds in the final result, often just multiplying by 2 to account for symmetry.

Does this explanation clear things up?

Please explain more on Markov's inequality which states that for any positive function gx,
probability that x would be greater than or equal to t would be less than or equal to expected value
of gx upon gt.

Sure! Let's break down Markov's inequality step by step and explain why it works.

Step 1: Understanding What Markov’s Inequality Says

Markov’s inequality states that for any non-negative random variable X and any positive constant t:

E[X]
P (X ≥ t) ≤ .​

t
This inequality gives an upper bound on the probability that X takes large values.

More generally, for any non-negative function g(X), we can write:

E[g(X)]
P (g(X) ≥ t) ≤ . ​

Step 2: Why Is This True? (Proof)

We’ll prove Markov’s inequality using the linearity of expectation and the fact that probabilities sum to
1.

Step 2.1: Express E[X] as an Integral or Sum

The expectation of X can be written as:

E[X] = ∑ xP (X = x),
​

or, in continuous form:

∞
E[X] = ∫ ​
xfX (x) dx.
​

Now, let’s split this sum/integral into two parts:

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 1. Small values of X , i.e., X < t.
2. Large values of X , i.e., X ≥ t.

Since X is always non-negative, we can say that at least some portion of E[X] comes from values
where X ≥ t:

E[X] ≥ ∑ xP (X = x).
​

x≥t

Now, notice that in the sum each x is at least t, so we can factor out t:

E[X] ≥ ∑ tP (X = x). ​

x≥t

Since probability is additive, we rewrite this as:

E[X] ≥ t ∑ P (X = x) = tP (X ≥ t).
​

x≥t

Finally, dividing both sides by t gives:

E[X]
P (X ≥ t) ≤ .
​

t
This is Markov's inequality.

Step 3: Intuition Behind Markov’s Inequality

Suppose we know that E[X] is small (say, 5).

This tells us that most of the probability mass is near or below 5.
If we pick a large t (say, 50), it's unlikely that X ≥ 50, because otherwise the expectation E[X]
would have been much larger.

Markov’s inequality formalizes this intuition:

If X were often much larger than E[X], then the expectation would have been higher.

Step 4: Why Does Chernoff’s Bound Use Markov’s Inequality?

Chernoff’s bound is based on Markov’s inequality, but instead of applying it directly to X , we apply it
to an exponentially transformed version of X , i.e., g(X) = eλX .
By using an exponential function, we:

1. Emphasize large values of X more than a linear function would.

2. Get a tighter bound than what Markov’s inequality alone provides.

This is what makes Chernoff’s bound much stronger than Markov’s inequality by itself.

Final Takeaways

Markov’s inequality gives a general upper bound on the probability that a random variable is
large.
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 It works because expectation accounts for all values, so large values must be rare if E[X] is
small.
Chernoff’s bound improves on Markov’s inequality by applying it to an exponential function,
making the bound much tighter.

Does this explanation make sense now?

Why is this happening that probability that the X would be more than or equal to T is less than or
equal to expected value of X upon T?

Great question! The reason why

E[X]
P (X ≥ t) ≤ ​

t
is always true comes from a fundamental property of probabilities and expectations. Let’s break this
down intuitively and mathematically.

1. Intuitive Explanation

Expectation E[X] is essentially a weighted average of all possible values of X . If X were often much
larger than t, then its average value E[X] would also be large.

Markov’s inequality tells us that only a small fraction of the probability mass can be in the large
values of X , because otherwise the average E[X] would be much bigger.

For example:

If E[X] = 10, then it is impossible for P (X ≥ 50) to be large, otherwise the average would be
way higher than 10.
The inequality essentially ensures that the probability of a random variable being extremely
large is small unless its expected value is also large.

2. Formal Proof Using Splitting

To see this mathematically, let’s rewrite the expectation formula for a discrete random variable X :

E[X] = ∑ xP (X = x).
​

Now, let’s split this sum into two parts:

1. One part where X is small (X < t)

2. One part where X is large (X ≥ t)

E[X] = ∑ xP (X = x) + ∑ xP (X = x).
​ ​

x<t x≥t

Now, in the second sum, every value of X is at least t, so we can factor out t as a lower bound:

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 ∑ xP (X = x) ≥ ∑ tP (X = x).
​ ​

x≥t x≥t

Since the probability of X ≥ t is just the sum of probabilities for those values:

P (X ≥ t) = ∑ P (X = x), ​

x≥t

we get:

∑ tP (X = x) = tP (X ≥ t).
​

x≥t

Thus,

E[X] ≥ tP (X ≥ t).

Dividing both sides by t (since t is positive) gives:

E[X]
P (X ≥ t) ≤ . ​

3. Why This Works for Continuous Random Variables

For continuous distributions, the expectation is given by an integral:

∞
E[X] = ∫ ​ xfX (x)dx. ​

Splitting it at t:
t ∞
E[X] = ∫ xfX (x)dx + ∫ ​ ​ ​
xfX (x)dx.
​

0 t

Since in the second integral, x ≥ t, we can replace x with t as a lower bound:

∞ ∞
∫ ​ xfX (x)dx ≥ ∫
​ ​ tfX (x)dx = tP (X ≥ t).
​

t t

So again, we get:

E[X] ≥ tP (X ≥ t),

which simplifies to:

E[X]
P (X ≥ t) ≤ . ​

4. Summary of Why This Happens

The expectation E[X] accounts for all values of X , meaning that if X is large often, its
expectation must also be large.

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 The probability of large values of X being high is limited, because otherwise, the weighted sum
E[X] would be much larger.
The proof works by splitting the expectation and bounding the part where X ≥ t using t as a
lower bound.
This is true for both discrete and continuous random variables.

This is why Markov’s inequality always holds. Does this explanation clarify your doubts?

Since the XiX\_iXi​are independent, the expectation factorizes: E\[eλ∑Xi\]\=∏i\=1nE\

[eλXi\]\\mathbb{E}\\left\[e^{\\lambda \\sum X\_i}\\right\] = \\prod\_{i=1}^{n} \\mathbb{E}\
[e^{\\lambda X\_i}\]E\[eλ∑Xi​\]\=i\=1∏n​E\[eλXi​\] By Jensen’s inequality and using the assumption that
XiX\_iXi​is bounded in \[a,b\]\[a, b\]\[a,b\], we get an exponential bound on each term. Using the fact
that for a bounded variable XiX\_iXi​, we can bound its **moment generating function (MGF)**: E\
[eλXi\]≤eλμeλ2(b−a)2/8\\mathbb{E}\[e^{\\lambda X\_i}\] \\leq e^{\\lambda \\mu} e^{\\lambda^2 (b-
a)^2 / 8}E\[eλXi​\]≤eλμeλ2(b−a)2/8 Substituting back, P(Xˉ−μ≥ϵ)≤e−2nϵ2/(b−a)2P(\\bar{X} - \\mu \\geq
\\epsilon) \\leq e^{-2n \\epsilon^2 / (b-a)^2}P(Xˉ−μ≥ϵ)≤e−2nϵ2/(b−a)2 By symmetry, the bound for
P(Xˉ−μ≤−ϵ)P(\\bar{X} - \\mu \\leq -\\epsilon)P(Xˉ−μ≤−ϵ) is the same. Thus, by the union bound:
P(∣Xˉ−μ∣≥ϵ)≤2e−2nϵ2/(b−a)2P(|\\bar{X} - \\mu| \\geq \\epsilon) \\leq 2 e^{-2n \\epsilon^2 / (b-
a)^2}P(∣Xˉ−μ∣≥ϵ)≤2e−2nϵ2/(b−a)2 which is **Hoeffding’s inequality**!
understood everything till here

Nice! You followed everything up to here. Now, what part is unclear for you? Do you want a deeper
explanation of how we got the MGF bound, or how the final inequality comes together?

understood everything until the part which i highlighted

Got it! You highlighted this part:

"Why is this happening that probability that the X would be more than or equal to T is
less than or equal to expected value of X upon T?"

Since you understood everything up to here, let's rephrase the key idea in an alternative way that
might click even better.

A Different Intuition for Markov’s Inequality

Imagine you have a bag of coins with different values. You pick one at random.

The expected value of the coin you pick is like the average value of all the coins in the bag.
The inequality says: "The probability of picking a coin worth at least t is small unless the average coin
value is also large."

For example:
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 If the average coin value is ₹10, it’s impossible for half of the coins to be ₹50+—otherwise, the
average would be much higher.
The fraction of coins worth at least ₹50 must be at most 10/50 = 0.2 (or 20%).

Markov’s inequality simply formalizes this intuition about averages.

Another Way to Look at It: The "Weight Distribution" Argument

Think of E[X] as the total weight of a collection of values distributed across a number line.

If too much weight was in the high-value range (X ≥ t), the expectation E[X] would be much
bigger.
The bound shows that only a limited fraction of the total probability weight can be in the
region X ≥ t, because otherwise, the expectation would be too high.

Final Recap

The inequality is true because:

1. Expectation is an average → If too many large values existed, the average would also be large.
2. Mathematically, we split E[X] into two parts and bound the portion where X ≥ t.
3. It limits how much probability mass can be in the "large values" region without making the
expectation too big.

That’s why Markov’s inequality always holds.

Does this help? Or do you need a breakdown of any specific step?

Since the XiX\_iXi​are independent, the expectation factorizes: E\[eλ∑Xi\]\=∏i\=1nE\

[eλXi\]\\mathbb{E}\\left\[e^{\\lambda \\sum X\_i}\\right\] = \\prod\_{i=1}^{n} \\mathbb{E}\
[e^{\\lambda X\_i}\]E\[eλ∑Xi​\]\=i\=1∏n​E\[eλXi​\] By Jensen’s inequality and using the assumption that
XiX\_iXi​is bounded in \[a,b\]\[a, b\]\[a,b\], we get an exponential bound on each term. Using the fact
that for a bounded variable XiX\_iXi​, we can bound its **moment generating function (MGF)**: E\
[eλXi\]≤eλμeλ2(b−a)2/8\\mathbb{E}\[e^{\\lambda X\_i}\] \\leq e^{\\lambda \\mu} e^{\\lambda^2 (b-
a)^2 / 8}E\[eλXi​\]≤eλμeλ2(b−a)2/8 Substituting back, P(Xˉ−μ≥ϵ)≤e−2nϵ2/(b−a)2P(\\bar{X} - \\mu \\geq
\\epsilon) \\leq e^{-2n \\epsilon^2 / (b-a)^2}P(Xˉ−μ≥ϵ)≤e−2nϵ2/(b−a)2 By symmetry, the bound for
P(Xˉ−μ≤−ϵ)P(\\bar{X} - \\mu \\leq -\\epsilon)P(Xˉ−μ≤−ϵ) is the same. Thus, by the union bound:
P(∣Xˉ−μ∣≥ϵ)≤2e−2nϵ2/(b−a)2P(|\\bar{X} - \\mu| \\geq \\epsilon) \\leq 2 e^{-2n \\epsilon^2 / (b-
a)^2}P(∣Xˉ−μ∣≥ϵ)≤2e−2nϵ2/(b−a)2 which is **Hoeffding’s inequality**!
explain this part. How did it factorize to what? What is happending

Alright, let’s break this down step by step and make sense of what’s happening mathematically.

Step 1: Why Does Expectation Factorize?

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We start with:

E [eλ ∑ Xi ] ​

Since Xi are independent, expectation distributes over a product:

​

E [eλ ∑ Xi ] = E [eλX1 eλX2 … eλXn ]

​ ​ ​ ​

Using the linearity of expectation, and because the expectation of a product of independent random
variables equals the product of their expectations:
n
E [e λX1 λX2
​

e ​

…e λXn ​

] = ∏ E [eλXi ] ​
​

i=1

This step factorizes the expectation into the product of moment generating functions (MGFs) of each
individual Xi . ​

Step 2: Bounding Each Term Using Jensen’s Inequality

Now we bound each term E[eλXi ]. ​

Since Xi is bounded in [a, b], we use Jensen’s inequality, which states:

​

2 2
E[eλXi ] ≤ eλE[Xi ] eλ (b−a) /8
​ ​

This result is derived from the Chernoff bound technique, which relies on the convexity of the
exponential function.

eλE[Xi ] centers the bound around the mean.

​

2 2
eλ (b−a) /8 accounts for the spread of Xi over the interval [a, b].​

Step 3: Substituting Back to Find a Probability Bound

Substituting this bound into our factorized expectation:

n
E [e ] ≤ ∏ eλE[Xi ] eλ (b−a) /8
2 2
λ ∑ Xi ​ ​

i=1

Since the mean of the sum is the sum of the means,

E [eλ ∑ Xi ] ≤ eλ ∑ E[Xi ] enλ (b−a) /8

2 2
​ ​

Using Markov’s inequality:

ˉ − μ ≥ ϵ) = P (eλ(Xˉ −μ) ≥ eλϵ )

P (X

By applying Markov’s inequality P (Y ≥ c) ≤ E[Y ]/c,

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 ˉ
ˉ − μ ≥ ϵ) ≤ E[e
λ(X −μ)
]
P (X λϵ
​

e
Since we have already bounded E[eλ ∑ Xi ], we substitute this in:
​

2 2
λ ∑ E[Xi ] nλ (b−a) /8
ˉ − μ ≥ ϵ) ≤ e e ​

P (X
eλϵ
​

Simplifying,

ˉ − μ ≥ ϵ) ≤ e−λϵ enλ2 (b−a)2 /8

P (X

Step 4: Optimizing λ

We now choose the optimal value of λ that minimizes this bound.

The standard trick is to set:

4ϵ
λ=
(b − a)2
​

Substituting this back, we arrive at:

ˉ − μ ≥ ϵ) ≤ e−2nϵ2 /(b−a)2
P (X

Using symmetry for the left tail:

ˉ − μ ≤ −ϵ) ≤ e−2nϵ2 /(b−a)2

P (X

Applying the union bound:

ˉ − μ∣ ≥ ϵ) ≤ 2e−2nϵ2 /(b−a)2
P (∣X

Which is Hoeffding’s inequality!

Final Recap

1. Factorization: Since Xi are independent, we separate the expectation into a product of MGFs.
​

2. Bounding the MGF: Jensen’s inequality gives an exponential bound.

3. Using Markov’s Inequality: Converts the bound on expectation into a probability bound.
4. Choosing Optimal λ: Minimizes the bound and gives the final inequality.

This is how we derive Hoeffding’s inequality!

Let me know if any part is unclear. 🚀

By Jensen’s inequality and using the assumption that XiX\_iXi​is bounded in \[a,b\]\[a, b\]\[a,b\], we
get an exponential bound on each term. Using the fact that for a bounded variable XiX\_iXi​, we can

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 bound its **moment generating function (MGF)**: E\[eλXi\]≤eλμeλ2(b−a)2/8\\mathbb{E}\
[e^{\\lambda X\_i}\] \\leq e^{\\lambda \\mu} e^{\\lambda^2 (b-a)^2 / 8}E\[eλXi​\]≤eλμeλ2(b−a)2/8
Substituting back, P(Xˉ−μ≥ϵ)≤e−2nϵ2/(b−a)2P(\\bar{X} - \\mu \\geq \\epsilon) \\leq e^{-2n \\epsilon^2
/ (b-a)^2}P(Xˉ−μ≥ϵ)≤e−2nϵ2/(b−a)2 By symmetry, the bound for P(Xˉ−μ≤−ϵ)P(\\bar{X} - \\mu \\leq -
\\epsilon)P(Xˉ−μ≤−ϵ) is the same. Thus, by the union bound: P(∣Xˉ−μ∣≥ϵ)≤2e−2nϵ2/(b−a)2P(|\\bar{X}
- \\mu| \\geq \\epsilon) \\leq 2 e^{-2n \\epsilon^2 / (b-a)^2}P(∣Xˉ−μ∣≥ϵ)≤2e−2nϵ2/(b−a)2 which is
**Hoeffding’s inequality**
explain from here. I am not a math major so explain me from the basics about jensen's inequality
and how you are doing what you are doing in each step

Got it! Let’s go through everything step by step, from Jensen’s inequality to how it’s applied in deriving
Hoeffding’s inequality.
I'll break down each idea into simple terms and then build up to the final result.

Step 1: Understanding Jensen’s Inequality

Jensen’s inequality is a fundamental result in probability theory that applies to convex functions.

What’s a Convex Function?

A function f (x) is convex if the line segment between any two points on its graph lies above the
function.
Mathematically, this means:

f (λx + (1 − λ)y) ≤ λf (x) + (1 − λ)f (y)

for any x, y and 0 ≤ λ ≤ 1.

A key example of a convex function is the exponential function ex , which always curves upwards.

Jensen’s Inequality in Expectation Form

For any convex function f (x), Jensen’s inequality says:

E[f (X)] ≥ f (E[X])

In words:

The expectation of a convex function is always greater than or equal to the function of the
expectation.

Example: Applying Jensen’s Inequality to Exponentials

Since f (x) = eλx is convex, Jensen’s inequality gives:

E[eλX ] ≤ eλE[X]

This tells us that the expected value of an exponential function of a random variable is at most the
exponential of its mean.

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This is key in bounding probabilities, as we’ll see next.

Step 2: Bounding the Moment Generating Function (MGF)

Now, let’s apply this to our situation.
We are trying to bound:

E[eλXi ] ​

where Xi are our independent, bounded random variables.

​

Why Are We Doing This?

This is a key part of the Chernoff bounding technique, which helps control the probability that a
sum of random variables deviates significantly from its expected value.
By controlling the moment generating function (MGF), we can get an upper bound on
probabilities of large deviations.

Step 3: Bounding E[eλXi ] Using Hoeffding’s Assumption

​

We assume each Xi is bounded in [a, b]. That means:

​

a ≤ Xi ≤ b
​

Using a more detailed version of Jensen’s inequality (specifically, Hoeffding’s Lemma), we get:
2 2
E[eλXi ] ≤ eλE[Xi ] eλ (b−a) /8
​ ​

What This Means:

The first term eλE[Xi ] represents the contribution of the mean.

​

2 2
The second term eλ (b−a) /8 is a correction factor that accounts for uncertainty in Xi .
​

Step 4: Applying Markov’s Inequality to Get a Probability Bound

What Is Markov’s Inequality?

It states that for any non-negative function g(X):

E[X]
P (X ≥ t) ≤ ​

t
In our case, we apply this to the exponential function:
ˉ
ˉ − μ ≥ ϵ) = P (eλ(X −μ) ≥ eλϵ )
P (X

Using Markov’s inequality:

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 ˉ
ˉ − μ ≥ ϵ) ≤ E[e
λ(X −μ)
]
P (X λϵ
​

e
Since we already bounded E[eλXi ], we substitute that in.
​

After simplifications, we get:

ˉ − μ ≥ ϵ) ≤ e−2nϵ2 /(b−a)2
P (X

Step 5: Accounting for Both Tails (Symmetry Argument)

By the same reasoning, for the left tail:

2 2
ˉ − μ ≤ −ϵ) ≤ e−2nϵ /(b−a)
P (X

Using the union bound to combine these:

2 2
ˉ − μ∣ ≥ ϵ) ≤ 2e−2nϵ /(b−a)
P (∣X

which is Hoeffding’s inequality.

Summary of Each Step

1. Jensen’s Inequality: Used because the exponential function is convex, allowing us to bound
expectations.
2. Bounding the MGF: Applied to each Xi , using Hoeffding’s Lemma.
​

3. Applying Markov’s Inequality: Converts our expectation bound into a probability bound.
4. Symmetry Argument: Extends the bound to both sides of the deviation.

This is one of the core ideas behind concentration inequalities and why they are so powerful in
probability and machine learning.
Let me know if any step needs more clarification! 🚀

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