2026
Allocating Variance to Maximize Expectation
ICML 2026poster
We design efficient approximation algorithms for maximizing the expectation of the supremum of families of Gaussian random variables. In particular, let $OPT:=\max_{\sigma_1,\cdots,\sigma_n}\mathbb{E}\sum_{j=1}^{m}\max_{i\in S_j} X_i$, where $X_i$ are Gaussian, $S_j\subset[n]$ and $\sum_i\sigma_i^2=…