Predictability and Randomness

TL;DR

This paper explores the relationship between algorithmic randomness and probabilistic sequence prediction, establishing conditions under which sequences are considered unpredictable or random, and linking these concepts to Solomonoff's prediction theory.

Contribution

It demonstrates that sequences are random iff unpredictable, relates randomness to optimal predictors, and connects algorithmic randomness with Solomonoff's prediction framework.

Findings

Sequences are random iff unpredictable.

Universal predictors are optimal for all sequences under weak criteria.

Law of large numbers applies to sequences random relative to computable distributions.

Abstract

Algorithmic theories of randomness can be related to theories of probabilistic sequence prediction through the notion of a predictor, defined as a function which supplies lower bounds on initial-segment probabilities of infinite sequences. An infinite binary sequence $z$ is called unpredictable iff its initial-segment "redundancy" $n+\log p(z(n))$ remains sufficiently low relative to every effective predictor $p$. A predictor which maximizes the initial-segment redundancy of a sequence is called optimal for that sequence. It turns out that a sequence is random iff it is unpredictable. More generally, a sequence is random relative to an arbitrary computable distribution iff the distribution is itself an optimal predictor for the sequence. Here "random" can be taken in the sense of Martin-L\"{o}f by using weak criteria of effectiveness, or in the sense of Schnorr by using stronger criteria of effectiveness. Under the weaker criteria of effectiveness it is possible to construct a universal predictor which is optimal for all infinite sequences. This predictor assigns nonvanishing limit probabilities precisely to the recursive sequences. Under the stronger criteria of effectiveness it is possible to establish a law of large numbers for sequences random relative to a computable distribution, which may be useful as a criterion of "rationality" for methods of probabilistic prediction. A remarkable feature of effective predictors is the fact that they are expressible in the special form first proposed by Solomonoff. In this form sequence prediction reduces to assigning high probabilities to initial segments with short and/or numerous encodings. This fact provides the link between theories of randomness and Solomonoff's theory of prediction.