Optimal Discovery With Probabilistic Expert Advice

Motivated by issues of security analysis for power systems, we analyze a new problem, called 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 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.