ICML2026
Allocating Variance to Maximize Expectation
Renato Leme, Clifford Stein, Yifeng Teng, Pratik Worah
Abstract
We design efficient approximation algorithms for maximizing the expectation of the supremum of families of Gaussian random variables. In particular, let OPT := max σ1,••• ,σn E m j=1 max i∈Sj X i , where X i are Gaussian, S j ⊂ [n] and i σ 2 i = 1, then our theoretical results include: • We characterize the optimal variance allocation -it concentrates on a small subset of variables as |S j | increases, • A polynomial time approximation scheme (PTAS) for computing OPT when m = 1, and • An O(log n) approximation algorithm for computing OPT for general m > 1. Such expectation maximization problems occur in diverse applications, ranging from utility maximization in auctions markets to learning mixture models in quantitative genetics.