Prediction with Expert Advice under Discounted Loss

DOI10.1007/978-3-642-16108-7_22MaRDI QIDQ4930703zbMATH OpenOpenAlexFDO

Authors Alexey Chernov, Fedor Zhdanov

Publication date 1 October 2010

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1005.1918

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Computational learning theory (68Q32) Learning and adaptive systems in artificial intelligence (68T05) Rationality and learning in game theory (91A26)

Abstract: We study prediction with expert advice in the setting where the losses are accumulated with some discounting---the impact of old losses may gradually vanish. We generalize the Aggregating Algorithm and the Aggregating Algorithm for Regression to this case, propose a suitable new variant of exponential weights algorithm, and prove respective loss bounds.

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