Online aggregation of unbounded losses using shifting experts with confidence

DOI10.1007/S10994-018-5751-ZMaRDI QIDQ669288zbMATHOpenAlexWikidataFDO

Authors Vladimir Trunov, Vladimir V. V'yugin

Publication date 15 March 2019

Published in Machine Learning (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.00741

zbMATH Keywords

online learningconfidence leveladaptive learning ratealgorithm hedgemethod of mixing past posteriorsprediction with expert adviceshifting expertsshort-term prediction of electricity consumptionspecialized expertsunbounded losses

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Learning and adaptive systems in artificial intelligence (68T05) Online algorithms; streaming algorithms (68W27)

Abstract: We develop the setting of sequential prediction based on shifting experts and on a "smooth" version of the method of specialized experts. To aggregate experts predictions, we use the AdaHedge algorithm, which is a version of the Hedge algorithm with adaptive learning rate, and extend it by the meta-algorithm Fixed Share. Due to this, we combine the advantages of both algorithms: (1) we use the shifting regret which is a more optimal characteristic of the algorithm; (2) regret bounds are valid in the case of signed unbounded losses of the experts. Also, (3) we incorporate in this scheme a "smooth" version of the method of specialized experts which allows us to make more flexible and accurate predictions. All results are obtained in the adversarial setting -- no assumptions are made about the nature of data source. We present results of numerical experiments for short-term forecasting of electricity consumption based on a real data.

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Cites work

• scientific article; zbMATH DE number 1559549 (Why is no real title available?)
• 10.1162/153244303321897654
• A closer look at adaptive regret
• A decision-theoretic generalization of on-line learning and an application to boosting
• A game of prediction with expert advice
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• Forecasting electricity consumption by aggregating specialized experts
• From external to internal regret
• Learning Theory
• Prediction with expert evaluators' advice
• Prediction, Learning, and Games
• The weighted majority algorithm
• Tracking the best expert

Cited in

(2)

• Kalman recursions aggregated online
• Forecasting electricity consumption by aggregating specialized experts

Describes a project that uses

Uses Software

• AdaBoost.MH

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