Master algorithms for active experts problems based on increasing loss values

Abstract

We specify an experts algorithm with the following characteristics: (a) it uses only feedback from the actions actually chosen (bandit setup), (b) it can be applied with countably infinite expert classes, and (c) it copes with losses that may grow in time appropriately slowly. We prove loss bounds against an adaptive adversary. From this, we obtain master algorithms for ``active experts problems'', which means that the master's actions may influence the behavior of the adversary. Our algorithm can significantly outperform standard experts algorithms on such problems. Finally, we combine it with a universal expert class. This results in a (computationally infeasible) universal master algorithm which performs - in a certain sense - almost as well as any computable strategy, for any online problem.