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Prediction with expert advice by following the perturbed leader for general weights

Hutter, Marcus; Poland, Jan


When applying aggregating strategies to Prediction with Expert Advice, the learning rate must be adaptively tuned. The natural choice of square ( complexity/current loss) renders the analysis of Weighted Majority derivatives quite complicated. In particular, for arbitrary weights there have been no results proven so far. The analysis of the alternative “Follow the Perturbed Leader” (FPL) algorithm from [KV03] (based on Hannan’s algorithm) is easier. We derive loss bounds for...[Show more]

CollectionsANU Research Publications
Date published: 2004
Type: Conference paper
DOI: 10.1007/978-3-540-30215-5_22


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