Blackwell Approachability and No-Regret Learning are Equivalent
published: Aug. 2, 2011, recorded: July 2011, views: 431
Report a problem or upload filesIf you have found a problem with this lecture or would like to send us extra material, articles, exercises, etc., please use our ticket system to describe your request and upload the data.
Enter your e-mail into the 'Cc' field, and we will keep you updated with your request's status.
We consider the celebrated Blackwell Approachability Theorem for two-player games with vector payoffs. Blackwell himself previously showed that the theorem implies the existence of a “no regret” algorithm for a simple online learning problem. We show that this relationship is in fact much stronger, that Blackwell’s result is equivalent to, in a very strong sense, the problem of regret minimization for Online Linear Optimization. We show that any algorithm for one such problem can be efficiently converted into an algorithm for the other. We provide one novel application of this reduction: the first efficient algorithm for calibrated forecasting.
Link this pageWould you like to put a link to this lecture on your homepage?
Go ahead! Copy the HTML snippet !