Robust approachability and regret minimization in games with partial monitoring

author: Vianney Perchet, Probabilities and Random Models Laboratory, Université Pierre et Marie Curie (UPMC)
published: Aug. 2, 2011,   recorded: July 2011,   views: 3070
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Description

Approachability has become a standard tool in analyzing learning algorithms in the adversarial online learning setup. We develop a variant of approachability for games where there is ambiguity in the obtained reward that belongs to a set, rather than being a single vector. Using this variant we tackle the problem of approachability in games with partial monitoring and develop simple and efficient algorithms (i.e., with constant per-step complexity) for this setup. We finally consider external and internal regret in repeated games with partial monitoring, for which we derive regretminimizing strategies based on approachability theory.

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