Achieving All with No Parameters: Adaptive NormalHedge

author: Haipeng Luo, Department of Computer Science, Princeton University
published: Aug. 20, 2015,   recorded: July 2015,   views: 137
Categories

Slides

Related Open Educational Resources

Related content

Report a problem or upload files

If 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.
Lecture popularity: You need to login to cast your vote.
  Bibliography

Description

We study the classic online learning problem of predicting with expert advice, and propose a truly parameter-free and adaptive algorithm that achieves several objectives simultaneously without using any prior information. The main component of this work is an improved version of the NormalHedge.DT algorithm (Luo and Schapire, 2014), called AdaNormalHedge. On one hand, this new algorithm ensures small regret when the competitor has small loss and almost constant regret when the losses are stochastic. On the other hand, the algorithm is able to compete with any convex combination of the experts simultaneously, with a regret in terms of the relative entropy of the prior and the competitor. This resolves an open problem proposed by Chaudhuri et al. (2009) and Chernov and Vovk (2010). Moreover, we extend the results to the sleeping expert setting and provide two applications to illustrate the power of AdaNormalHedge: 1) competing with time-varying unknown competitors and 2) predicting almost as well as the best pruning tree. Our results on these applications significantly improve previous work from different aspects, and a special case of the first application resolves another open problem proposed by Warmuth and Koolen (2014) on whether one can simultaneously achieve optimal shifting regret for both adversarial and stochastic losses.

See Also:

Download slides icon Download slides: colt2015_luo_adaptive_normalhedge_01.pdf (229.2┬áKB)


Help icon Streaming Video Help

Link this page

Would you like to put a link to this lecture on your homepage?
Go ahead! Copy the HTML snippet !

Write your own review or comment:

make sure you have javascript enabled or clear this field: