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Machine Learning Summer School 2005 - Chicago

Online Learning and Game Theory

author: Adam Kalai, Toyota Technological Institute at Chicago

Description

We consider online learning and its relationship to game theory. In an online decision-making problem, as in Singer's lecture, one typically makes a sequence of decisions and receives feedback immediately after making each decision. As far back as the 1950's, game theorists gave algorithms for these problems with strong regret guarantees. Without making statistical assumptions, these algorithms were guaranteed to perform nearly as well as the best single decision, where the best is chosen with the benefit of hindsight. We discuss applications of these algorithms to complex learning problems where one receives very little feedback. Examples include online routing, online portfolio selection, online advertizing, and online data structures. We also discuss applications to learning Nash equilibria in zero-sum games and learning correlated equilibria in general two-player games.

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Slides
0:00 Online learning and game theory
0:40 TITLE
0:53 How do we learn?
2:42 Outline
3:39 Online learning
4:21 Batch Learning
5:08 Batch Learning
5:45 Online/batch learnability of F
10:11 Online learnable ) Batch learnable
13:04 Online learnable ) Batch learnable
15:42 Outline
16:06 Online majority algorithm
19:43 Naive batch learning
21:25 Naive batch learning
23:15 Weighted majority’ [LW89]
27:57 Weighted majority [LW89]
30:10 Weighted majority extensions…
32:30 Weighted majority extensions…
37:09 Outline
37:39 Batch  Online
44:03 Key idea: transductive online learning
45:57 Key idea: transductive online learning
50:20 Algorithm for trans. online learning
52:38 Candidate efficient algorithm
53:32 How many labelings? Shattering & VC
54:17 How many labelings? Shattering & VC
55:34 Cannot batch learn faster than VC(F)
58:18 Putting it together
59:35 Learnability conclusions
60:50 Online learning in repeated games

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Reviews and comments:

Comment1 ram, January 6, 2008 at 6:57 p.m.:

Second video doesn't play past 9:20 seconds


Comment2 ram, January 10, 2008 at 12:45 a.m.:

works now.


Comment3 Praveen, December 26, 2008 at 7:08 p.m.:

Apparently, the stream is not available any more. I get the error "Stream not found". Is it possible to look into the problem?

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