Prediction with Expert Advice under Discounted Loss

Details Prediction with Expert Advice under Discounted Loss Prediction with Expert Advice under Discounted Loss

2010-05-11

arxiv.org/abs/1005.1918v2

Computer Science

Learning

26 pages; expanded (2 remarks -> theorems), some misprints corrected

Scientific paper

We study prediction with expert advice in the setting where the losses are
accumulated with some discounting---the impact of old losses may gradually
vanish. We generalize the Aggregating Algorithm and the Aggregating Algorithm
for Regression to this case, propose a suitable new variant of exponential
weights algorithm, and prove respective loss bounds.

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