2 research outputs found
Leading strategies in competitive on-line prediction
We start from a simple asymptotic result for the problem of on-line
regression with the quadratic loss function: the class of continuous
limited-memory prediction strategies admits a "leading prediction strategy",
which not only asymptotically performs at least as well as any continuous
limited-memory strategy but also satisfies the property that the excess loss of
any continuous limited-memory strategy is determined by how closely it imitates
the leading strategy. More specifically, for any class of prediction strategies
constituting a reproducing kernel Hilbert space we construct a leading
strategy, in the sense that the loss of any prediction strategy whose norm is
not too large is determined by how closely it imitates the leading strategy.
This result is extended to the loss functions given by Bregman divergences and
by strictly proper scoring rules.Comment: 20 pages; a conference version is to appear in the ALT'2006
proceeding
Leading strategies in competitive on-line prediction
We start from a simple asymptotic result for the problem of on-line regression with the quadratic loss function: the class of continuous limited-memory prediction strategies admits a "leading prediction strategy", which not only asymptotically performs at least as well as any continuous limited-memory strategy but also satisfies the property that the excess loss of any continuous limited-memory strategy is determined by how closely it imitates the leading strategy. More specifically, for any class of prediction strategies constituting a reproducing kernel Hilbert space we construct a leading strategy, in the sense that the loss of any prediction strategy whose norm isnot too large is determined by how closely it imitates the leading strategy. This result is extended to the loss functions given by Bregman divergences and by strictly proper scoring rules