210 research outputs found
Bandit Online Optimization Over the Permutahedron
The permutahedron is the convex polytope with vertex set consisting of the
vectors for all permutations (bijections) over
. We study a bandit game in which, at each step , an
adversary chooses a hidden weight weight vector , a player chooses a
vertex of the permutahedron and suffers an observed loss of
.
A previous algorithm CombBand of Cesa-Bianchi et al (2009) guarantees a
regret of for a time horizon of . Unfortunately,
CombBand requires at each step an -by- matrix permanent approximation to
within improved accuracy as grows, resulting in a total running time that
is super linear in , making it impractical for large time horizons.
We provide an algorithm of regret with total time
complexity . The ideas are a combination of CombBand and a recent
algorithm by Ailon (2013) for online optimization over the permutahedron in the
full information setting. The technical core is a bound on the variance of the
Plackett-Luce noisy sorting process's "pseudo loss". The bound is obtained by
establishing positive semi-definiteness of a family of 3-by-3 matrices
generated from rational functions of exponentials of 3 parameters
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
Optimal dynamic portfolio selection with earnings-at-risk
In this paper we investigate a continuous-time portfolio selection problem. Instead of using the classical variance as usual, we use earnings-at-risk (EaR) of terminal wealth as a measure of risk. In the settings of Black-Scholes type financial markets and constantly-rebalanced portfolio (CRP) investment strategies, we obtain closed-form expressions for the best CRP investment strategy and the efficient frontier of the mean-EaR problem, and compare our mean-EaR analysis to the classical mean-variance analysis and to the mean-CaR (capital-at-risk) analysis. We also examine some economic implications arising from using the mean-EaR model. © 2007 Springer Science+Business Media, LLC.postprin
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