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Abstract
The paper applies the method of defensive forecasting, based on the use of game-theoretic supermartingales, to prediction with expert advice. In the traditional setting of a countable number of experts and a finite number of outcomes, the Defensive Forecasting Algorithm is very close to the well-known Aggregating Algorithm. Not only the performance guarantees but also the predictions are the same for these two methods of fundamentally different nature. The paper also discusses a new setting where the experts can give advice conditional on the learner's future decision. Both the algorithms can be adapted to the new setting and give the same performance guarantees as in the traditional setting. Finally, an application of defensive forecasting to a setting with several loss functions is outlined.Citation
Chernov, A., Kalnishkan, Y., Zhdanov, F. and Vovk, V., (2010) 'Supermartingales in prediction with expert advice' 411 (29-30):2647-2669 Theoretical Computer SciencePublisher
ElsevierJournal
Theoretical Computer ScienceAdditional Links
http://linkinghub.elsevier.com/retrieve/pii/S0304397510001982Type
ArticleLanguage
enISSN
0304-3975ae974a485f413a2113503eed53cd6c53
10.1016/j.tcs.2010.04.003