Extracting certainty from uncertainty: Regret bounded by variation in costs

Elad Hazan, Satyen Kale

Research output: Contribution to conferencePaperpeer-review

22 Scopus citations

Abstract

Prediction from expert advice is a fundamental problem in machine learning. A major pillar of the field is the existence of learning algorithms whose average loss approaches that of the best expert in hindsight (in other words, whose average regret approaches zero). Traditionally the regret of online algorithms was bounded in terms of the number of prediction rounds. Cesa-Bianchi, Mansour and Stoltz [4] posed the question whether it is be possible to bound the regret of an online algorithm by the variation of the observed costs. In this paper we resolve this question, and prove such bounds in the fully adversarial setting, in two important online learning scenarios: prediction from expert advice, and online linear optimization.

Original languageEnglish (US)
Pages57-67
Number of pages11
StatePublished - Dec 1 2008
Externally publishedYes
Event21st Annual Conference on Learning Theory, COLT 2008 - Helsinki, Finland
Duration: Jul 9 2008Jul 12 2008

Other

Other21st Annual Conference on Learning Theory, COLT 2008
CountryFinland
CityHelsinki
Period7/9/087/12/08

All Science Journal Classification (ASJC) codes

  • Education

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