Prediction with Expert Advice by Following the Perturbed Leader for General Weights

  • Marcus Hutter
  • Jan Poland
Part of the Lecture Notes in Computer Science book series (LNCS, volume 3244)

Abstract

When applying aggregating strategies to Prediction with Expert Advice, the learning rate must be adaptively tuned. The natural choice of \(\sqrt{\mbox{complexity/current loss}}\) renders the analysis of Weighted Majority derivatives quite complicated. In particular, for arbitrary weights there have been no results proven so far. The analysis of the alternative “Follow the Perturbed Leader” (FPL) algorithm from [KV03] (based on Hannan’s algorithm) is easier. We derive loss bounds for adaptive learning rate and both finite expert classes with uniform weights and countable expert classes with arbitrary weights. For the former setup, our loss bounds match the best known results so far, while for the latter our results are new.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • Marcus Hutter
    • 1
  • Jan Poland
    • 1
  1. 1.IDSIAManno-LuganoSwitzerland

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