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Leading Strategies in Competitive On-Line Prediction

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Book cover Algorithmic Learning Theory (ALT 2006)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 4264))

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Abstract

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.

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Author information

Authors and Affiliations

  1. Computer Learning Research Centre, Department of Computer Science, University of London, Royal Holloway, Egham, Surrey, TW20 0EX, UK

    Vladimir Vovk

Authors
  1. Vladimir Vovk
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Editor information

Editors and Affiliations

  1. Departament de Llenguatges i Sistemes Informàtics Laboratori d’Algorísmica Relacional, Complexitat i Aprenentatge, Universitat Politècnica de Catalunya, Barcelona,  

    José L. Balcázar

  2. Google, 1600 Amphitheatre Parkway, 94043, Mountain View, CA, USA

    Philip M. Long

  3. Department of Computer Science and Department of Mathematics, National University of Singapore, 117543, Singapore, Republic of Singapore

    Frank Stephan

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© 2006 Springer-Verlag Berlin Heidelberg

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Vovk, V. (2006). Leading Strategies in Competitive On-Line Prediction. In: Balcázar, J.L., Long, P.M., Stephan, F. (eds) Algorithmic Learning Theory. ALT 2006. Lecture Notes in Computer Science(), vol 4264. Springer, Berlin, Heidelberg. https://doi.org/10.1007/11894841_19

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  • DOI: https://doi.org/10.1007/11894841_19

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-46649-9

  • Online ISBN: 978-3-540-46650-5

  • eBook Packages: Computer ScienceComputer Science (R0)

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