On the asymptotic optimality of the comb strategy for prediction with expert advice
Probability
2020-03-23 v2 Machine Learning
Optimization and Control
Abstract
For the problem of prediction with expert advice in the adversarial setting with geometric stopping, we compute the exact leading order expansion for the long time behavior of the value function. Then, we use this expansion to prove that as conjectured in Gravin et al. [12], the comb strategies are indeed asymptotically optimal for the adversary in the case of 4 experts.
Keywords
Cite
@article{arxiv.1902.02368,
title = {On the asymptotic optimality of the comb strategy for prediction with expert advice},
author = {Erhan Bayraktar and Ibrahim Ekren and Yili Zhang},
journal= {arXiv preprint arXiv:1902.02368},
year = {2020}
}
Comments
To appear in Annals of Applied Probabilty