Prediction with Advice of Unknown Number of Experts
Alexey Chernov, Vladimir Vovk
In the framework of prediction with expert advice, we consider a recently introduced kind of regret bounds: the bounds that depend on the effective instead of nominal number of experts. In contrast to the Normal- Hedge bound, which mainly depends on the effective number of experts but also weakly depends on the nominal one, we obtain a bound that does not contain the nominal number of experts at all. We use the defensive forecasting method and introduce an application of defensive forecasting to multivalued supermartingales.
PDF Link: /papers/10/p117-chernov.pdf
AUTHOR = "Alexey Chernov
and Vladimir Vovk",
TITLE = "Prediction with Advice of Unknown Number of Experts",
BOOKTITLE = "Proceedings of the Twenty-Sixth Conference Annual Conference on Uncertainty in Artificial Intelligence (UAI-10)",
PUBLISHER = "AUAI Press",
ADDRESS = "Corvallis, Oregon",
YEAR = "2010",
PAGES = "117--125"