Competing with wild prediction rules. / Vovk, Vladimir.

2005.

Research output: Working paper

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Abstract

We consider the problem of on-line prediction competitive with a benchmarkclass of continuous but highly irregular prediction rules. It is known that if the benchmark class is a reproducing kernel Hilbert space, there exists a prediction algorithm whose average loss over the first N examples does not exceed the average loss of any prediction rule in the class plus a "regret term" of O(N^(-1/2)). The elements of some natural benchmark classes, however, are so irregular that these classes are not Hilbert spaces. In this paper we develop Banach-space methods to construct a prediction algorithm with a regret term of O(N^(-1/p)), where p is in [2,infty) and p-2 reflects the degree to which the benchmark class fails to be a Hilbert space.
Original languageEnglish
Publication statusPublished - 14 Dec 2005
This open access research output is licenced under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported License.

ID: 934941