A Randomized Online Learning Algorithm for Better Variance Control

@inproceedings{Audibert2006ARO,
  title={A Randomized Online Learning Algorithm for Better Variance Control},
  author={Jean-Yves Audibert},
  booktitle={COLT},
  year={2006}
}
We propose a sequential randomized algorithm, which at each step concentrates on functions having both low risk and low variance with respect to the previous step prediction function. It satisfies a simple risk bound, which is sharp to the extent that the standard statistical learning approach, based on supremum of empirical processes, does not lead to algorithms with such a tight guarantee on its efficiency. Our generalization error bounds complement the pioneering work of Cesa-Bianchi et al… CONTINUE READING

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