Adaptive Game Playing Using Multiplicative Weights

@inproceedings{Freund1999AdaptiveGP,
  title={Adaptive Game Playing Using Multiplicative Weights},
  author={Yoav Freund and Robert E. Schapire},
  year={1999}
}
Abstract We present a simple algorithm for playing a repeated game. We show that a player using this algorithm suffers average loss that is guaranteed to come close to the minimum loss achievable by any fixed strategy. Our bounds are nonasymptotic and hold for any opponent. The algorithm, which uses the multiplicative-weight methods of Littlestone and Warmuth, is analyzed using the Kullback–Liebler divergence. This analysis yields a new, simple proof of the min–max theorem, as well as a… CONTINUE READING

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