Prediction with Expert Advice under Discounted Loss


We study prediction with expert advice in the setting where the losses are accumulated with some discounting and the impact of old losses can gradually vanish. We generalize the Aggregating Algorithm and the Aggregating Algorithm for Regression, propose a new variant of exponentially weighted average algorithm, and prove bounds on the cumulative discounted loss.

DOI: 10.1007/978-3-642-16108-7_22

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@inproceedings{Chernov2010PredictionWE, title={Prediction with Expert Advice under Discounted Loss}, author={Alexey V. Chernov and Fedor Zhdanov}, booktitle={ALT}, year={2010} }