Towards Optimal Algorithms for Prediction with Expert Advice

@inproceedings{Gravin2016TowardsOA,
  title={Towards Optimal Algorithms for Prediction with Expert Advice},
  author={Nick Gravin and Yuval Peres and Balasubramanian Sivan},
  booktitle={SODA},
  year={2016}
}
We study the classical problem of prediction with expert advice in the adversarial setting with a geometric stopping time. In 1965, Cover [7] gave the optimal algorithm for the case of 2 experts. In this paper, we design the optimal algorithm, adversary and regret for the case of 3 experts. Further, we show that the optimal algorithm for 2 and 3 experts is a probability matching algorithm (analogous to Thompson sampling) against a particular randomized adversary. Remarkably, it turns out that… CONTINUE READING
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Behavior of sequential predictors of binary sequences

Thomas M. Cover
In Proceedings of the 4th Prague Conference on Information Theory, Statistical Decision Functions, Random Processes, • 1965
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