Prediction with Advice of Unknown Number of Experts [article]

Alexey Chernov, Vladimir Vovk
2014 arXiv   pre-print
In the framework of prediction with expert advice, we consider a recently introduced kind of regret bounds: the bounds that depend on the effective instead of nominal number of experts. In contrast to the Normal- Hedge bound, which mainly depends on the effective number of experts but also weakly depends on the nominal one, we obtain a bound that does not contain the nominal number of experts at all. We use the defensive forecasting method and introduce an application of defensive forecasting to multivalued supermartingales.
arXiv:1408.2040v1 fatcat:yno2b3np35cq3bwg66ut4ggwc4