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Streaming aggregation of a growing number of experts

In the well-studied framework of prediction with expert advice,
the aim is to combine the forecasts of a set of experts so as to predict
almost as well as the best available expert, no matter what the experts'
predictions or the signal's values are. A simple algorithm of bayesian
inspiration, the exponentially weighted average forecaster, provides
strong regret guarantees for this problem. Several refinements have been
studied in the literature with an eye to non-stationarity, such as
comparing favorably to sequences of experts. However, in previous works
the set of experts itself is typically assumed to be fixed, which can be
limiting in some situations, e.g. when one wants to incorporate new models
or algorithms on the fly.

We address the problem of efficiently combining the predictions of a
growing number of experts, which arrive in a streaming fashion. We
introduce three different classes of sequences of experts (timely,
arbitrary, or sparse), for which we provide efficient algorithms with no
parameter to tune and with tight regret guarantees that are adaptative to
the parameters of the class. We put a strong emphasis on anytime
strategies, which assume no time horizon nor any a priori knowledge on the
number of experts to come. Some general ideas emerge of our analysis, such
as the use of unnormalized weights to add more flexibility, or the
emphasis put on the choice of the prior to design algorithms.

Dates: 
Friday, February 3, 2017 - 11:00
Location: 
Inria, room A00
Speaker(s): 
Jaouad Mourtada
Affiliation(s): 
CMAP, Ecole Polytechnique