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arXiv 2102.01046cs.LGcs.CC
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一种新的专家算法及其应用

Impossible Tuning Made Possible: A New Expert Algorithm and Its Applications

University of Southern California(南加州大学)

Liyu Chen, Haipeng Luo, Chen-Yu Wei

摘要:

我们解决了长期存在的“不可能调整”的问题,经典的专家问题,并表明,它实际上是可能实现遗憾$O\left(\sqrt{(\ln d)\sum_t \ell_{t,i}^2}\right)$同时为所有专家$i$在$T$轮$d$ -专家问题,其中$\ell_{t,i}$是专家$i$在轮$t$的损失。我们的算法是基于镜像下降框架的校正项和加权熵正则化。虽然很自然,但该算法以前没有被研究过,需要仔细分析。我们还概括了$O\left(\sqrt{(\ln d)\sum_t (\ell_{t,i}-m_{t,i})^2}\right)$的任何预测向量$m_t$,学习者接收的约束,并恢复或改善许多现有的结果,通过选择不同的$m_t$。此外,我们使用相同的框架来创建一个主算法,它结合了一组基本算法,并以很小的开销学习最好的算法。我们的主人的新保证使我们能够为专家问题和更普遍的在线线性优化得出许多新的结果。

英文摘要:

We resolve the long-standing "impossible tuning" issue for the classic expert problem and show that, it is in fact possible to achieve regret $O\left(\sqrt{(\ln d)\sum_t \ell_{t,i}^2}\right)$ simultaneously for all expert $i$ in a $T$-round $d$-expert problem where $\ell_{t,i}$ is the loss for expert $i$ in round $t$. Our algorithm is based on the Mirror Descent framework with a correction term and a weighted entropy regularizer. While natural, the algorithm has not been studied before and requires a careful analysis. We also generalize the bound to $O\left(\sqrt{(\ln d)\sum_t (\ell_{t,i}-m_{t,i})^2}\right)$ for any prediction vector $m_t$ that the learner receives, and recover or improve many existing results by choosing different $m_t$. Furthermore, we use the same framework to create a master algorithm that combines a set of base algorithms and learns the best one with little overhead. The new guarantee of our master allows us to derive many new results for both the expert problem and more generally Online Linear Optimization.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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