Online algorithm for aggregating experts predictions with unbounded quadratic loss

Abstract

We propose an algorithm for aggregating experts’ predictions which does not require a prior knowledge of the upper bound on the losses. The algorithm is based on the exponential reweighing of experts’ losses.

Publication
In Russian Mathematical Surveys
Alexander Korotin
Alexander Korotin
Assistant professor,
senior research scientist

My research interests include generative modeling, unpaired learning, optimal transport and Schrodinger bridges.