PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Adaptive Hedge
Tim Erven, van, Peter Grünwald, Wouter Koolen and Steven de Rooij
In: NIPS 2011, 12-14 Dec 2011, Granada, Spain.

Abstract

Most methods for decision-theoretic online learning are based on the Hedge algorithm, which takes a parameter called the learning rate. In most previous analyses the learning rate was carefully tuned to obtain optimal worst-case performance, leading to suboptimal performance on easy instances, for example when there exists an action that is significantly better than all others. We propose a new way of setting the learning rate, which adapts to the difficulty of the learning problem: in the worst case our procedure still guarantees optimal performance, but on easy instances it achieves much smaller regret. In particular, our adaptive method achieves constant regret in a probabilistic setting, when there exists an action that on average obtains strictly smaller loss than all other actions. We also provide a simulation study comparing our approach to existing methods.

EPrint Type:Conference or Workshop Item (Talk)
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
Theory & Algorithms
ID Code:8886
Deposited By:Steven de Rooij
Deposited On:21 February 2012