TY - GEN
T1 - Prediction with Expert Evaluators' Advice
AU - Chernov, Alexey
AU - Vovk, Vladimir
N1 - © Springer-Verlag Berlin Heidelberg 2009
PY - 2009/12/31
Y1 - 2009/12/31
N2 - We introduce a new protocol for prediction with expert advice in which each expert evaluates the learner’s and his own performance using a loss function that may change over time and may be different from the loss functions used by the other experts. The learner’s goal is to perform better or not much worse than each expert, as evaluated by that expert, for all experts simultaneously. If the loss functions used by the experts are all proper scoring rules and all mixable, we show that the defensive forecasting algorithm enjoys the same performance guaranteeas that attainable by the Aggregating Algorithm in the standard setting and known to be optimal. This result is also applied to the case of “specialist” experts. In this case, the defensive forecasting algorithm reduces to a simple modification of the Aggregating Algorithm.
AB - We introduce a new protocol for prediction with expert advice in which each expert evaluates the learner’s and his own performance using a loss function that may change over time and may be different from the loss functions used by the other experts. The learner’s goal is to perform better or not much worse than each expert, as evaluated by that expert, for all experts simultaneously. If the loss functions used by the experts are all proper scoring rules and all mixable, we show that the defensive forecasting algorithm enjoys the same performance guaranteeas that attainable by the Aggregating Algorithm in the standard setting and known to be optimal. This result is also applied to the case of “specialist” experts. In this case, the defensive forecasting algorithm reduces to a simple modification of the Aggregating Algorithm.
U2 - 10.1007/978-3-642-04414-4_6
DO - 10.1007/978-3-642-04414-4_6
M3 - Conference contribution with ISSN or ISBN
VL - 5809
T3 - Lecture Notes in Computer Science
SP - 8
EP - 22
BT - 20th International Conference, ALT 2009
PB - Springer
CY - Berlin
T2 - 20th International Conference, ALT 2009
Y2 - 31 December 2009
ER -