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PDE continuum limits for prediction with expert advice

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  • UserJeff Calder (University of Minnesota)
  • ClockThursday 06 June 2019, 15:00-16:00
  • HouseMR 14.

If you have a question about this talk, please contact Matthew Thorpe.

Prediction with expert advice refers to a class of machine learning problems that is concerned with how to optimally combine advice from multiple experts whose prediction qualities may vary greatly. We study a stock prediction problem with history-dependent experts and an adversarial (worst-case) market, posing the problem as a repeated two-player game. We prove that when the game is played for a long time, the discrete value function converges in the continuum to the solution of a nonlinear parabolic partial differential equation (PDE). This allows us to identify asymptotically optimal strategies for the player and market.

This talk is part of the Applied and Computational Analysis series.

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