Random Walk Approach to Regret Minimization
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Statistics Papers
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Statistics and Probability
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Narayanan, Hariharan
Rakhlin, Alexander
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Abstract
We propose a computationally efficient random walk on a convex body which rapidly mixes to a time-varying Gibbs distribution. In the setting of online convex optimization and repeated games, the algorithm yields low regret and presents a novel efficient method for implementing mixture forecasting strategies.
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Date of presentation
2010-01-01
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Statistics Papers
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2023-05-17T15:04:00.000