Abstract:
In the first part of the paper we consider the problem of dynamically apportioning resources among a set of options in a worst-case on-line framework. The model we study can be interpreted as a broad, abstract extension of the well-studied on-line prediction model to a general decision-theoretic setting. We show that the multiplicative weightupdate rule of Littlestone and Warmuth [15] can be adapted to this model yielding bounds that are slightly weaker in some cases, but applicable to a considerably more general class of learning problems. We show how the resulting learning algorithm can be applied to a variety of problems, including gambling, multiple-outcome prediction, repeated games and prediction of points in R n . In the second part of the paper we apply the multiplicative weight-update technique to derive a new boosting algorithm. This boosting algorithm does not require any prior knowledge about the performance of the weak learning algorithm. We also study generalizations of...
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