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- W4289552415 abstract "In this paper, we study the behavior of the Hedge algorithm in the online stochastic setting. We prove that anytime Hedge with decreasing learning rate, which is one of the simplest algorithm for the problem of prediction with expert advice, is surprisingly both worst-case optimal and adaptive to the easier stochastic and adversarial with a gap problems. This shows that, in spite of its small, non-adaptive learning rate, Hedge possesses the same optimal regret guarantee in the stochastic case as recently introduced adaptive algorithms. Moreover, our analysis exhibits qualitative differences with other variants of the Hedge algorithm, such as the fixed-horizon version (with constant learning rate) and the one based on the so-called doubling trick, both of which fail to adapt to the easier stochastic setting. Finally, we discuss the limitations of anytime Hedge and the improvements provided by second-order regret bounds in the stochastic case." @default.
- W4289552415 created "2022-08-03" @default.
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- W4289552415 date "2018-09-05" @default.
- W4289552415 modified "2023-09-27" @default.
- W4289552415 title "On the optimality of the Hedge algorithm in the stochastic regime" @default.
- W4289552415 doi "https://doi.org/10.48550/arxiv.1809.01382" @default.
- W4289552415 hasPublicationYear "2018" @default.
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