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SUMMARY:PDE continuum limits for prediction with expert advice - Jeff Cald
 er (University of Minnesota)
DTSTART:20190606T140000Z
DTEND:20190606T150000Z
UID:TALK116731@talks.cam.ac.uk
CONTACT:Matthew Thorpe
DESCRIPTION:Prediction with expert advice refers to a class of machine lea
 rning 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. W
 e 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 parabol
 ic partial differential equation (PDE). This allows us to identify asympto
 tically optimal strategies for the player and market.
LOCATION:MR 14
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