Abstract
When relative loss bounds are considered, an on-line learning algorithm is compared to the performance of a class of off-line algorithms, called experts. In this paper we reconsider a result by Vovk, namely an upper bound on the on-line relative loss for linear regression with square loss — here the experts are linear functions. We give a shorter and simpler proof of Vovk’s result and give a new motivation for the choice of the predictions of Vovk’s learning algorithm. This is done by calculating the, in some sense, best prediction for the last trial of a sequence of trials when it is known that the outcome variable is bounded. We try to generalize these ideas to the case of generalized linear regression where the experts are neurons and give a formula for the “best” prediction for the last trial in this case, too. This prediction turns out to be essentially an integral over the “best” expert applied to the last instance. Predictions that are “optimal” in this sense might be good predictions for long sequences of trials as well.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Azoury, K., Warmuth, M.: Relative Loss Bounds for On-line Density Estimation with the Exponential Family of Distributions, to appear at the Fifteenth Conference on Uncertainty in Artificial Intelligence, UAI’99.
Beckenbach, E. F., Bellman, R.: Inequalities, Berlin: Springer, 1965.
Foster, D. P.: Prediction in the worst case, Annals of Statistics 19, 1084–1090.
Kivinen, J., Warmuth, M.: Relative Loss Bounds for Multidimensional Regression Problems. In Jordan, M., Kearns, M., Solla, S., editors, Advances in Neural Infor-mation Processing Systems 10 (NIPS 97), 287–293, MIT Press, Cambridge, MA, 1998.
Kivinen, J., Warmuth, M.: Additive versus exponentiated gradient updates for linear prediction, Information and Computation 132:1–64, 1997.
Vovk, V.: Competitive On-Line Linear Regression. Technical Report CSD-TR-97-13, Department of Computer Science, Royal Holloway, University of London, 1997.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1999 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Forster, J. (1999). On relative loss bounds in generalized linear regression. In: Ciobanu, G., Păun, G. (eds) Fundamentals of Computation Theory. FCT 1999. Lecture Notes in Computer Science, vol 1684. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-48321-7_22
Download citation
DOI: https://doi.org/10.1007/3-540-48321-7_22
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-66412-3
Online ISBN: 978-3-540-48321-2
eBook Packages: Springer Book Archive