A Note on Parameter Tuning for On-Line Shifting Algorithms

Bousquet, O

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A Note on Parameter Tuning for On-Line Shifting Algorithms

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Bousquet, O
Department Empirical Inference, Max Planck Institute for Biological Cybernetics, Max Planck Society;
Max Planck Institute for Biological Cybernetics, Max Planck Society;

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Bousquet, O.(2003). A Note on Parameter Tuning for On-Line Shifting Algorithms. Tübingen, Germany: Max Planck Institute for Biological Cybernetics.

Cite as: https://hdl.handle.net/11858/00-001M-0000-0013-DDF2-F

Abstract

In this short note, building on ideas of M. Herbster [2] we propose a method for automatically tuning the
parameter of the FIXED-SHARE algorithm proposed by Herbster and
Warmuth [3] in the context of on-line learning with
shifting experts. We show that this can be done with a memory
requirement of O(nT) and that the additional loss incurred by
the tuning is the same as the loss incurred for estimating the
parameter of a Bernoulli random variable.