Consider the classical problem of predicting the next bit in a sequence of bits. A standard performance measure is regret (loss in payoff) with respect to a set of experts. For example if we measure performance with respect to two constant experts one that always predicts 0's and another that always predicts 1's it is well known that one can get regret @math with respect to the best expert by using, say, the weighted majority algorithm. But this algorithm does not provide performance guarantee in any interval. There are other algorithms that ensure regret @math in any interval of length @math . In this paper we show a randomized algorithm that in an amortized sense gets a regret of @math for any interval when the sequence is partitioned into intervals arbitrarily. We empirically estimated the constant in the @math for @math upto 2000 and found it to be small -- around 2.1. We also experimentally evaluate the efficacy of this algorithm in predicting high frequency stock data.
Numerous papers (for example @cite_11 @cite_2 @cite_10 ) have implemented algorithms inspired from regret style analysis and applied it on financial and other types of data.
@cite_10 @cite_2 @cite_11
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We provide the first oracle efficient sublinear regret algorithms for adversarial versions of the contextual bandit problem. In this problem, the learner repeatedly makes an action on the basis of a context and receives reward for the chosen action, with the goal of achieving reward competitive with a large class of policies. We analyze two settings: i) in the transductive setting the learner knows the set of contexts a priori, ii) in the small separator setting, there exists a small set of contexts such that any two policies behave differently on one of the contexts in the set. Our algorithms fall into the Follow-The-Perturbed-Leader family (Kalai & Vempala, 2005) and achieve regret O(T3 4√K log(N)) in the transductive setting and O(T2 3d3 4K√log(N)) in the separator setting, where T is the number of rounds, K is the number of actions, N is the number of base-line policies, and d is the size of the separator. We actually solve the more general adversarial contextual semi-bandit linear optimization problem, whilst in the full information setting we address the even more general contextual combinatorial optimization. We provide several extensions and implications of our algorithms, such as switching regret and efficient learning with predictable sequences. We experimentally study on-line investment algorithms first proposed by Agarwal and Hazan and extended by which achieve almost the same wealth as the best constant-rebalanced portfolio determined in hindsight. These algorithms are the first to combine optimal logarithmic regret bounds with efficient deterministic computability. They are based on the Newton method for offline optimization which, unlike previous approaches, exploits second order information. After analyzing the algorithm using the potential function introduced by Agarwal and Hazan, we present extensive experiments on actual financial data. These experiments confirm the theoretical advantage of our algorithms, which yield higher returns and run considerably faster than previous algorithms with optimal regret. Additionally, we perform financial analysis using mean-variance calculations and the Sharpe ratio. We study online aggregation of the predictions of experts, and first show new second-order regret bounds in the standard setting, which are obtained via a version of the Prod algorithm (and also a version of the polynomially weighted average algorithm) with multiple learning rates. These bounds are in terms of excess losses, the differences between the instantaneous losses suffered by the algorithm and the ones of a given expert. We then demonstrate the interest of these bounds in the context of experts that report their confidences as a number in the interval [0; 1] using a generic reduction to the standard setting. We conclude by two other applications in the standard setting, which improve the known bounds in case of small excess losses and show a bounded regret against i.i.d. sequences of losses. We propose the k-representative regret minimization query (k-regret) as an operation to support multi-criteria decision making. Like top-k, the k-regret query assumes that users have some utility or scoring functions; however, it never asks the users to provide such functions. Like skyline, it filters out a set of interesting points from a potentially large database based on the users' criteria; however, it never overwhelms the users by outputting too many tuples. In particular, for any number k and any class of utility functions, the k-regret query outputs k tuples from the database and tries to minimize the maximum regret ratio. This captures how disappointed a user could be had she seen k representative tuples instead of the whole database. We focus on the class of linear utility functions, which is widely applicable. The first challenge of this approach is that it is not clear if the maximum regret ratio would be small, or even bounded. We answer this question affirmatively. Theoretically, we prove that the maximum regret ratio can be bounded and this bound is independent of the database size. Moreover, our extensive experiments on real and synthetic datasets suggest that in practice the maximum regret ratio is reasonably small. Additionally, algorithms developed in this paper are practical as they run in linear time in the size of the database and the experiments show that their running time is small when they run on top of the skyline operation which means that these algorithm could be integrated into current database systems.