Abstract
We study the problem of prediction of binary sequences with expert advice in the online setting, which is a classic example of online machine learning. We interpret the binary sequence as the price history of a stock, and view the predictor as an investor, which converts the problem into a stock prediction problem. In this framework, an investor, who predicts the daily movements of a stock, and an adversarial market, who controls the stock, play against each other over N turns. The investor combines the predictions of (Figure presented.) experts in order to make a decision about how much to invest at each turn, and aims to minimize their regret with respect to the best-performing expert at the end of the game. We consider the problem with history-dependent experts, in which each expert uses the previous d days of history of the market in making their predictions. We prove that the value function for this game, rescaled appropriately, converges as (Figure presented.) at a rate of (Figure presented.) to the viscosity solution of a nonlinear degenerate elliptic PDE, which can be understood as the Hamilton-Jacobi-Issacs equation for the two-person game. As a result, we are able to deduce asymptotically optimal strategies for the investor. Our results extend those established by the first author and R.V. Kohn [14] for (Figure presented.) experts and (Figure presented.) days of history.
Original language | English (US) |
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Pages (from-to) | 1678-1727 |
Number of pages | 50 |
Journal | Communications on Pure and Applied Mathematics |
Volume | 76 |
Issue number | 9 |
DOIs | |
State | Published - Sep 2023 |
Bibliographical note
Publisher Copyright:© 2022 The Authors. Communications on Pure and Applied Mathematics published by Wiley Periodicals LLC.