Nadia Drenska : A PDE Interpretation of Prediction with Expert Advice

Posted by Ian Tobasco , part of the Analysis and Applied Mathematics Seminar.

At

Feb. 10, 2020, 4 p.m.

In

636 SEO

Abstract

Prediction with expert advice is an area of online machine learning, which aims to synthesize advice from different experts. We consider the case of a stock prediction problem with an investor who relies on history-dependent experts, and an adversarial market. This forms a two-person game, and we are interested in the optimal strategies of the market and the player when the game is played over a long time. We prove that the discrete value function converges to the unique solution of a nonlinear parabolic PDE, which determines asymptotically optimal strategies.