On the asymptotic optimality of the comb strategy for prediction with expert advice

Erhan Bayraktar; Ibrahim Ekren; Yili Zhang

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arXiv · 1902.02368

On the asymptotic optimality of the comb strategy for prediction with expert advice

Erhan Bayraktar·Ibrahim Ekren·Yili Zhang

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Abstract

For the problem of prediction with expert advice in the adversarial setting with geometric stopping, we compute the exact leading order expansion for the long time behavior of the value function. Then, we use this expansion to prove that as conjectured in Gravin et al. [12], the comb strategies are indeed asymptotically optimal for the adversary in the case of 4 experts.

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Erhan Bayraktar, Ibrahim Ekren, Yili Zhang. 2019-02-06. On the asymptotic optimality of the comb strategy for prediction with expert advice. https://arxiv.org/abs/1902.02368

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