Prediction with Expert Advice: Anytime Regret with Many Experts Matches the Fixed-Time Constant
TL;DR
An algorithm is given, requiring no knowledge of the horizon, whose cumulative regret satisfies R_t, whose cumulative regret satisfies 1 + O(\sqrt{\ln \ln n / \ln n})\bigr)\sqrt{t \ln n / 2}$ simultaneously for every $t \ge 1$.
Abstract
Prediction with expert advice is a fundamental problem in online learning. When the time horizon $T$ is known in advance, the minimax cumulative regret over $n$ experts is asymptotically $\sqrt{\frac{T \ln n}{2}}$. This is achieved by the Multiplicative Weights Update algorithm with a learning rate tuned to $T$, and is known to be tight. If instead the regret bound is required to hold simultaneously at every time $t$, the best known guarantee has been $\sqrt{t \ln n}$---a factor of $\sqrt{2}$ worse---and it has remained unknown whether this factor of $\sqrt{2}$ is necessary. We show that it is not. We give an algorithm, requiring no knowledge of the horizon, whose cumulative regret satisfies $R_t \le \bigl(1 + O(\sqrt{\ln \ln n / \ln n})\bigr)\sqrt{t \ln n / 2}$ simultaneously for every $t \ge 1$.
