Prediction with Advice of Unknown Number of Experts

Understand

In the framework of prediction with expert advice, we consider a recently introduced kind of regret bounds: the bounds that depend on the effective instead of nominal number of experts.

• In contrast to the Normal- Hedge bound, which mainly depends on the effective number of experts but also weakly depends on the nominal one, we obtain a bound that does not contain the nominal number of experts at all.
• We use the defensive forecasting method and introduce an application of defensive forecasting to multivalued supermartingales.