Adaptive Hedging under Delayed Feedback

02/27/2019

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by   Alexander Korotin, et al.

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The article is devoted to investigating the application of hedging strategies to online expert weight allocation under delayed feedback. As the main result, we develop the General Hedging algorithm G based on the exponential reweighing of experts' losses. We build the artificial probabilistic framework and use it to prove the adversarial loss bounds for the algorithm G in the delayed feedback setting. The designed algorithm G can be applied to both countable and continuous sets of experts. We also show how algorithm G extends classical Hedge (Multiplicative Weights) and adaptive Fixed Share algorithms to the delayed feedback and derive their regret bounds for the delayed setting by using our main result.