Efficient tracking of a growing number of experts
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Abstract (arXiv)
We consider a variation on the problem of prediction with expert advice, where new forecasters that were unknown until then may appear at each round. As often in prediction with expert advice, designing an algorithm that achieves near-optimal regret guarantees is straightforward, using aggregation of experts. However, when the comparison class is sufficiently rich, for instance when the best expert and the set of experts itself changes over time, such strategies naively require to maintain a prohibitive number of weights (typically exponential with the time horizon). By contrast, designing strategies that both achieve a near-optimal regret and maintain a reasonable number of weights is highly non-trivial. We consider three increasingly challenging objectives (simple regret, shifting regret and sparse shifting regret) that extend existing notions defined for a fixed expert ensemble; in each case, we design strategies that achieve tight regret bounds, adaptive to the parameters of the comparison class, while being computationally inexpensive. Moreover, our algorithms are anytime, agnostic to the number of incoming experts and completely parameter-free. Such remarkable results are made possible thanks to two simple but highly effective recipes: first the "abstention trick" that comes from the specialist framework and enables to handle the least challenging notions of regret, but is limited when addressing more sophisticated objectives. Second, the "muting trick" that we introduce to give more flexibility. We show how to combine these two tricks in order to handle the most challenging class of comparison strategies.
Key facts. Cited by 10 papers in the map (data through 14 Oct 2026). First posted on arXiv 31 Aug 2017.
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Citing papers per year: 2021: 3; 2022: 0; 2023: 1; 2024: 2; 2025: 1; 2026: 3.
10 papers.
- 2021Isotuning With Applications To Scale-Free Online Learningcited by 4
- 2021Improved Regret Bounds for Tracking Experts with Memorycited by 3
- 2021Expert Aggregation for Financial Forecastingcited by 3
- 2026Prediction with Expert Advice: Anytime Regret with Many Experts Matches the Fixed-Time Constantcited by 2
- 2024Adaptive time series forecasting with markovian variance switchingcited by 1
- 2024Exponential Speedups by Rerooting Levin Tree Searchcited by 1
- 2023Dynamic Knowledge Injection for AIXI Agentscited by 0
- 2025The Hidden Game Problemcited by 0
- 2026Counterfactual Regret for Reflective Agents with Lean-Verified Guaranteescited by 0
- 2026Tracking a Small Set of Experts in Online Convex Optimizationcited by 0
- 2026Tracking a Small Set of Experts in Online Convex Optimization14 Oct 2026
- 2026Counterfactual Regret for Reflective Agents with Lean-Verified Guarantees10 Oct 2026
- 2026Prediction with Expert Advice: Anytime Regret with Many Experts Matches the Fixed-Time Constant23 Sep 2026
- 2025The Hidden Game Problem4 Oct 2025
- 2024Exponential Speedups by Rerooting Levin Tree Search6 Dec 2024
- 2024Adaptive time series forecasting with markovian variance switching22 Feb 2024
- 2023Dynamic Knowledge Injection for AIXI Agents18 Dec 2023
- 2021Isotuning With Applications To Scale-Free Online Learning29 Dec 2021
- 2021Expert Aggregation for Financial Forecasting25 Nov 2021
- 2021Improved Regret Bounds for Tracking Experts with Memory24 Jun 2021