Seminars & Colloquia Calendar
PDE continuum limits for prediction with expert advice
Jeff Calder, Universoty of Minnesota
Date & time: Wednesday, 31 March 2021 at 9:30AM - 10:30AM
Abstract: Prediction with expert advice refers to a class of machine learning problems that is concerned with how to optimally combine advice from multiple experts whose prediction qualities may vary greatly. We study a stock prediction problem with history-dependent experts and an adversarial (worst-case) market, posing the problem as a repeated two-player game. The game is a generalization of the Kohn-Serfaty two-player game for curvature motion. We prove that when the game is played for a long time, the discrete value functions converge in the continuum to the solution of a nonlinear parabolic partial differential equation (PDE) and the optimal strategies are characterized by the solution of a Poisson equation over a De Bruijn graph, arising from the history-dependence of the experts. Joint work with Nadejda Drenska (UMN).
Meeting ID: 924 8937 5526 Passcode: 565238