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Nonlinear Analysis

PDE continuum limits for prediction with expert advice

Jeff Calder, Universoty of Minnesota

Location:  Zoom
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).

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