Follow The Regularized Leader

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It is an algorithm for [[on-line linear optimization]]. It is similar to [[Follow the leader]], but instead of giving prediction $x_{T+1} = \arg\min_{x \in \mathcal{K}} \sum_{t=1}^T f'_t x$, it gives $x_{T+1} = \arg\min_{x \in \mathcal{K}} \sum_{t=1}^T f'_t x + cR(x)$, where $R(x)$ is some convex differentiable regularizing term. In the context of classification, see Svalev-Shwartz et al. (2007).

!!! Bibliography
* Shai Shalev-Shwartz and Yoram Singer. A primal-dual perspective of online learning algorithms. ''Mach. Learn.'', '''69(2-3)''':115142, 2007.