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Main: FollowTheRegularizedLeader

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).


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Page last modified on July 12, 2008, at 08:45 AM