A wide range no-regret theorem |
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Institution: | 1. School of Computer Science, South China Normal University, Guangzhou, China;2. School of Computer Science, Electrical and Electronic Engineering, and Engineering Maths, University of Bristol, UK;3. Department of Information and Management Science, Guangxi Normal University, Guilin, China |
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Abstract: | In a sequential decision problem at any stage a decision maker, based on the history, takes a decision and receives a payoff which depends also on the realized state of nature. A strategy, f, is said to be as good as an alternative strategy g at a sequence of states, if in the long run f does, on average, at least as well as g does. It is shown that for any distribution, μ, over the alternative strategies there is a strategy f which is, at any sequence of states, as good as μ-almost any alternative g. |
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