Skip to main content

On the Value of Stochastic Side Information in Online Learning

Junzhang Jia (University of Melbourne); Xuetong Wu (University of Melbourne); Jamie S Evans (University of Melbourne); Jingge Zhu (University of Melbourne)

  • SPS
    Members: Free
    IEEE Members: $11.00
    Non-members: $15.00
07 Jun 2023

We study the effectiveness of stochastic side information in deterministic online learning scenarios. We propose a forecaster to predict a deterministic sequence where its performance is evaluated against an expert class. We assume that certain stochastic side information is available to the forecaster but not the experts. We define the minimax expected regret for evaluating the forecaster's performance, for which we obtain both upper and lower bounds. Consequently, our results characterize the improvement in the regret due to the stochastic side information. Compared with the classical online learning problem with regret scales with $O(\sqrt{n})$, the regret can be negative when the stochastic side information is more powerful than the experts. To illustrate, we apply the proposed bounds to two concrete examples of different types of side information.

More Like This

  • SPS
    Members: Free
    IEEE Members: $11.00
    Non-members: $15.00
  • SPS
    Members: Free
    IEEE Members: $11.00
    Non-members: $15.00
  • SPS
    Members: Free
    IEEE Members: $11.00
    Non-members: $15.00