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BEGIN:VEVENT
UID:ff27897dd527a0073716f17b0be255b1
CATEGORIES:Nonlinear Analysis
CREATED:20210308T124256
SUMMARY:PDE continuum limits for prediction with expert advice
LOCATION:Zoom
DESCRIPTION:<p><strong>Abstract:&nbsp;</strong>Prediction with expert advice refers to 
 a class of machine learning problems that is concerned with how to optimall
 y 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 t
 wo-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 lon
 g time, the discrete value functions converge in the continuum to the solut
 ion of a nonlinear parabolic partial differential equation (PDE) and the op
 timal strategies are characterized by the solution of a Poisson equation ov
 er a De Bruijn graph, arising from the history-dependence of the experts. J
 oint work with Nadejda Drenska (UMN).</p>
CONTACT:Jeff Calder, Universoty of Minnesota
X-EXTRAINFO:https://rutgers.zoom.us/j/92489375526?pwd=K0xyMEpHQXIrc0NLMEtqUWdSNHF4QT09#
 success\nMeeting ID: 924 8937 5526 Passcode: 565238
DTSTAMP:20260828T230835
DTSTART;TZID=America/New_York:20210331T093000
DTEND;TZID=America/New_York:20210331T103000
SEQUENCE:0
TRANSP:OPAQUE
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