Data dependent concentration bounds for sequential prediction algorithms

  • Authors:
  • Tong Zhang

  • Affiliations:
  • IBM T.J. Watson Research Center, Yorktown Heights, NY

  • Venue:
  • COLT'05 Proceedings of the 18th annual conference on Learning Theory
  • Year:
  • 2005

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Abstract

We investigate the generalization behavior of sequential prediction (online) algorithms, when data are generated from a probability distribution. Using some newly developed probability inequalities, we are able to bound the total generalization performance of a learning algorithm in terms of its observed total loss. Consequences of this analysis will be illustrated with examples.