Regret-Optimal Federated Transfer Learning for Kernel Regression with Applications in American Option Pricing

Xuwei Yang, Anastasis Kratsios, Florian Krach +2

We propose an optimal iterative scheme for federated transfer learning, where a central planner has access to datasets ${\mathcal{D}}_1,\dots ,{\mathcal{D}}_N$ for the same learning model $f_…