136 citations · 816 across the 52 of their papers we have counts for
3 papers · 1 filter
Adaptive Hedge
Tim van Erven, Peter Grünwald, Wouter M. Koolen +1
Most methods for decision-theoretic online learning are based on the Hedge algorithm, which takes a parameter called the learning rate. In most previous analyses the learning rate…
Probability-free pricing of adjusted American lookbacks
A. Philip Dawid, Steven de Rooij, Peter Grunwald +5
Consider an American option that pays G(X^*_t) when exercised at time t, where G is a positive increasing function, X^*_t := \sup_{s\le t}X_s, and X_s is the price of the underlyin…
Explicit Bounds for Entropy Concentration under Linear Constraints
Kostas N. Oikonomou, Peter D. Grunwald
Consider the set of all sequences of outcomes, each taking one of values, that satisfy a number of linear constraints. If is fixed while increases, most sequences t…