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Distribution-Free Learning

Karl Schlag ()

No ECO2007/01, Economics Working Papers from European University Institute

Abstract: We select among rules for learning which of two actions in a stationary decision problem achieves a higher expected payo¤when payoffs realized by both actions are known in previous instances. Only a bounded set containing all possible payoffs is known. Rules are evaluated using maximum risk with maximin utility, minimax regret, competitive ratio and selection procedures being special cases. A randomized variant of fictitious play attains minimax risk for all risk functions with ex-ante expected payoffs increasing in the number of observations. Fictitious play itself has neither of these two properties. Tight bounds on maximal regret and probability of selecting the best action are included.

Keywords: fictitious play; nonparametric; finite sample; matched pairs; foregone payoffs; minimax risk; ex-ante improving; selection procedure (search for similar items in EconPapers)
JEL-codes: D83 D81 C44 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-cba and nep-cbe
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