hedge algorithm

Hedge algorithm and Dual Averaging schemes

  • Michel Baes
  • Michael Bürgisser
    • Categories Convex Optimization Tags , , ,

    We show that the Hedge algorithm, a method that is widely used in Machine Learning, can be interpreted as a particular instance of Dual Averaging schemes, which have recently been introduced by Nesterov for regret minimization. Based on this interpretation, we establish three alternative methods of the Hedge algorithm: one in the form of the … Read more

    Hedge Algorithm and Subgradient Methods

  • Michel Baes
  • Michael Bürgisser
    • Categories Convex Optimization Tags , , , ,

    We show that the Hedge Algorithm, a method that is widely used in Machine Learning, can be interpreted as a particular subgradient algorithm for minimizing a well-chosen convex function, namely as a Mirror Descent Scheme. Using this reformulation, we establish three modificitations and extensions of the Hedge Algorithm that are better or at least as … Read more