[Ml-stat-talks] ORFE Seminar: Jacob Abernethy, February 21 at 4:30pm, Sherrerd Hall 101

Philippe Rigollet rigollet at Princeton.EDU
Mon Feb 18 14:49:17 EST 2013


=== ORFE Seminar Announcement === 

DATE:   Thursday, February 21, 2013   

TIME:   4:30pm 

LOCATION:   Room 101, Sherrerd Hall 

SPEAKER:  Jacob Abernethy, University of Pennsylvania

TITLE:  Flavors of Duality for Sequential Learning and Decision Problems 

ABSTRACT:  

Duality has been used for decades as a tool in developing algorithms for numerous problems, typically when the objective is optimization. But in recent years we have seen novel applications in the analysis and design of techniques for learning, prediction, and sequential decision problems. In this talk we consider three such connections: (a) the relationship         between Blackwell Approachability and Online Linear Optimization, and the use of cone duality; (b) the design of combinatorial prediction markets, and the use of Fenchel duality; (c) the analysis of option/derivative pricing and hedging under adversarial conditions, and the use of minimax duality.



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