[Ml-stat-talks] ORFE seminar TODAY @ 4:30-- Jake Abernethy (Upenn)
rigollet at Princeton.EDU
Thu Feb 21 14:06:30 EST 2013
=== ORFE Seminar Announcement ===
DATE: Thursday, February 21, 2013
LOCATION: Room 101, Sherrerd Hall
SPEAKER: Jacob Abernethy, University of Pennsylvania
TITLE: Flavors of Duality for Sequential Learning and Decision Problems
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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