Sequential decision making using expert advice
Thomas H. Chung · 2002
Presents a theory for sequentially choosing decisions by combining the suggestions of a fixed number of experts. the author takes a game theoretic approach and attempts to do as well as the best expert under worst case assumptions. Surprisingly, it is possible to do as well as if one knows the statistics of the system in advance. The author applies these results to the problem of how to gamble on a sequence of letters drawn from a finite alphabet.>