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This paper resolves a long-standing theoretical gap in online learning by proving that the suboptimal regret bound previously required when the time horizon is unknown is unnecessary. The authors introduce an algorithm that achieves near-optimal performance simultaneously at every step without needing to know the total number of rounds in advance. This advancement refines the fundamental limits of adaptive strategies for expert advice, a core concept in reinforcement learning and sequential decision-making.
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Prediction with Expert Advice: Anytime Regret with Many Experts Matches the Fixed-Time Constant

arXiv2 min read

arXiv:2609.27206v1 Announce Type: cross Abstract: Prediction with expert advice is a fundamental problem in online learning. When the time horizon $T$ is known in advance, the minimax cumulative regret over $n$ experts is asymptotically $\sqrt{\frac{T \ln n}{2}}$. This is achieved by the Multiplicative Weights Update algorithm with a learning rate tuned to $T$, and is known to be tight. If instead the regret bound is required to hold simultaneously at every time $t$, the best known guarantee has been $\sqrt{t \ln n}$---a factor of $\sqrt{2}$ worse---and it has remained unknown whether this factor of $\sqrt{2}$ is necessary. We show that it is not. We give an algorithm, requiring no knowledge of the horizon, whose cumulative regret satisfies $R_t \le \bigl(1 + O(\sqrt{\ln \ln n / \ln n})\bigr)\sqrt{t \ln n / 2}$ simultaneously for every $t \ge 1$.

Abstract:Prediction with expert advice is a fundamental problem in online learning. When the time horizon $T$ is known in advance, the minimax cumulative regret over $n$ experts is asymptotically $\sqrt{\frac{T \ln n}{2}}$. This is achieved by the Multiplicative Weights Update algorithm with a learning rate tuned to $T$, and is known to be tight. If instead the regret bound is required to hold simultaneously at every time $t$, the best known guarantee has been $\sqrt{t \ln n}$---a factor of $\sqrt{2}$ worse---and it has remained unknown whether this factor of $\sqrt{2}$ is necessary. We show that it is not. We give an algorithm, requiring no knowledge of the horizon, whose cumulative regret satisfies $R_t \le \bigl(1 + O(\sqrt{\ln \ln n / \ln n})\bigr)\sqrt{t \ln n / 2}$ simultaneously for every $t \ge 1$.

Machine Learning (stat.ML); Machine Learning (cs.LG)

arXiv:2609.27206 [stat.ML]

(or arXiv:2609.27206v1 [stat.ML] for this version)

https://doi.org/10.48550/arXiv.2609.27206 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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Full text under the publisher's open licence · 229 words

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