Asymptotically optimal strategies for online prediction with history-dependent experts

Abstract: We establish sharp asymptotically optimal strategies for the problem of online prediction with history dependent experts. The prediction problem is played (in part) over a discrete graph called the $d$ dimensional de Bruijn graph, where $d$ is the number of days of history used by the experts. Previous work [11] established $O(\varepsilon)$ optimal strategies for $n=2$ experts and $d\leq 4$ days of history, while [10] established $O(\varepsilon^{1/3})$ optimal strategies for all $n\geq 2$ and all $d\geq 1$, where the game is played for $N$ steps and $\varepsilon=N^{-1/2}$. In this paper, we show that the optimality conditions over the de Bruijn graph correspond to a graph Poisson equation, and we establish $O(\varepsilon)$ optimal strategies for all values of $n$ and $d$.