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Robust approachability and regret minimization in games with partial monitoring

Robust approachability and regret minimization in games with partial monitoring,Computing Research Repository,Shie Mannor,Vianney Perchet,Gilles Stolt

Robust approachability and regret minimization in games with partial monitoring  
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Approachability has become a standard tool in analyzing learning algorithms in the adversarial online learning setup. We develop a variant of approachability for games where there is ambiguity in the obtained reward that belongs to a set, rather than being a single vector. Using this variant we tackle the problem of approachability in games with partial monitoring and develop simple and efficient algorithms (i.e., with constant per-step complexity) for this setup. We finally consider external and internal regret in repeated games with partial monitoring, for which we derive regret-minimizing strategies based on approachability theory.IMPORTANT NOTE:A corrigendum for this article is available at the address http://hal.archives-ouvertes.fr/hal-00617554
Journal: Computing Research Repository - CORR , vol. abs/1105.4, 2011
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