Fall 2014 (Aug-Dec)

Online Prediction and Learning

Course No.: E1 245 (AUG)

Instructor: Aditya Gopalan, ECE 2.09, Dept. of ECE, E-mail: first-name AT ece.iisc.ernet.in

Time: TTh 9:30-11:00 (first class: Aug 5, 2014)

Place: ECE 1.07

Office Hours: TTh 15:00-16:00, ECE 2.09

Course Description: The ability to make continual and accurate forecasts is key in many of today’s data-driven intelligent systems. This 3-credit elective course is aimed to expose students to techniques for sequential learning and decision making under uncertainty. We will explore several frameworks and algorithms for online learning along with a rigorous understanding of their performance. We will also look at interesting applications of these techniques, such as portfolio optimization (finance), data compression (information theory), etc.

Contents: Online classification; Regret Minimization; Learning with experts; Online convex optimization; Learning under bandit feedback; Calibration; Applications- sequential investment/portfolio selection, universal lossless data compression, Stochastic games- Blackwell approachability, Learning systems with state- Markov Decision Processes, online reinforcement learning

Prerequisites: Basic probability/stochastic processes, linear algebra, familiarity with convexity & mathematical fluency. Contact the instructor for clarifications.

Text: We will not follow any standard textbook(s). However, a rough basis will be "Prediction, Learning and Games" ("PLG"). Nicolo Cesa-Bianchi and Gabor Lugosi, Cambridge University Press, 2006 [local PDF copy]

Homework:

Final Exam: December 9, 2014

Scribing: Each student is expected to scribe 2 lectures in LaTeX (worth 20% of the grade). The goal is to post high-quality scribed notes within a week of the lecture. Please send me a draft of the scribe notes within 4 days of each lecture so that we can meet this goal by iterating if necessary. Please use this LaTeX template for scribe notes. Cite clearly all references that you use.

Disclaimer: These notes have not been subjected to the usual scrutiny reserved for formal publications.

Lectures:


Last updated: 07-Jan-2022, 18:33:24 IST