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| HAL : hal-00442042, version 2 |
| arXiv : 0912.3604 |
| Fiche détaillée |  Récupérer au format |
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| Versions disponibles : | v1 (18-12-2009) | v2 (03-10-2010) |
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| A Geometric Proof of Calibration |
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| Shie Mannor 1Gilles Stoltz 2, 3 |
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| (17/12/2009) |
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| We provide yet another proof of the existence of calibrated forecasters; it has two merits. First, it is valid for an arbitrary finite number of outcomes. Second, it is short and simple and it follows from a direct application of Blackwell's approachability theorem to carefully chosen vector-valued payoff function and convex target set. Our proof captures the essence of existing proofs based on approachability (e.g., the proof by Foster, 1999 in case of binary outcomes) and highlights the intrinsic connection between approachability and calibration. |
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| 1 : | Department of Electrical Engineering - Technion (EE-Technion) |
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Israel Institute of Technology |
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| 2 : | Département de Mathématiques et Applications (DMA) |
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CNRS : UMR8553 – Ecole Normale Supérieure de Paris - ENS Paris |
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| 3 : | Groupement de Recherche et d'Etudes en Gestion à HEC (GREGH) |
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GROUPE HEC – CNRS : UMR2959 |
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| INRIA, équipe CLASSIC |
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| Domaine | : | Sciences de l'Homme et Société/Economies et finances Statistiques/Machine Learning |
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| Liste des fichiers attachés à ce document : | ||||||||||
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| hal-00442042, version 2 | |
| http://hal.archives-ouvertes.fr/hal-00442042 | |
| oai:hal.archives-ouvertes.fr:hal-00442042 | |
| Contributeur : Gilles Stoltz | |
| Soumis le : Dimanche 3 Octobre 2010, 10:57:16 | |
| Dernière modification le : Dimanche 3 Octobre 2010, 20:23:12 | |
