bremen79 / precise

Portfolio REgret for Confidence SEquences

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PRECiSE

This MATLAB software package implements the algorithms in the paper

Orabona and Jun, "Tight Concentrations and Confidence Sequences from the Regret of Universal Portfolio", ArXiv 2021

The algorithms construct a sequence of time-uniform confidence intervals, also known as confidence sequences, using a betting approach. In particular, the regret of universal portfolio algorithms is used to construct implicit concentration inequalities that are numerically inverted.

Take a look at demo.m for an example of usage.

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Portfolio REgret for Confidence SEquences

License:GNU General Public License v3.0


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