PDE APPROACH TO THE PROBLEM OF ONLINE PREDICTION WITH EXPERT ADVICE: A CONSTRUCTION OF POTENTIAL-BASED STRATEGIES

We consider a sequence of repeated prediction games and formally pass to the limit. The supersolutions of the resulting non-linear parabolic partial differential equation are closely related to the potential functions in the sense of N.\,Cesa-Bianci, G.\,Lugosi (2003). Any such supersolution gives an upper bound for forecaster's regret and suggests a potential-based prediction strategy, satisfying the Blackwell condition. A conventional upper bound for the worst-case regret is justified by a simple verification argument.