Optimal Non-Asymptotic Lower Bound on the Minimax Regret of Learning with Expert Advice

6 Nov 2015Francesco OrabonaDavid Pal

We prove non-asymptotic lower bounds on the expectation of the maximum of $d$ independent Gaussian variables and the expectation of the maximum of $d$ independent symmetric random walks. Both lower bounds recover the optimal leading constant in the limit... (read more)

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