Adaptive Selective Sampling for Online Prediction with Experts

Published: 21 Sept 2023, Last Modified: 02 Nov 2023NeurIPS 2023 posterEveryoneRevisionsBibTeX
Keywords: Online learning, prediction with experts, selective sampling, active learning
TL;DR: Always guarantees the minimax regret, but adaptively queries (much) fewer labels when possible.
Abstract: We consider online prediction of a binary sequence with expert advice. For this setting, we devise label-efficient forecasting algorithms, which use a selective sampling scheme that enables collecting much fewer labels than standard procedures. For the general case without a perfect expert, we prove best-of-both-worlds guarantees, demonstrating that the proposed forecasting algorithm always queries sufficiently many labels in the worst case to obtain optimal regret guarantees, while simultaneously querying much fewer labels in more benign settings. Specifically, for a scenario where one expert is strictly better than the others in expectation, we show that the label complexity of the label-efficient forecaster is roughly upper-bounded by the square root of the number of rounds. Finally, we present numerical experiments empirically showing that the normalized regret of the label-efficient forecaster can asymptotically match known minimax rates for pool-based active learning, suggesting it can optimally adapt to benign settings.
Supplementary Material: zip
Submission Number: 2557