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Title: Adaptive Weighted Averaging
We study the problem of selecting the largest among n unknown values x1,…,xn given only a single unbiased estimate yi for each xi. We design strategies that are simultaneously admissible (not uniformly dominated by any other strategy) and also never worse than a given baseline such as uniform random selection. We provide an application to stochastic optimization, specifically to the ubiquitous "iterate averaging" procedure in machine learning.  more » « less
Award ID(s):
2047288
PAR ID:
10704424
Author(s) / Creator(s):
; ; ;
Publisher / Repository:
39th Annual Conference on Learning Theory (COLT 2026)
Date Published:
Format(s):
Medium: X
Location:
39th Annual Conference on Learning Theory (COLT 2026)
Sponsoring Org:
National Science Foundation
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