Hila Becker, Marta Arias, "Real-time ranking with concept drift using expert advice", in Proceedings of the Thirteenth ACM SIGKDD International Conference on Knowledge Discovery and Data Mining (KDD '07), 86-94
8. Weighted Majority Algorithm e 1 . . . e 2 e 3 e N N Experts 1 0 0 1 ? w 1 *1 + w 2 *0 + w 3 *0 + . . . + w N *1 >0.5 <0.5 1 0 1
9.
10. Online Ranking Algorithm e 1 . . . e 2 e 3 e B w 1 w 2 w 3 w B ? F1 F4 F3 F2 F5 F4 F2 F1 F3 F5 F1 F3 F5 F4 F2 F1 F3 F4 F2 F5 F1 F3 F4 F2 F5 F3 F1 F4 F2 F5 e B+1 e B+2 w B+1 w B+2
Given an infinite amount of continuous measurement, how do we model them in order to capture possibly time-evolving trends and patterns in the stream, compute the optimal model and make time critical decisions.
Compute weighted average, divide into bins [i/epsilon,i+1/epsilon], compute the mean and std. div for the bin and check if can make confident prediction. (Fx-mean-std*t > cost/transaction