ledge
Hedging algorithms with lag.
Besides the regular setting of 'prediction with expert advice', we are interested in working with truth values with lags. This results in a partially observed truth value for the present (and the past) at each step. In a discrete time setting with delays in accurate characterization of final truth, a truth value is specified by:
-
timepoint: The time itself -
lag: Time the value was revealed -timepoint
Usage
ledge is a composed from a bunch of types and functions. It works with
DataArrays
for model predictions, losses and truths.
There is no single model and the user is supposed to compose a model using the
components in here. Each module is written as a literate
org-mode file and contains usage documentation for the
containing functions. Start with the main file ./ledge/README.org.
