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Online Machine Learning
arXiv (Cornell University)
Learning to optimize convex risk measures: The cases of utility-based shortfall risk and optimized certainty equivalent risk
2025
We consider the problems of estimation and optimization of two popular convex risk measures: utility-based shortfall risk (UBSR) and Optimized Certainty Equivalent (OCE) risk. We extend these risk measures to cover possibly unbounded random variables. We cove…
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Online Machine Learning

Method of machine learning

In computer science, online machine learning is a method of machine learning in which data becomes available in a sequential order and is used to update the best predictor for future data at each step, as opposed to batch learning techniques which generate the best predictor by learning on the entire training data set at once. Online learning is a common technique used in areas of machine learning where it is computationally infeasible to train over the entire dataset, requiring the need of out-of-core algorithms. It is also used in situations where it is necessary for the algorithm to dynamically adapt to new patterns in the data, or when the data itself is generated as a function of time, e.g., stock price prediction.

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arXiv (Cornell University)
Learning to optimize convex risk measures: The cases of utility-based shortfall risk and optimized certainty equivalent risk
2025
We consider the problems of estimation and optimization of two popular convex risk measures: utility-based shortfall risk (UBSR) and Optimized Certainty Equivalent (OCE) risk. We extend these risk measures to cover possibly unbounded random variables. We cover prominent risk measures like the entropic risk, expectile risk, monotone mean-variance risk, Value-at-Risk, and Conditional Value-at-Risk as few special cases of either the UBSR or the OCE risk. In the context of estimation, we derive non-asymptotic bounds o…
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