ORF570: Special Topics in Statistics and Operations Research, Prediction Games
Fall 2011, Monday and Wednesday, 3:00-4:20pm.
This course presents an alternative approach to (sequential) forecasting problems. The core idea is to design strategies that work without any probabilistic assumption on the data-generating mechanism. These new methods can be applied in a great variety of settings, including sequential investment in the stock market, sequential pattern analysis, dynamic pricing and online linear optimization.
Moreover, on the mathematical level, this new theory gives the opportunity to study important notions that can be useful in completely different topics than forecasting, in particular: simple concentration inequalities, basic results from information theory, as well as important concepts from game theory and convex optimization.
The main reference for the course is:
The course will also include material from: