Approachability, regret and calibration: Implications and equivalences
Vianney Perchet - Université Paris-Diderot, Laboratoire de Probabilités et Modèles Aléatoires, UMR 7599, 8 place FM/13, Paris, France (email)
Blackwell approachability, regret minimization and calibration are three criteria used to evaluate a strategy (or an algorithm) in sequential decision problems, described as repeated games between a player and Nature. Although they have at first sight not much in common, links between them have been discovered: for instance, both consistent and calibrated strategies can be constructed by following, in some auxiliary game, an approachability strategy.
Keywords: Blackwell's approachability, regret minimization, calibration.
Received: January 2013; Revised: January 2014; Available Online: March 2014.