“Learning with a perfect expert: How much weight should majority opinion carry?”

 Yuval Peres, Microsoft Research

Thursday September 8th, 1pm - P-131 Math Tower

Consider a trader trying to predict whether the stock market will go up or down each day. Each morning, for T days, he solicits the opinions of n experts, who each make up/down predictions. Based on their predictions, the trader makes a choice between up and down, and buys or sells; accordingly. Suppose that at least one of the experts is perfect, that is, predicts correctly every day, but the trader doesn't know which one it is. What should the trader do to minimize the number of mistakes he makes in T days?
This example is just the simplest case of “Adaptive decision making”.
For more on this topic, see Chapter 18 in http://homes.cs.washington.edu/~karlin/index.html#Book  

Yuval Peres is the head of the theory group (a group of about 15 researchers who specialize in probability, statistical physics and algorithms) at Microsoft Research in Redmond, WA.  He is a winner of the Davidson Prize, the Loeve prize and the Robbins prize, was an ICM speaker in 2002 and was elected as a foreign member of the National Academy of Sciences in 2016. He is the author of more than 250 papers and 10 books ranging over probability theory, ergodic theory, combinatorics and fractals.