Poster
Online Learning of Dynamic Parameters in Social Networks
Shahin Shahrampour · Sasha Rakhlin · Ali Jadbabaie

Thu Dec 5th 07:00 -- 11:59 PM @ Harrah's Special Events Center, 2nd Floor #None

This paper addresses the problem of online learning in a dynamic setting. We consider a social network in which each individual observes a private signal about the underlying state of the world and communicates with her neighbors at each time period. Unlike many existing approaches, the underlying state is dynamic, and evolves according to a geometric random walk. We view the scenario as an optimization problem where agents aim to learn the true state while suffering the smallest possible loss. Based on the decomposition of the global loss function, we introduce two update mechanisms, each of which generates an estimate of the true state. We establish a tight bound on the rate of change of the underlying state, under which individuals can track the parameter with a bounded variance. Then, we characterize explicit expressions for the steady state mean-square deviation(MSD) of the estimates from the truth, per individual. We observe that only one of the estimators recovers the optimal MSD, which underscores the impact of the objective function decomposition on the learning quality. Finally, we provide an upper bound on the regret of the proposed methods, measured as an average of errors in estimating the parameter in a finite time.

Author Information

Shahin Shahrampour (University of Pennsylvania)
Sasha Rakhlin (University of Pennsylvania)
Ali Jadbabaie (University of Pennsylvania)

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