We develop new parameter-free and scale-free algorithms for solving convexconcave saddle-point problems. Our results are based on a new simple regret minimizer, the Conic Blackwell Algorithm+ (CBA+), which attains O(1/ T) average regret. Intuitively, our approach generalizes to other decision sets of interest ideas from the Counterfactual Regret minimization (CFR+) algorithm, which has very strong practical performance for solving sequential games on simplexes. We show how to implement CBA+ for the simplex, `p norm balls, and ellipsoidal confidence regions in the simplex, and we present numerical experiments for solving matrix games and distributionally robust optimization problems. Our empirical results show that CBA+ is a simple algorithm that outperforms state-ofthe-art methods on synthetic data and real data instances, without the need for any choice of step sizes or other algorithmic parameters.

A simple linear averaging of the outputs of several networks as e.g. in bagging [3], seems to follow naturally from a bias/variance decomposition of the sum-squared error. The sum-squared error of the average model is a quadratic function of the weighting factors assigned to the networks in the ensemble [7], suggesting a quadratic programming algorithm for finding the "optimal" weighting factors. If we interpret the output of a network as a probability statement, the sum-squared error corresponds to minus the loglikelihood or the Kullback-Leibler divergence, and linear averaging of the out(cid:173) puts to logarithmic averaging of the probability statements: the logarithmic opinion pool. The crux of this paper is that this whole story about model aver(cid:173) aging, bias/variance decompositions, and quadratic programming to find the optimal weighting factors, is not specific for the sum(cid:173) squared error, but applies to the combination of probability state(cid:173) ments of any kind in a logarithmic opinion pool, as long as the Kullback-Leibler divergence plays the role of the error measure. As examples we treat model averaging for classification models under a cross-entropy error measure and models for estimating variances.

In this paper, computational aspects of the panel aggregation problem are addressed. Motivated primarily by applications of risk assessment, an algorithm is developed for aggregating large corpora of internally incoherent probability assessments. The algorithm is characterized by a provable performance guarantee, and is demonstrated to be orders of magnitude faster than existing tools when tested on several real-world data-sets. In addition, unexpected connections between research in risk assessment and wireless sensor networks are exposed, as several key ideas are illustrated to be useful in both fields.

A simple linear averaging of the outputs of several networks as e.g. in bagging [3], seems to follow naturally from a bias/variance decomposition of the sum-squared error. The sum-squared error of the average model is a quadratic function of the weighting factors assigned to the networks in the ensemble [7], suggesting a quadratic programming algorithm for finding the "optimal" weighting factors. If we interpret the output of a network as a probability statement, the sum-squared error corresponds to minus the loglikelihood or the Kullback-Leibler divergence, and linear averaging of the outputs to logarithmic averaging of the probability statements: the logarithmic opinion pool. The crux of this paper is that this whole story about model averaging, bias/variance decompositions, and quadratic programming to find the optimal weighting factors, is not specific for the sumsquared error, but applies to the combination of probability statements of any kind in a logarithmic opinion pool, as long as the Kullback-Leibler divergence plays the role of the error measure. As examples we treat model averaging for classification models under a cross-entropy error measure and models for estimating variances.

A simple linear averaging of the outputs of several networks as e.g. in bagging [3], seems to follow naturally from a bias/variance decomposition of the sum-squared error. The sum-squared error of the average model is a quadratic function of the weighting factors assigned to the networks in the ensemble [7], suggesting a quadratic programming algorithm for finding the "optimal" weighting factors. If we interpret the output of a network as a probability statement, the sum-squared error corresponds to minus the loglikelihood or the Kullback-Leibler divergence, and linear averaging of the outputs to logarithmic averaging of the probability statements: the logarithmic opinion pool. The crux of this paper is that this whole story about model averaging, bias/variance decompositions, and quadratic programming to find the optimal weighting factors, is not specific for the sumsquared error, but applies to the combination of probability statements of any kind in a logarithmic opinion pool, as long as the Kullback-Leibler divergence plays the role of the error measure. As examples we treat model averaging for classification models under a cross-entropy error measure and models for estimating variances.

A simple linear averaging of the outputs of several networks as e.g. in bagging [3], seems to follow naturally from a bias/variance decomposition of the sum-squared error. The sum-squared error of the average model is a quadratic function of the weighting factors assigned to the networks in the ensemble [7], suggesting a quadratic programming algorithm for finding the "optimal" weighting factors. If we interpret the output of a network as a probability statement, the sum-squared error corresponds to minus the loglikelihood or the Kullback-Leibler divergence, and linear averaging of the outputs tologarithmic averaging of the probability statements: the logarithmic opinion pool. The crux of this paper is that this whole story about model averaging, bias/variancedecompositions, and quadratic programming to find the optimal weighting factors, is not specific for the sumsquared error,but applies to the combination of probability statements of any kind in a logarithmic opinion pool, as long as the Kullback-Leibler divergence plays the role of the error measure. As examples we treat model averaging for classification models under a cross-entropy error measure and models for estimating variances.