Lecture 10: Applications of Multiplicative Weight Updates: Lp Solving, Portfolio Management

Today we see how to use the multiplicative weight update method to solve other problems. In many settings there is a natural way to make local improvements that “make sense.”The multiplicative weight updates analysis from last time (via a simple potential function) allows us to understand and analyse the net effect of such sensible improvements. (Formally, what we are doing in many settings is analysing an algorithm called gradient descent which we’ll encounter more formally later in the course.)