Context Dependent Mixture-of-Expertise: Investment Learning

If one wants to learn with extremely few examples, one inevitably faces a dilemma: on the one hand, with few examples one can only determine a rather small number of adaptable parameters and, as a consequence, the learning system must be either very simple, or, and usually this is the relevant alternative, it must have a structure that is already well-matched to the task to be learned. On the other hand, however, having to painstakingly pre-structure a system by hand is precisely what one wants to avoid when using a learning approach. It is possible to find a workable compromise that can cope with this dilemma, i.e., that somehow allows the structuring of a system without having to put in too much by hand? 9.1 Context dependent “skills”

To be more concrete, we want to consider the learning of a “skill” which is dependent on some environment or system context. The notion of “skill” is very general and includes a task specific, hand-crafted function mapping mechanism, a control system, as well as a general learning system. As illustrated by Fig. 9.1, we assume: