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We propose a mechanism for purchasing information from a sequence of participants.The participants may simply hold data points they wish to sell, or may have more sophisticated information; either way, they are incentivized to participate as long as they believe their data points are representative or their information will improve the mechanism's future prediction on a test set.The mechanism, which draws on the principles of prediction markets, has a bounded budget and minimizes generalization error for Bregman divergence loss functions.We then show how to modify this mechanism to preserve the privacy of participants' information: At any given time, the current prices and predictions of the mechanism reveal almost no information about any one participant, yet in total over all participants, information is accurately aggregated.
Author Information
Bo Waggoner (Harvard)
Rafael Frongillo (CU Boulder)
Jacob D Abernethy (University of Michigan)
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