Machine Learning Markets

Prediction markets show considerable promise for developing flexible mechanisms for machine learning. Here, machine learning markets for multivariate systems are defined, and a utility-based framework is established for their analysis. It is shown that such markets can implement model combination methods used in machine learning, such as product of expert and mixture of expert approaches as equilibrium pricing models, by varying agent utility functions. They can implement models composed of local potentials, and message passing methods. Prediction markets also allow for more flexible combinations, by combining multiple different utility functions.