Some of the common complaints I hear about (learning) theoretical work run along the lines of “those bounds are meaningless in practice,” “that result doesn’t apply to any algorithm someone would actually use,” and “you lost me as soon as martingales/Banach spaces/measure-theoretic niceties/… got involved.” I don’t have a good answer for the latter concern, but a very nice paper by Sasha Rakhlin, Ohad Shamir, and Karthik Sridharan at NIPS this year goes some ways toward address the first two criticisms. Their paper, “Relax and Randomize: From Value to Algorithms,” (extended version here) is concerned with transforming non-constructive online regret bounds into useful algorithms.