  In the standard setting of approachability there are two players and a target
set. The players play repeatedly a known vector-valued game where the first
player wants to have the average vector-valued payoff converge to the target
set which the other player tries to exclude it from this set. We revisit this
setting in the spirit of online learning and do not assume that the first
player knows the game structure: she receives an arbitrary vector-valued reward
vector at every round. She wishes to approach the smallest ("best") possible
set given the observed average payoffs in hindsight. This extension of the
standard setting has implications even when the original target set is not
approachable and when it is not obvious which expansion of it should be
approached instead. We show that it is impossible, in general, to approach the
best target set in hindsight and propose achievable though ambitious
alternative goals. We further propose a concrete strategy to approach these
goals. Our method does not require projection onto a target set and amounts to
switching between scalar regret minimization algorithms that are performed in
episodes. Applications to global cost minimization and to approachability under
sample path constraints are considered.
