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Between Stochastic and Adversarial Online Convex Optimization: Improved Regret Bounds via Smoothness
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Measured effects reported in the paper
| What was changed | Where | Measured | Effect |
|---|---|---|---|
| Use expected-loss smoothness in the optimistic regret analysis | Adaptive OFTRL for convex losses · SEA, convex smooth losses | expected regret dependence on gradient scale: O \big( D\big( \bar \sigma_T + \bar\Sigma_T\big)\sqrt{ T }\, + DG + LD^2 \big) | Helped |
| Use OFTL on strongly convex surrogate losses with an optimistic gradient prediction | Strongly convex smooth losses · SEA, strongly convex smooth losses | expected regret dependence on stochastic variance and adversarial variation: \frac{1}{\mu} \left( 8 \sigma_{\max}^2 + 4 \Sigma_{\max}^2 \right)\log T | Helped |
| Allow adversarial perturbations of i.i.d. losses, with total perturbation bounded by C | Adaptive OFTRL · Adversarially corrupted stochastic data | expected regret: O(D \sigma \sqrt{T} + D \sqrt{GC}) | Helped |
| Use random-order sampling instead of adversarial ordering | OFTRL · Single-pass ROM, convex smooth losses | expected regret dependence on gradient variation: O \bigg( D \sigma_1 \sqrt {\log\left( e \frac{\widetilde \sigma_1}{\sigma_1}\right) T} + LD^2 + DG \bigg) | Helped |
| Increase random-order passes to P | OFTRL · Multi-pass ROM, convex smooth losses | expected regret contribution from repeated passes: DG\sqrt P | Hurt |
| Use the negative quadratic iterate-change term in the regret analysis | Adaptive OFTRL for convex smooth losses · SEA, convex smooth losses | expected regret upper bound: \frac{9L^2D^4}{\nu} | Helped |
| Use the negative quadratic iterate-change term with smoothness in the strongly convex analysis | OFTL on surrogate losses · SEA, strongly convex smooth losses | expected regret upper bound: \frac{4D^2 L^2}{\mu} \log \left(1+ \frac{16L}{\mu} \right) | Helped |
| Use optimistic OFTRL without relying on smoothness | Adaptive OFTRL for convex losses · Fully adversarial data | regret: O( DG\sqrt{T}) | No clear effect |
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