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Between Stochastic and Adversarial Online Convex Optimization: Improved Regret Bounds via Smoothness

NeurIPS 2022 · Bandits and online learning › Online convex optimization and games · approach: Constrained and unconstrained OCO algorithms · 3 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Use expected-loss smoothness in the optimistic regret analysisAdaptive OFTRL for convex losses · SEA, convex smooth lossesexpected 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 predictionStrongly convex smooth losses · SEA, strongly convex smooth lossesexpected regret dependence on stochastic variance and adversarial variation: \frac{1}{\mu} \left( 8 \sigma_{\max}^2 + 4 \Sigma_{\max}^2 \right)\log THelped
Allow adversarial perturbations of i.i.d. losses, with total perturbation bounded by CAdaptive OFTRL · Adversarially corrupted stochastic dataexpected regret: O(D \sigma \sqrt{T} + D \sqrt{GC})Helped
Use random-order sampling instead of adversarial orderingOFTRL · Single-pass ROM, convex smooth lossesexpected 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 POFTRL · Multi-pass ROM, convex smooth lossesexpected regret contribution from repeated passes: DG\sqrt PHurt
Use the negative quadratic iterate-change term in the regret analysisAdaptive OFTRL for convex smooth losses · SEA, convex smooth lossesexpected regret upper bound: \frac{9L^2D^4}{\nu}Helped
Use the negative quadratic iterate-change term with smoothness in the strongly convex analysisOFTL on surrogate losses · SEA, strongly convex smooth lossesexpected regret upper bound: \frac{4D^2 L^2}{\mu} \log \left(1+ \frac{16L}{\mu} \right)Helped
Use optimistic OFTRL without relying on smoothnessAdaptive OFTRL for convex losses · Fully adversarial dataregret: O( DG\sqrt{T})No clear effect

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