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Universal Online Learning with Gradient Variations: A Multi-layer Online Ensemble Approach

NeurIPS 2023 · Bandits and online learning › Online convex optimization and games · approach: Constrained and unconstrained OCO algorithms · 0 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Use a multi-layer ensemble with universal optimism and cascaded correctionsOnline convex optimization · Convex losses with gradient variationregret bound: from \(\O(\sqrt{T})\) to \(\Oh(\sqrt{V_T})\)Helped
Use the proposed universal ensembleOnline convex optimization · Strongly convex lossesregret bound: \(\O(\log V_T)\)Helped
Use the proposed universal ensembleOnline convex optimization · Exp-concave lossesregret bound: \(\O(d \log V_T)\)Helped
Use the proposed universal ensembleOnline convex optimization · Nonnegative lossessmall-loss regret bound: \(\O(\log F_T)\), \(\O(d \log F_T)\), and \(\Oh(\sqrt{F_T})\)Helped
Use the proposed algorithm in place of separate parameter setupsSEA online learning · Strongly convex, exp-concave, and convex lossesexpected regret bound: \(\O((\sigma_{\max}^2 + \Sigma_{\max}^2) \log (\sigma_{1:T}^2 + \Sigma_{1:T}^2))\); \(\O(d \log (\sigma_{1: T}^2 + \SigmHelped
Use the proposed algorithm without knowing the game typeTwo-player zero-sum games · Honest playersregret summation bound: \(\O(1)\)Helped
Use the proposed algorithmTwo-player zero-sum games · Dishonest players, strongly convex-concave gamesindividual regret bound: \(\O(\log T)\)Helped
Replace original-loss updates with carefully designed surrogate-loss updatesOurs · Strongly convex, exp-concave, and convex lossesgradient queries per round: \(\O(\log^2 T)\) -> 1Helped
Use universal optimism \(m_{t,i}=r_{t-1,i}\) instead of the previous-gradient-at-current-decision optimismOnline ensemble meta-regret · Exp-concave lossessecond-order regret term: \(\sum_t (r_{t,\is}-m_{t,\is})^2 \lesssim \sum_t \langle\nabla f_t(\x_t),\x_t-\x_{t,\is}\rangle^2\)Helped
Add negative stability terms to the MsMwC analysisMulti-layer meta learner · Online ensemble stabilitystability contribution to regret: \(-4 \sum_{t=2}^T \|\p_t-\p_{t-1}\|_1^2\)Helped
Add cascaded correction terms to the top and middle layersMulti-layer online ensemble · Convex losses with gradient variationstability contribution to regretHelped

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