From Online Optimization to PID Controllers: Mirror Descent with Momentum
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We study a family of first-order methods with momentum based on mirror descent for online convex optimization, which we dub online mirror descent with momentum (OMDM). Our algorithms include as special cases gradient descent and exponential weights update with momentum. We provide a new and simple analysis of momentum-based methods in a stochastic setting that yields a regret bound that decreases as momentum increases. This immediately establishes that momentum can help in the convergence of stochastic subgradient descent in convex nonsmooth optimization. We showcase the robustness of our algorithm by also providing an analysis in an adversarial setting that gives the first non-trivial regret bounds for OMDM. Our work aims to provide a better understanding of the benefits of momentum-based methods, which despite their recent empirical success, is incomplete. Finally, we discuss how OMDM can be applied to stochastic online allocation problems, which are central problems in computer science and operations research. In doing so, we establish an important connection between OMDM and popular approaches from optimal control such as PID controllers, thereby providing regret bounds on the performance of PID controllers. The improvements of momentum are most pronounced when the step-size is large, thereby indicating that momentum provides a robustness to misspecification of tuning parameters. We provide a numerical evaluation that verifies the robustness of our algorithms.
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