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

07/17/2023

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by   Yu-Hu Yan, et al.

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In this paper, we propose an online convex optimization method with two different levels of adaptivity. On a higher level, our method is agnostic to the specific type and curvature of the loss functions, while at a lower level, it can exploit the niceness of the environments and attain problem-dependent guarantees. To be specific, we obtain 𝒪(ln V_T), 𝒪(d ln V_T) and 𝒪̂(√(V_T)) regret bounds for strongly convex, exp-concave and convex loss functions, respectively, where d is the dimension, V_T denotes problem-dependent gradient variations and 𝒪̂(·)-notation omits logarithmic factors on V_T. Our result finds broad implications and applications. It not only safeguards the worst-case guarantees, but also implies the small-loss bounds in analysis directly. Besides, it draws deep connections with adversarial/stochastic convex optimization and game theory, further validating its practical potential. Our method is based on a multi-layer online ensemble incorporating novel ingredients, including carefully-designed optimism for unifying diverse function types and cascaded corrections for algorithmic stability. Remarkably, despite its multi-layer structure, our algorithm necessitates only one gradient query per round, making it favorable when the gradient evaluation is time-consuming. This is facilitated by a novel regret decomposition equipped with customized surrogate losses.