# Dynamic Regret of Convex and Smooth Functions

NIPS 2020, 2020.

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VT measures the variation in gradients and FT is the cumulative loss of the comparator sequence

Abstract:

We investigate online convex optimization in non-stationary environments and choose the dynamic regret as the performance measure, defined as the difference between cumulative loss incurred by the online algorithm and that of any feasible comparator sequence. Let $T$ be the time horizon and $P_T$ be the path-length that essentially refl...More

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Introduction
• In many real-world applications, data are inherently accumulated over time, and it is of great importance to develop a learning system that updates in an online fashion.
• Which is the difference between cumulative loss incurred by the online algorithm and that of the best decision in hindsight
• The rationale behind such a metric is that the best fixed decision in hindsight is reasonably good over all the iterations.
• This is too optimistic and may not hold in changing environments, where data are evolving and the optimal decision is drifting over time.
Highlights
• In many real-world applications, data are inherently accumulated over time, and it is of great importance to develop a learning system that updates in an online fashion
• 3.4 Lower Bound We here present the lower bound for dynamic regret of convex and smooth functions
• We exploit smoothness to enhance the dynamic regret, with the aim to replace the time horizon T in the state-of-the-art O( T (1 + PT )) bound by problem-dependent quantities that are at most O(T ) but can be much smaller in easy problems. We achieve this goal by proposing two meta-expert algorithms: Swordvar which attains a variation bound of order O( (1 + PT + VT )(1 + PT )), and Swordsmall which enjoys a small-loss bound of order O( (1 + PT + FT )(1 + PT ))
• VT measures the variation in gradients and FT is the cumulative loss of the comparator sequence
• Our dynamic regret bounds are universal in the sense that they hold against any feasible comparator sequence, and the algorithms are more adaptive to the non-stationary environments
• We present the lower bound for dynamic regret of convex and smooth functions, showing the tightness of our obtained upper bounds
Methods
• OEGD OGD OEGD & OGD Meta.
• Meta-algorithm.
• The authors adopt the OptimisticHedge algorithm along with the linearized surrogate loss as the meta-algorithm, where the weight vector pt+1 ∈ ∆N1+N2 is updated according to t.
• S=1 where the optimism mt+1 ∈ RN1+N2.
• In order to facilitate the meta-algorithm with both kinds of adaptivity (VT and FT ), it is crucial to design best-of-both-worlds optimism.
• The authors set the optimism mt+1 in the following way: for each i ∈ [N1 + N2]
Conclusion
• The authors exploit smoothness to enhance the dynamic regret, with the aim to replace the time horizon T in the state-of-the-art O( T (1 + PT )) bound by problem-dependent quantities that are at most O(T ) but can be much smaller in easy problems
• The authors achieve this goal by proposing two meta-expert algorithms: Swordvar which attains a variation bound of order O( (1 + PT + VT )(1 + PT )), and Swordsmall which enjoys a small-loss bound of order O( (1 + PT + FT )(1 + PT )).
• The authors will investigate the possibility of exploiting other function curvatures, such as strong convexity or exp-concavity, into the analysis of the universal dynamic regret
Summary
• ## Introduction:

In many real-world applications, data are inherently accumulated over time, and it is of great importance to develop a learning system that updates in an online fashion.
• Which is the difference between cumulative loss incurred by the online algorithm and that of the best decision in hindsight
• The rationale behind such a metric is that the best fixed decision in hindsight is reasonably good over all the iterations.
• This is too optimistic and may not hold in changing environments, where data are evolving and the optimal decision is drifting over time.
• ## Methods:

OEGD OGD OEGD & OGD Meta.
• Meta-algorithm.
• The authors adopt the OptimisticHedge algorithm along with the linearized surrogate loss as the meta-algorithm, where the weight vector pt+1 ∈ ∆N1+N2 is updated according to t.
• S=1 where the optimism mt+1 ∈ RN1+N2.
• In order to facilitate the meta-algorithm with both kinds of adaptivity (VT and FT ), it is crucial to design best-of-both-worlds optimism.
• The authors set the optimism mt+1 in the following way: for each i ∈ [N1 + N2]
• ## Conclusion:

The authors exploit smoothness to enhance the dynamic regret, with the aim to replace the time horizon T in the state-of-the-art O( T (1 + PT )) bound by problem-dependent quantities that are at most O(T ) but can be much smaller in easy problems
• The authors achieve this goal by proposing two meta-expert algorithms: Swordvar which attains a variation bound of order O( (1 + PT + VT )(1 + PT )), and Swordsmall which enjoys a small-loss bound of order O( (1 + PT + FT )(1 + PT )).
• The authors will investigate the possibility of exploiting other function curvatures, such as strong convexity or exp-concavity, into the analysis of the universal dynamic regret
Tables
• Table1: Summary of expert-algorithms and meta-algorithms as well as different optimism used in the proposed algorithms (including three variants of Sword)
Related work
• We present a brief review of static and dynamic regret minimization for online convex optimization.

2.1 Static Regret

Static regret has been extensively studied in online convex optimization. Let T be the time hor√izon and d be the dimension, there exist online algorithms with static regret bounded by O( T ), O(d log T ), and O(log T ) for convex, exponentially concave, and strongly convex functions, respectively (Zinkevich, 2003; Hazan et al, 2007). These results are proved to be minimax optimal (Abernethy et al, 2008). More results can be found in the seminal books (Shalev-Shwartz, 2012; Hazan, 2016) and reference therein.

In addition to exploiting convexity of functions, there are studies improving static regret by incorporating smoothness, whose main proposal is to replace the dependence on T by problem-dependent quantities. Such problem-dependent bounds enjoy much benign properties, in particular, they can safeguard the worst-case minimax rate yet can be much tighter in easy problem instances. In the literature, there are two kinds of such bounds, small-loss bounds (Srebro et al, 2010) and gradient variation bounds (Chiang et al, 2012).
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• We first restate the gradient-variation static regret proved by Chiang et al. (2012) as follows.
• Therefore, by choosing η = min{1/(4L), 1/ VT }, OEGD achieves an O( VT ) static regret. Note that the unpleasant dependence on VT can be eliminated by the doubling trick (Cesa-Bianchi et al., 1997), because the gradient variation VT is empirically evaluable at each iteration.
• 0. Therefore the meta-regret of VariationHedge is bounded by, T
• 2. Consequently, the possible minimal and maximal values of the optimal step size are ηmin = Meanwhile, we treat the double logarithmic factor in T as a constant, following previous studies (Adamskiy et al., 2012; Luo and Schapire, 2015). We remark that the bound is the universal dynamic regret in that it holds for any sequence of comparators.
• In this part, we analyze the expert-algorithm of the Swordvar algorithm, namely, the online gradient descent. We will present the proof of the small-loss dynamic regret bound (Theorem 4). Before that, in the following we first restate the small-loss static regret bound (Srebro et al., 2010, Theorem 2) as well as its proof.
• Theorem 11 (Theorem 2 of Srebro et al. (2010)). Under Assumptions 2, 3, and 4, by choosing any step size η
• First, notice that Assumptions 4 and 3 imply ft(·) is nonnegative and L-smooth. From the self-bounding property of smooth functions (Srebro et al., 2010), as shown in Lemma 4, we have
• 22, and issue can be easily addressed by the doubling trick (Cesa-Bianchi et al., 1997) or the self-confident tuning (Auer et al., 2002).
• 2. As a result, the possible minimal and maximal values of the optimal step size are ηmin = Meanwhile, double logarithmic factors in T are treated as a constant, following previous studies (Adamskiy et al., 2012; Luo and Schapire, 2015). This completes the proof.
• On the other hand, by noticing that the online function dt is strongly convex and exploiting the regret guarantee of Hedge (Cesa-Bianchi and Lugosi, 2006, Proposition 3.1), we have
• 21. Notice that the above terms are essentially the meta-regret of gradient-variation and smallloss bounds, up to constant factors. Therefore, we can make use of their meta-regret analysis to bound the meta-regret of Swordbest. Specifically, by applying the analysis of Theorem 10, we know that Lemma 1 guarantees the regret bound of OptimisticHedge, which is originally proved by Syrgkanis et al. (in (Syrgkanis et al., 2015, Theorem 19)). For self-containedness, we present its proof and adapt to our notations. Before showing the proof, we need to introduce two related lemmas.
• The first one is on the property of strongly convex functions (Nesterov, 2018).
• 2. Besides, by the first order condition of convex functions, we have ∇F (x∗), x − x∗ ≥ 0. We complete the proof by combining these two inequalities. The second lemma is due to Syrgkanis et al. (2015), which exploits the stability of the Follow the Regularized Leader (FTRL) algorithm. The FTRL algorithm updates the decision xt in the form of xt = arg min ε Lt, x + R(x), x∈X
• In this part, we present several technical lemmas used in the proofs. First, we introduce the self-bounding property of smooth functions (Srebro et al., 2010, Lemma 3.1), which is crucial and frequently used in proving problem-dependent bounds for convex and smooth functions.
• Shalev-Shwartz (2007)). For x − y ≤ a + √ay.
• We consider two cases by noting that x∗ = ΠX [c − ∇]: (1) c − ∇ ∈ X: u − x∗, (c − ∇) − x∗ = 0 clearly satisfies (67); (2) c − ∇ ∈/ X: the Pythagorean theorem (Hazan, 2016, Theorem 2.1) implies (67).
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