提出新算法COLDQ,高效控制在线学习中动态约束违反。
Doubly-Bounded Queue for Constrained Online Learning: Keeping Pace with Dynamics of Both Loss and Constraint
- 设计双边界虚拟队列,无需松弛条件即可严格控约束
- 动态遗憾达O(T^(1+V_x)/2),约束违反为O(T^V_g)
- 适用于无先验动态信息场景,适合实时优化应用
研究带时变约束的在线凸优化问题,采用动态遗憾与硬约束违反双重严格指标。提出高效算法COLDQ,引入上下界双重约束的虚拟队列,无需满足Slater条件即可紧密控制约束违反。通过新型李雅普诺夫漂移分析证明:当损失和约束函数动态性参数分别为V_x、V_g时,动态遗憾为O(T^(1+V_x)/2),硬约束违反为O(T^V_g)。首次实现当系统趋于静态时,遗憾降至O(T^1/2),违反保持在O(1)的最优水平。对于强凸损失函数,静态遗憾可达O(log T),同时维持O(T^V_g)的约束违反。进一步提出专家追踪变体,无需先验动态知识即可达到相同性能。仿真表明,COLDQ优于当前最优方法。
原文摘要 · Abstract (English)
We consider online convex optimization with time-varying constraints and conduct performance analysis using two stringent metrics: dynamic regret with respect to the online solution benchmark, and hard constraint violation that does not allow any compensated violation over time. We propose an efficient algorithm called Constrained Online Learning with Doubly-bounded Queue (COLDQ), which introduces a novel virtual queue that is both lower and upper bounded, allowing tight control of the constraint violation without the need for the Slater condition. We prove via a new Lyapunov drift analysis that COLDQ achieves $O(T^\frac{1+V_x}{2})$ dynamic regret and $O(T^{V_g})$ hard constraint violation, where $V_x$ and $V_g$ capture the dynamics of the loss and constraint functions. For the first time, the two bounds smoothly approach to the best-known $O(T^\frac{1}{2})$ regret and $O(1)$ violation, as the dynamics of the losses and constraints diminish. For strongly convex loss functions, COLDQ matches the best-known $O(\log{T})$ static regret while maintaining the $O(T^{V_g})$ hard constraint violation. We further introduce an expert-tracking variation of COLDQ, which achieves the same performance bounds without any prior knowledge of the system dynamics. Simulation results demonstrate that COLDQ outperforms the state-of-the-art approaches.
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