arXiv:2501.14349cs.LG2025-01NeurIPS被引 4

提出首个每轮复杂度与时间无关的对数后悔率算法,高效且鲁棒。

Online Inverse Linear Optimization: Efficient Logarithmic-Regret Algorithm, Robustness to Suboptimality, and Lower Bound

  • 用在线牛顿步优化凸损失函数,实现每轮独立于时间T的计算。
  • 达到最优的O(n ln T)后悔率,对子最优动作也具鲁棒性。
  • 适用于大规模在线学习场景,尤其适合高维目标向量预测。

在在线逆线性优化中,学习者观测随时间变化的可行动作集及代理所选的最优动作(通过在线线性优化求解)。学习者需逐轮预测代理的真实线性目标函数,其性能以累积后悔衡量——即最优目标值与按预测执行所得目标值之间的差距。先前工作取得O(√T)后悔界,后被改进至O(n⁴ ln T)和O(n ln T),其中n为目标向量所在空间的维度。然而这些对数后悔方法在大T时效率极低,因需维护由O(T)约束定义的区域来表示真实目标向量的可能位置。本文首次提出每轮复杂度与T无关的对数后悔算法,实现最佳已知的O(n ln T)后悔界。方法极为简洁:将在线牛顿步(ONS)应用于合适的指数凹损失函数。针对代理动作可能非最优的情形,给出新后悔界O(n ln T + √(Δ_T n ln T)),其中Δ_T为代理动作的累计非最优性,该界通过并行运行Θ(ln T)个不同学习率的ONS(MetaGrad)实现。同时,我们给出了Ω(n)的下界,表明O(n ln T)边界紧致,仅差一个O(ln T)因子。

原文摘要 · Abstract (English)

In online inverse linear optimization, a learner observes time-varying sets of feasible actions and an agent's optimal actions, selected by solving linear optimization over the feasible actions. The learner sequentially makes predictions of the agent's true linear objective function, and their quality is measured by the regret, the cumulative gap between optimal objective values and those achieved by following the learner's predictions. A seminal work by Bärmann et al. (2017) obtained a regret bound of $O(\sqrt{T})$, where $T$ is the time horizon. Subsequently, the regret bound has been improved to $O(n^4 \ln T)$ by Besbes et al. (2021, 2025) and to $O(n \ln T)$ by Gollapudi et al. (2021), where $n$ is the dimension of the ambient space of objective vectors. However, these logarithmic-regret methods are highly inefficient when $T$ is large, as they need to maintain regions specified by $O(T)$ constraints, which represent possible locations of the true objective vector. In this paper, we present the first logarithmic-regret method whose per-round complexity is independent of $T$; indeed, it achieves the best-known bound of $O(n \ln T)$. Our method is strikingly simple: it applies the online Newton step (ONS) to appropriate exp-concave loss functions. Moreover, for the case where the agent's actions are possibly suboptimal, we establish a regret bound of $O(n\ln T + \sqrt{Δ_T n\ln T})$, where $Δ_T$ is the cumulative suboptimality of the agent's actions. This bound is achieved by using MetaGrad, which runs ONS with $Θ(\ln T)$ different learning rates in parallel. We also present a lower bound of $Ω(n)$, showing that the $O(n\ln T)$ bound is tight up to an $O(\ln T)$ factor.

在线学习优化算法后悔率分析凸优化

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