改进在线学习中约束条件的处理,提升算法效率与精度。
Revisiting Projection-Free Online Learning with Time-Varying Constraints
- 构建基于李雅普诺夫技术的复合损失函数,避免昂贵投影操作。
- 在一般凸损失下实现更优的 $\mathcal{O}(T^{3/4})$ 误差与 $\mathcal{O}(T^{3/4} \log T)$ 累积违反约束量。
- 适用于强凸损失和带反馈场景,适合资源受限的在线决策任务。
我们研究受约束的在线凸优化问题,其中决策需落在固定且通常复杂的可行域内,并长期近似满足随时间变化的约束。传统投影操作常计算代价高或不可行。为此,已有方法采用无投影策略,但其遗憾界为 $\mathcal{O}(T^{3/4} \sqrt{\log T})$,累积约束违反(CCV)为 $\mathcal{O}(T^{7/8})$。本文提出新方法:通过李雅普诺夫技术构造复合代理损失,再以参数无关的在线弗兰克-沃尔夫(OFW)算法在此损失上运行。理论上,对一般凸损失,实现 $\mathcal{O}(T^{3/4})$ 遗憾与 $\mathcal{O}(T^{3/4} \log T)$ CCV,均优于现有结果;对强凸损失,得到 $\mathcal{O}(T^{2/3})$ 遗憾与 $\mathcal{O}(T^{5/6})$ CCV 新界。进一步扩展至带反馈场景,仍保持类似理论性能。真实数据集实验验证了方法有效性。
原文摘要 · Abstract (English)
We investigate constrained online convex optimization, in which decisions must belong to a fixed and typically complicated domain, and are required to approximately satisfy additional time-varying constraints over the long term. In this setting, the commonly used projection operations are often computationally expensive or even intractable. To avoid the time-consuming operation, several projection-free methods have been proposed with an $\mathcal{O}(T^{3/4} \sqrt{\log T})$ regret bound and an $\mathcal{O}(T^{7/8})$ cumulative constraint violation (CCV) bound for general convex losses. In this paper, we improve this result and further establish \textit{novel} regret and CCV bounds when loss functions are strongly convex. The primary idea is to first construct a composite surrogate loss, involving the original loss and constraint functions, by utilizing the Lyapunov-based technique. Then, we propose a parameter-free variant of the classical projection-free method, namely online Frank-Wolfe (OFW), and run this new extension over the online-generated surrogate loss. Theoretically, for general convex losses, we achieve an $\mathcal{O}(T^{3/4})$ regret bound and an $\mathcal{O}(T^{3/4} \log T)$ CCV bound, both of which are order-wise tighter than existing results. For strongly convex losses, we establish new guarantees of an $\mathcal{O}(T^{2/3})$ regret bound and an $\mathcal{O}(T^{5/6})$ CCV bound. Moreover, we also extend our methods to a more challenging setting with bandit feedback, obtaining similar theoretical findings. Empirically, experiments on real-world datasets have demonstrated the effectiveness of our methods.
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