针对非凸在线学习中的长期资源约束,提出高效算法并证明最优性。
Online Learning for Approximately-Convex Functions with Long-term Adversarial Constraints
- 基于α-近似凸函数设计了一阶在线算法,适应对抗环境。
- 累计成本误差为O(√T),资源消耗不超过O(B_T log T)+~O(√T)。
- 适用于带背包约束的对抗性老虎机问题,适合研究在线优化者。
研究对抗环境下带有长期预算约束的在线学习问题。每轮t,学习者从凸决策集选择动作,随后对手揭示代价函数f_t和资源消耗函数g_t。假设两者均为α-近似凸函数——一个广义凸性的广泛类别,涵盖DR-子模最大化、在线顶点覆盖、正则相位恢复等常见非凸问题。目标是在长度为T的周期内最小化累积代价,同时近似满足总资源预算B_T。本文提出一种高效的首阶在线算法,在全信息与仅反馈(bandit)设置下均能保证相对于最优固定可行基准的O(√T) α-遗憾,且资源消耗不超过O(B_T log T)+~O(√T)。在带子反馈设置中,该方法为“对抗性老虎机带背包”问题提供了高效解法,并获得更优性能保证。我们还建立了匹配的下界,证明结果紧致性。最后,刻画了α-近似凸函数类,并说明本结果适用于一大类问题。
原文摘要 · Abstract (English)
We study an online learning problem with long-term budget constraints in the adversarial setting. In this problem, at each round $t$, the learner selects an action from a convex decision set, after which the adversary reveals a cost function $f_t$ and a resource consumption function $g_t$. The cost and consumption functions are assumed to be $α$-approximately convex - a broad class that generalizes convexity and encompasses many common non-convex optimization problems, including DR-submodular maximization, Online Vertex Cover, and Regularized Phase Retrieval. The goal is to design an online algorithm that minimizes cumulative cost over a horizon of length $T$ while approximately satisfying a long-term budget constraint of $B_T$. We propose an efficient first-order online algorithm that guarantees $O(\sqrt{T})$ $α$-regret against the optimal fixed feasible benchmark while consuming at most $O(B_T \log T)+ \tilde{O}(\sqrt{T})$ resources in both full-information and bandit feedback settings. In the bandit feedback setting, our approach yields an efficient solution for the $\texttt{Adversarial Bandits with Knapsacks}$ problem with improved guarantees. We also prove matching lower bounds, demonstrating the tightness of our results. Finally, we characterize the class of $α$-approximately convex functions and show that our results apply to a broad family of problems.
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