arXiv:2510.13052cs.LGcs.AI2025-10中稿 · IEEE Asilomar, 202…被引 2

为流式数据优化设计时间加权模型,提升动态环境决策能力。

Time-Varying Optimization for Streaming Data Via Temporal Weighting

  • 用加权平均损失建模流数据,区分均匀与衰减两种权重策略。
  • 均匀加权下跟踪误差以1/t速率渐近消失,衰减加权存在由折扣因子决定的误差底限。
  • 理论严谨且可验证,适合研究在线学习与动态优化的学者。

经典优化理论处理静态目标函数,但动态环境中时间变化优化日益重要。本文从时间变化优化视角研究流式数据学习问题,提出一种基于权重的结构化方法,显式捕捉目标函数随时间演化的数据来源特性:每步更新中,智能体最小化所有历史样本的加权平均损失。重点分析两种策略:(1) 均匀权重,对所有样本同等对待;(2) 折扣权重,按几何级数衰减旧数据影响。针对梯度下降更新,我们推导出跟踪误差(TE)的紧致界——在均匀权重下,TE以 $\ ext{O}(1/t)$ 速率渐近趋于零;而在折扣权重下,存在由折扣因子及每步梯度更新次数控制的非零误差底限。理论结果通过数值仿真得到验证。

原文摘要 · Abstract (English)

Classical optimization theory deals with fixed, time-invariant objective functions. However, time-varying optimization has emerged as an important subject for decision-making in dynamic environments. In this work, we study the problem of learning from streaming data through a time-varying optimization lens. Unlike prior works that focus on generic formulations, we introduce a structured, \emph{weight-based} formulation that explicitly captures the streaming-data origin of the time-varying objective, where at each time step, an agent aims to minimize a weighted average loss over all the past data samples. We focus on two specific weighting strategies: (1) uniform weights, which treat all samples equally, and (2) discounted weights, which geometrically decay the influence of older data. For both schemes, we derive tight bounds on the ``tracking error'' (TE), defined as the deviation between the model parameter and the time-varying optimum at a given time step, under gradient descent (GD) updates. We show that under uniform weighting, the TE vanishes asymptotically with a $\mathcal{O}(1/t)$ decay rate, whereas discounted weighting incurs a nonzero error floor controlled by the discount factor and the number of gradient updates performed at each time step. Our theoretical findings are validated through numerical simulations.

在线学习时间变化优化流数据梯度下降

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