arXiv:2510.17099cs.LGcs.GT2025-10NeurIPS被引 2

证明了Hedge算法在组合设置中近乎最优,仅差一个对数因子。

On the Universal Near Optimality of Hedge in Combinatorial Settings

  • 提出新下界,证明任何算法都难于超越Hedge的性能上限。
  • 发现Hedge在特定组合问题上存在√log d的性能差距。
  • 为图上的在线最短路径问题提供了近似最优的正则化方法。

本文研究经典Hedge算法在组合设置中的表现。每轮学习者从集合 $X \subseteq \{0,1\}^d$ 中选择向量 $\boldsymbol{x}_t$,观察全损失向量 $\boldsymbol{y}_t \in \mathbb{R}^d$,并承受损失 $\langle \boldsymbol{x}_t, \boldsymbol{y}_t \rangle \in [-1,1]$。该设置涵盖广义形式博弈、资源分配、$m$-集、在线多任务学习及有向无环图(DAG)上的最短路径问题。已知Hedge在 $T$ 轮后达到 $O\big(\sqrt{T \log |X|}\big)$ 的遗憾。本文证明:对任意 $X \subseteq \{0,1\}^d$,Hedge 是近似最优的——仅相差 $\sqrt{\log d}$ 因子,因我们建立了 $Ω\big(\sqrt{T \log(|X|)/\log d}\big)$ 的通用下界。我们进一步识别出一类自然组合集——即满足 $\log d \leq m \leq \sqrt{d}$ 的 $m$-集——在此类问题中,此下界紧致,且Hedge被证明比最优差恰好 $\sqrt{\log d}$ 倍。同时,我们证明Hedge在在线多任务学习中是最优的,这是经典 $K$-专家问题的推广。最后,利用Hedge的近优性,我们证明了在DAG上的在线最短路径问题中存在一个近优正则化器:当使用膨胀熵正则化时,标准在线镜像下降(OMD)算法与Hedge在迭代上等价,因而继承其近优遗憾界。

原文摘要 · Abstract (English)

In this paper, we study the classical Hedge algorithm in combinatorial settings. In each round, the learner selects a vector $\boldsymbol{x}_t$ from a set $X \subseteq \{0,1\}^d$, observes a full loss vector $\boldsymbol{y}_t \in \mathbb{R}^d$, and incurs a loss $\langle \boldsymbol{x}_t, \boldsymbol{y}_t \rangle \in [-1,1]$. This setting captures several important problems, including extensive-form games, resource allocation, $m$-sets, online multitask learning, and shortest-path problems on directed acyclic graphs (DAGs). It is well known that Hedge achieves a regret of $O\big(\sqrt{T \log |X|}\big)$ after $T$ rounds of interaction. In this paper, we ask whether Hedge is optimal across all combinatorial settings. To that end, we show that for any $X \subseteq \{0,1\}^d$, Hedge is near-optimal--specifically, up to a $\sqrt{\log d}$ factor--by establishing a lower bound of $Ω\big(\sqrt{T \log(|X|)/\log d}\big)$ that holds for any algorithm. We then identify a natural class of combinatorial sets--namely, $m$-sets with $\log d \leq m \leq \sqrt{d}$--for which this lower bound is tight, and for which Hedge is provably suboptimal by a factor of exactly $\sqrt{\log d}$. At the same time, we show that Hedge is optimal for online multitask learning, a generalization of the classical $K$-experts problem. Finally, we leverage the near-optimality of Hedge to establish the existence of a near-optimal regularizer for online shortest-path problems in DAGs--a setting that subsumes a broad range of combinatorial domains. Specifically, we show that the classical Online Mirror Descent (OMD) algorithm, when instantiated with the dilated entropy regularizer, is iterate-equivalent to Hedge, and therefore inherits its near-optimal regret guarantees for DAGs.

在线学习组合优化后悔界算法分析

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