让非凸在线优化自适应曲率,实现从慢到快的性能跃升。
From Non-Convex to Strongly Convex: Curvature-Adaptive FTPL for Online Optimization
- 用随时间变化的扰动尺度替代固定值,仅依赖历史信息调整。
- 在任意非凸损失下保证 $O(\sqrt{T})$ 误差,曲率积累时可降至 $O(\log T)$。
- 适用于无法预知曲率变化的场景,特别适合动态环境下的在线学习。
曲率自适应是在线优化中的经典课题:对于凸 Lipschitz 损失,自适应方法可在一般凸情形的最优 $O(\sqrt{T})$ 误差与强凸情形的 $O(\log T)$ 误差间插值。近期工作表明,引入近似离线优化预言机后,跟随扰动领导者(FTPL)在非凸 Lipschitz 损失下仍能实现 $O(\sqrt{T})$ 误差,但未利用曲率信息。本文提出新算法,将标准 FTPL 的固定扰动尺度替换为仅依赖历史信息的时变尺度,并设计简单调参规则,使该尺度可与事后最优选择竞争(至常数因子)。所提方法在任意非凸损失下保持 $O(\sqrt{T})$ 误差,随累积曲率增长而加速;当预言机足够准确且累积曲率线性增长时,可达 $O(\log T)$ 误差,涵盖经典强凸情形。我们还为指定累积曲率序列给出了匹配的下界,即使在一维凸损失中亦成立,证明了最坏情况非凸误差与曲率驱动快收敛之间的权衡是本质的。
原文摘要 · Abstract (English)
Curvature adaptivity is a classical theme in online optimization: for convex Lipschitz losses, adaptive methods interpolate between the optimal $O(\sqrt{T})$ regret for general convex losses and $O(\log T)$ regret under strong convexity. Recent work has shown that Follow-the-Perturbed-Leader (FTPL) achieves optimal $O(\sqrt{T})$ regret even for online non-convex Lipschitz losses, assuming access to an approximate offline-optimization oracle, but these guarantees do not exploit curvature. We show that FTPL can be made curvature-adaptive in the non-convex setting, without knowing in advance how curvature will accumulate over time. Our algorithm replaces the fixed perturbation scale of standard FTPL with a time-varying scale chosen using only past information. We give a simple follow-the-leader tuning rule for this scale and show that it competes, up to constants, with the best choice in hindsight. The resulting method achieves $O(\sqrt{T})$ regret for arbitrary non-convex Lipschitz losses and improves as cumulative curvature grows; with sufficiently accurate oracle calls, it achieves $O(\log T)$ regret when cumulative curvature grows linearly, which includes the classical strongly convex regime. We complement these upper bounds with matching lower bounds for prescribed cumulative-curvature sequences, already for one-dimensional convex losses, showing that the tradeoff between worst-case non-convex regret and curvature-driven fast rates is intrinsic.
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