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Lester Mackey: Online Learning with Optimism and Delay
Lester Mackey

Sat Jul 24 04:00 PM -- 04:45 PM (PDT) @
in Time Series Workshop »

Inspired by the demands of real-time subseasonal climate forecasting, we develop optimistic online learning algorithms that require no parameter tuning and have optimal regret guarantees under delayed feedback. Our algorithms -- DORM, DORM+, and AdaHedgeD -- arise from a novel reduction of delayed online learning to optimistic online learning that reveals how optimistic hints can mitigate the regret penalty caused by delay. We pair this delay-as-optimism perspective with a new analysis of optimistic learning that exposes its robustness to hinting errors and a new meta-algorithm for learning effective hinting strategies in the presence of delay. We conclude by benchmarking our algorithms on four subseasonal climate forecasting tasks, demonstrating low regret relative to state-of-the-art forecasting models.

Author Information

Lester Mackey (Microsoft Research)

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