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Regret Minimization in Stochastic Non-Convex Learning via a Proximal-Gradient Approach
Nadav Hallak · Panayotis Mertikopoulos · Volkan Cevher

Wed Jul 21 05:30 AM -- 05:35 AM (PDT) @ None

This paper develops a methodology for regret minimization with stochastic first-order oracle feedback in online, constrained, non-smooth, non-convex problems. In this setting, the minimization of external regret is beyond reach for first-order methods, and there are no gradient-based algorithmic frameworks capable of providing a solution. On that account, we propose a conceptual approach that leverages non-convex optimality measures, leading to a suitable generalization of the learner's local regret. We focus on a local regret measure defined via a proximal-gradient mapping, that also encompasses the original notion proposed by Hazan et al. (2017). To achieve no local regret in this setting, we develop a proximal-gradient method based on stochastic first-order feedback, and a simpler method for when access to a perfect first-order oracle is possible. Both methods are order-optimal (in the min-max sense), and we also establish a bound on the number of proximal-gradient queries these methods require. As an important application of our results, we also obtain a link between online and offline non-convex stochastic optimization manifested as a new proximal-gradient scheme with complexity guarantees matching those obtained via variance reduction techniques.

Author Information

Nadav Hallak (The Technion)
Panayotis Mertikopoulos (CNRS and Criteo AI Lab)
Volkan Cevher (EPFL)

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