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Online Convex Optimization in the Random Order Model

Dan Garber · Gal Korcia · Kfir Levy

Keywords: [ Convex Optimization ] [ Online Learning / Bandits ] [ Online Learning, Active Learning, and Bandits ]

Abstract: Online Convex Optimization (OCO) is a powerful framework for sequential prediction, portraying the natural uncertainty inherent in data-streams as though the data were generated by an almost omniscient adversary. However, this view, which is often too pessimistic for real-world data, comes with a price. The complexity of solving many important online tasks in this adversarial framework becomes much worse than that of their offline and even stochastic counterparts. In this work we consider a natural random-order version of the OCO model, in which the adversary can choose the set of loss functions, but does not get to choose the order in which they are supplied to the learner; Instead, they are observed in uniformly random order. Focusing on two important families of online tasks, one which includes online linear regression, and the other being online $k$-PCA, we show that under standard well-conditioned-data assumptions, standard online gradient descent (OGD) methods become much more efficient in the random-order model. In particular, for the first group of tasks OGD guarantees poly-logarithmic regret (this result holds even without assuming convexity of individual loss functions). In the case of online $k$-PCA, OGD guarantees sublinear regret using only a rank-$k$ SVD on each iteration and memory linear in the size of the solution.

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