Efficient Methods for Non-stationary Online LearningDownload PDF

Published: 31 Oct 2022, 18:00, Last Modified: 11 Jan 2023, 12:32NeurIPS 2022 AcceptReaders: Everyone
Keywords: non-stationary online learning, dynamic regret, adaptive regret, online ensemble, projection complexity
Abstract: Non-stationary online learning has drawn much attention in recent years. In particular, \emph{dynamic regret} and \emph{adaptive regret} are proposed as two principled performance measures for online convex optimization in non-stationary environments. To optimize them, a two-layer online ensemble is usually deployed due to the inherent uncertainty of the non-stationarity, in which a group of base-learners are maintained and a meta-algorithm is employed to track the best one on the fly. However, the two-layer structure raises the concern about the computational complexity--those methods typically maintain $O(\log T)$ base-learners simultaneously for a $T$-round online game and thus perform multiple projections onto the feasible domain per round, which becomes the computational bottleneck when the domain is complicated. In this paper, we present efficient methods for optimizing dynamic regret and adaptive regret, which reduce the number of projections per round from $O(\log T)$ to $1$. Moreover, our obtained algorithms require only one gradient query and one function evaluation at each round. Our technique hinges on the reduction mechanism developed in parameter-free online learning and requires non-trivial twists on non-stationary online methods. Empirical studies verify our theoretical findings.
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