$O(\sqrt{T})$ Static Regret and Instance Dependent Constraint Violation for Constrained Online Convex Optimization

Rahul Vaze, Abhishek Sinha

Keywords: online convex optimization, regret

TL;DR: An algorithm with a static regret of $O(\sqrt{T})$ and a CCV of $\min\{{\cal V}, O(\sqrt{T}\log T) \}$, for constrained online convex optimization where ${\cal V}$ depends on the geometric properties of the instance .

Abstract:

The constrained version of the standard online convex optimization (OCO) framework, called COCO is considered, where on every round, a convex cost function and a convex constraint function are revealed to the learner after it chooses the action for that round.
The objective is to simultaneously minimize the static regret and cumulative constraint violation (CCV).
An algorithm is proposed that guarantees a static regret of $O(\sqrt{T})$ and a CCV of $\min\{{\cal V}, O(\sqrt{T}\log T) \}$, where ${\cal V}$ depends on the distance between the consecutively revealed constraint sets, the shape of constraint sets, dimension of action space and the diameter of the action space.
When constraint sets have additional structure, ${\cal V}=O(1)$. Compared to the state of the art results, static regret of $O(\sqrt{T})$ and CCV of $O(\sqrt{T}\log T)$, that were universal, the new result on CCV is instance dependent, which is derived by exploiting the geometric properties of the constraint sets.

Primary Area: General machine learning (supervised, unsupervised, online, active, etc.)

Submission Number: 11429