We study various discrete nonlinear combinatorial optimization problems in an online learning framework. In the first part, we address the question of whether there are negative results showing that getting a vanishing (or even vanishing approximate) regret is computational hard. We provide a general reduction showing that many (min-max) polynomial time solvable problems not only do not have a vanishing regret, but also no vanishing approximation @math -regret, for some @math (unless @math ). Then, we focus on a particular min-max problem, the min-max version of the vertex cover problem which is solvable in polynomial time in the offline case. The previous reduction proves that there is no @math -regret online algorithm, unless Unique Game is in @math ; we prove a matching upper bound providing an online algorithm based on the online gradient descent method. Then, we turn our attention to online learning algorithms that are based on an offline optimization oracle that, given a set of instances of the problem, is able to compute the optimum static solution. We show that for different nonlinear discrete optimization problems, it is strongly @math -hard to solve the offline optimization oracle, even for problems that can be solved in polynomial time in the static case (e.g. min-max vertex cover, min-max perfect matching, etc.). On the positive side, we present an online algorithm with vanishing regret that is based on the follow the perturbed leader algorithm for a generalized knapsack problem.
Another direction is to design online learning algorithms using (offline polynomial-time) approximation algorithms as oracles. provided an algorithm which is inspired by Zinkevich's algorithm @cite_14 (gradient descent): at every step, the algorithm updates the current solution in the direction of the gradient and project back to the feasible set using an approximation algorithm. They showed that given an @math -approximation algorithm for a optimization problem, after @math prediction rounds (time steps) the online algorithm achieves an @math -regret bound of @math using @math calls to the approximation algorithm per round in average. Later on, gave an algorithm with @math -regret bound of @math using only @math calls to the approximation algorithm per round in average. These algorithms rely crucially on the linearity of the objective functions and it remains an interesting open question to design algorithms for online non-linear optimization problems.
@cite_14
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We give novel algorithms for stochastic strongly-convex optimization in the gradient oracle model which return a O(1 T)-approximate solution after T iterations. The first algorithm is deterministic, and achieves this rate via gradient updates and historical averaging. The second algorithm is randomized, and is based on pure gradient steps with a random step size. his rate of convergence is optimal in the gradient oracle model. This improves upon the previously known best rate of O(log(T T), which was obtained by applying an online strongly-convex optimization algorithm with regret O(log(T)) to the batch setting. We complement this result by proving that any algorithm has expected regret of Ω(log(T)) in the online stochastic strongly-convex optimization setting. This shows that any online-to-batch conversion is inherently suboptimal for stochastic strongly-convex optimization. This is the first formal evidence that online convex optimization is strictly more difficult than batch stochastic convex optimization. We study a general online convex optimization problem. We have a convex set S and an unknown sequence of cost functions c 1 , c 2 ,..., and in each period, we choose a feasible point x t in S, and learn the cost c t (x t ). If the function c t is also revealed after each period then, as Zinkevich shows in [25], gradient descent can be used on these functions to get regret bounds of O(√n). That is, after n rounds, the total cost incurred will be O(√n) more than the cost of the best single feasible decision chosen with the benefit of hindsight, min x Σ ct(x).We extend this to the "bandit" setting, where, in each period, only the cost c t (x t ) is revealed, and bound the expected regret as O(n3 4).Our approach uses a simple approximation of the gradient that is computed from evaluating c t at a single (random) point. We show that this biased estimate is sufficient to approximate gradient descent on the sequence of functions. In other words, it is possible to use gradient descent without seeing anything more than the value of the functions at a single point. The guarantees hold even in the most general case: online against an adaptive adversary.For the online linear optimization problem [15], algorithms with low regrets in the bandit setting have recently been given against oblivious [1] and adaptive adversaries [19]. In contrast to these algorithms, which distinguish between explicit explore and exploit periods, our algorithm can be interpreted as doing a small amount of exploration in each period. We consider a the general online convex optimization framework introduced by Zinkevich. In this setting, there is a sequence of convex functions. Each period, we must choose a signle point (from some feasible set) and pay a cost equal to the value of the next function on our chosen point. Zinkevich shows that, if the each function is revealed after the choice is made, then one can achieve vanishingly small regret relative the best single decision chosen in hindsight. We extend this to the bandit setting where we do not find out the entire functions but rather just their value at our chosen point. We show how to get vanishingly small regret in this setting. Our approach uses a simple approximation of the gradient that is computed from evaluating a function at a single (random) point. We show that this estimate is sufficient to mimic Zinkevich's gradient descent online analysis, with access to the gradient (only being able to evaluate the function at a single point). We consider the adversarial convex bandit problem and we build the first @math -time algorithm with @math -regret for this problem. To do so we introduce three new ideas in the derivative-free optimization literature: (i) kernel methods, (ii) a generalization of Bernoulli convolutions, and (iii) a new annealing schedule for exponential weights (with increasing learning rate). The basic version of our algorithm achieves @math -regret, and we show that a simple variant of this algorithm can be run in @math -time per step at the cost of an additional @math factor in the regret. These results improve upon the @math -regret and @math -time result of the first two authors, and the @math -regret and @math -time result of Hazan and Li. Furthermore we conjecture that another variant of the algorithm could achieve @math -regret, and moreover that this regret is unimprovable (the current best lower bound being @math and it is achieved with linear functions). For the simpler situation of zeroth order stochastic convex optimization this corresponds to the conjecture that the optimal query complexity is of order @math .