Boosting for Online Convex Optimization

Elad Hazan, Karan Singh

Research output: Chapter in Book/Report/Conference proceedingConference contribution

4 Scopus citations

Abstract

We consider the decision-making framework of online convex optimization with a very large number of experts. This setting is ubiquitous in contextual and reinforcement learning problems, where the size of the policy class renders enumeration and search within the policy class infeasible. Instead, we consider generalizing the methodology of online boosting. We define a weak learning algorithm as a mechanism that guarantees multiplicatively approximate regret against a base class of experts. In this access model, we give an efficient boosting algorithm that guarantees near-optimal regret against the convex hull of the base class. We consider both full and partial (a.k.a. bandit) information feedback models. We also give an analogous efficient boosting algorithm for the i.i.d. statistical setting. Our results simultaneously generalize online boosting and gradient boosting guarantees to contextual learning model, online convex optimization and bandit linear optimization settings.

Original languageEnglish (US)
Title of host publicationProceedings of the 38th International Conference on Machine Learning, ICML 2021
PublisherML Research Press
Pages4140-4149
Number of pages10
ISBN (Electronic)9781713845065
StatePublished - 2021
Event38th International Conference on Machine Learning, ICML 2021 - Virtual, Online
Duration: Jul 18 2021Jul 24 2021

Publication series

NameProceedings of Machine Learning Research
Volume139
ISSN (Electronic)2640-3498

Conference

Conference38th International Conference on Machine Learning, ICML 2021
CityVirtual, Online
Period7/18/217/24/21

All Science Journal Classification (ASJC) codes

  • Artificial Intelligence
  • Software
  • Control and Systems Engineering
  • Statistics and Probability

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