English

Unconstrained Online Learning with Unbounded Losses

Machine Learning 2023-07-18 v2 Machine Learning

Abstract

Algorithms for online learning typically require one or more boundedness assumptions: that the domain is bounded, that the losses are Lipschitz, or both. In this paper, we develop a new setting for online learning with unbounded domains and non-Lipschitz losses. For this setting we provide an algorithm which guarantees RT(u)O~(GuT+Lu2T)R_{T}(u)\le \tilde O(G\|u\|\sqrt{T}+L\|u\|^{2}\sqrt{T}) regret on any problem where the subgradients satisfy gtG+Lwt\|g_{t}\|\le G+L\|w_{t}\|, and show that this bound is unimprovable without further assumptions. We leverage this algorithm to develop new saddle-point optimization algorithms that converge in duality gap in unbounded domains, even in the absence of meaningful curvature. Finally, we provide the first algorithm achieving non-trivial dynamic regret in an unbounded domain for non-Lipschitz losses, as well as a matching lower bound. The regret of our dynamic regret algorithm automatically improves to a novel LL^{*} bound when the losses are smooth.

Keywords

Cite

@article{arxiv.2306.04923,
  title  = {Unconstrained Online Learning with Unbounded Losses},
  author = {Andrew Jacobsen and Ashok Cutkosky},
  journal= {arXiv preprint arXiv:2306.04923},
  year   = {2023}
}

Comments

41 pages; ICML 2023; v2: fixed some details in the exposition introducing saddle-point problems

R2 v1 2026-06-28T10:59:35.879Z