Adaptive Algorithms for Online Convex Optimization with Long-term Constraints

Rodolphe Jenatton (1) , Jim Huang (2) , Cédric Archambeau (1)

1 Amazon, Berlin
2 Amazon, Seattle

We present an adaptive online gradient descent algorithm to solve online convex optimization problems with long-term constraints , which are constraints that need to be satisfied when accumulated over a finite number of rounds T , but can be violated in intermediate rounds. For some user-defined trade-off parameter β ∈ (0, 1), the proposed algorithm achieves cumulative regret bounds of O(T^max{β,1−β}) and O(T^(1−β/2)) for the loss and the constraint violations respectively. Our results hold for convex losses and can handle arbitrary convex constraints without requiring knowledge of the number of rounds in advance. Our contributions improve over the best known cumulative regret bounds by Mahdavi, et al. (2012) that are respectively O(T^1/2) and O(T^3/4) for general convex domains, and respectively O(T^2/3) and O(T^2/3) when further restricting to polyhedral domains. We supplement the analysis with experiments validating the performance of our algorithm in practice.

Domaines: Machine Learning [stat.ML]; Optimisation et contrôle [math.OC]

Rodolphe Jenatton, Jim Huang, Cédric Archambeau. Adaptive Algorithms for Online Convex Optimization with Long-term Constraints. 2015. ⟨hal-01247933⟩