A continuous-time approach to online optimization

Abstract : We consider a family of learning strategies for online optimization problems that evolve in continuous time and we show that they lead to no regret. From a more traditional, discrete-time viewpoint, this continuous-time approach allows us to derive the no-regret properties of a large class of discrete-time algorithms including as special cases the exponential weight algorithm, online mirror descent, smooth fictitious play and vanishingly smooth fictitious play. In so doing, we obtain a unified view of many classical regret bounds, and we show that they can be decomposed into a term stemming from continuous- time considerations and a term which measures the disparity between discrete and continuous time. As a result, we obtain a general class of infinite horizon learning strategies that guarantee an $O(n^{-1/2})$ regret bound without having to resort to a doubling trick.
Type de document :
Article dans une revue
Journal of Dynamics and Games, AIMS, 2017, 4 (2), pp.125-148
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Contributeur : Panayotis Mertikopoulos <>
Soumis le : dimanche 16 octobre 2016 - 15:29:19
Dernière modification le : jeudi 11 octobre 2018 - 08:48:05


  • HAL Id : hal-01382299, version 1


Joon Kwon, Panayotis Mertikopoulos. A continuous-time approach to online optimization. Journal of Dynamics and Games, AIMS, 2017, 4 (2), pp.125-148. 〈hal-01382299〉



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