An Optimal Algorithm for Bandit Convex Optimization with Strongly-Convex and Smooth Loss

Shinji Ito
Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics, PMLR 108:2229-2239, 2020.

Abstract

We consider non-stochastic bandit convex optimization with strongly-convex and smooth loss functions. For this problem, Hazan and Levy have proposed an algorithm with a regret bound of $\tilde{O}(d^{3/2} \sqrt{T})$ given access to an $O(d)$-self-concordant barrier over the feasible region, where $d$ and $T$ stand for the dimensionality of the feasible region and the number of rounds, respectively. However, there are no known efficient ways for constructing self-concordant barriers for general convex sets, and a $\tilde{O}(\sqrt{d})$ gap has remained between the upper and lower bounds, as the known regret lower bound is $\Omega(d\sqrt{T})$. Our study resolves these two issues by introducing an algorithm that achieves an optimal regret bound of $\tilde{O}(d \sqrt{T})$ under a mild assumption, without self-concordant barriers. More precisely, the algorithm requires only a membership oracle for the feasible region, and it achieves an optimal regret bound of $\tilde{O}(d\sqrt{T})$ under the assumption that the optimal solution is an interior of the feasible region. Even without this assumption, our algorithm achieves $\tilde{O}(d^{3/2}\sqrt{T})$-regret.

Cite this Paper


BibTeX
@InProceedings{pmlr-v108-ito20a, title = {An Optimal Algorithm for Bandit Convex Optimization with Strongly-Convex and Smooth Loss}, author = {Ito, Shinji}, booktitle = {Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics}, pages = {2229--2239}, year = {2020}, editor = {Silvia Chiappa and Roberto Calandra}, volume = {108}, series = {Proceedings of Machine Learning Research}, month = {26--28 Aug}, publisher = {PMLR}, pdf = {http://proceedings.mlr.press/v108/ito20a/ito20a.pdf}, url = { http://proceedings.mlr.press/v108/ito20a.html }, abstract = {We consider non-stochastic bandit convex optimization with strongly-convex and smooth loss functions. For this problem, Hazan and Levy have proposed an algorithm with a regret bound of $\tilde{O}(d^{3/2} \sqrt{T})$ given access to an $O(d)$-self-concordant barrier over the feasible region, where $d$ and $T$ stand for the dimensionality of the feasible region and the number of rounds, respectively. However, there are no known efficient ways for constructing self-concordant barriers for general convex sets, and a $\tilde{O}(\sqrt{d})$ gap has remained between the upper and lower bounds, as the known regret lower bound is $\Omega(d\sqrt{T})$. Our study resolves these two issues by introducing an algorithm that achieves an optimal regret bound of $\tilde{O}(d \sqrt{T})$ under a mild assumption, without self-concordant barriers. More precisely, the algorithm requires only a membership oracle for the feasible region, and it achieves an optimal regret bound of $\tilde{O}(d\sqrt{T})$ under the assumption that the optimal solution is an interior of the feasible region. Even without this assumption, our algorithm achieves $\tilde{O}(d^{3/2}\sqrt{T})$-regret.} }
Endnote
%0 Conference Paper %T An Optimal Algorithm for Bandit Convex Optimization with Strongly-Convex and Smooth Loss %A Shinji Ito %B Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics %C Proceedings of Machine Learning Research %D 2020 %E Silvia Chiappa %E Roberto Calandra %F pmlr-v108-ito20a %I PMLR %P 2229--2239 %U http://proceedings.mlr.press/v108/ito20a.html %V 108 %X We consider non-stochastic bandit convex optimization with strongly-convex and smooth loss functions. For this problem, Hazan and Levy have proposed an algorithm with a regret bound of $\tilde{O}(d^{3/2} \sqrt{T})$ given access to an $O(d)$-self-concordant barrier over the feasible region, where $d$ and $T$ stand for the dimensionality of the feasible region and the number of rounds, respectively. However, there are no known efficient ways for constructing self-concordant barriers for general convex sets, and a $\tilde{O}(\sqrt{d})$ gap has remained between the upper and lower bounds, as the known regret lower bound is $\Omega(d\sqrt{T})$. Our study resolves these two issues by introducing an algorithm that achieves an optimal regret bound of $\tilde{O}(d \sqrt{T})$ under a mild assumption, without self-concordant barriers. More precisely, the algorithm requires only a membership oracle for the feasible region, and it achieves an optimal regret bound of $\tilde{O}(d\sqrt{T})$ under the assumption that the optimal solution is an interior of the feasible region. Even without this assumption, our algorithm achieves $\tilde{O}(d^{3/2}\sqrt{T})$-regret.
APA
Ito, S.. (2020). An Optimal Algorithm for Bandit Convex Optimization with Strongly-Convex and Smooth Loss. Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics, in Proceedings of Machine Learning Research 108:2229-2239 Available from http://proceedings.mlr.press/v108/ito20a.html .

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