Online Linear Optimization via Smoothing

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Jacob Abernethy, Chansoo Lee, Abhinav Sinha, Ambuj Tewari ;
Proceedings of The 27th Conference on Learning Theory, PMLR 35:807-823, 2014.

Abstract

We present a new optimization-theoretic approach to analyzing Follow-the-Leader style algorithms, particularly in the setting where perturbations are used as a tool for regularization. We show that adding a strongly convex penalty function to the decision rule and adding stochastic perturbations to data correspond to deterministic and stochastic smoothing operations, respectively. We establish an equivalence between “Follow the Regularized Leader” and “Follow the Perturbed Leader” up to the smoothness properties. This intuition leads to a new generic analysis framework that recovers and improves the previous known regret bounds of the class of algorithms commonly known as Follow the Perturbed Leader.

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