Improved Strongly Adaptive Online Learning using Coin Betting
Proceedings of the 20th International Conference on Artificial Intelligence and Statistics, PMLR 54:943-951, 2017.
This paper describes a new parameter-free online learning algorithm for changing environments. In comparing against algorithms with the same time complexity as ours, we obtain a strongly adaptive regret bound that is a factor of at least $\sqrt\log(T)$ better, where $T$ is the time horizon. Empirical results show that our algorithm outperforms state-of-the-art methods in learning with expert advice and metric learning scenarios.