Efficient learning algorithms for changing environments

Abstract

We study online learning in an oblivious changing environment. The standard measure of regret bounds the difference between the cost of the online learner and the best decision in hindsight. Hence, regret minimizing algorithms tend to converge to the static best optimum, clearly a suboptimal behavior in changing environments. On the other hand, various metrics proposed to strengthen regret and allow for more dynamic algorithms produce inefficient algorithms. We propose a different performance metric which strengthens the standard metric of regret and measures performance with respect to a changing comparator. We then describe a series of datastreaming- based reductions which transform algorithms for minimizing (standard) regret into adaptive algorithms albeit incurring only poly-logarithmic computational overhead. Using this reduction, we obtain efficient low adaptive-regret algorithms for the problem of online convex optimization. This can be applied to various learning scenarios, i.e. online portfolio selection, for which we describe experimental results showing the advantage of adaptivity. Copyright 2009.