Boosting is a widely used machine learning approach based on the idea of aggregating weak learning rules. While in statistical learning numerous boosting methods exist both in the realizable and agnostic settings, in online learning they exist only in the realizable case. In this work we provide the first agnostic online boosting algorithm; that is, given a weak learner with only marginally-better-than-trivial regret guarantees, our algorithm boosts it to a strong learner with sublinear regret.
Our algorithm is based on an abstract (and simple) reduction to online convex optimization, which efficiently converts an arbitrary online convex optimizer to an online booster.
Moreover, this reduction extends to the statistical as well as the online realizable settings, thus unifying the 4 cases of statistical/online and agnostic/realizable boosting.
Boosting is a fundamental approach in machine learning that enjoys both strong theoretical and practical guarantees. At a high-level, boosting algorithms cleverly aggregate weak learners to generate predictions with arbitrarily high accuracy. In this way, boosting algorithms convert weak learners into strong ones. Recently, Brukhim et al. extended boosting to the online agnostic binary classification setting. A key ingredient in their approach is a clean and simple reduction to online convex optimization, one that efficiently converts an arbitrary online convex optimizer to an agnostic online …
We consider the decision-making framework of online convex optimization with a very large number of experts. This setting is ubiquitous in contextual and reinforcement learning problems, where the size of the policy class renders enumeration and search within the policy class infeasible. Instead, we consider generalizing the methodology of online boosting. We define a weak learning algorithm as a mechanism that guarantees multiplicatively approximate regret against a base class of experts. In this access model, we give an efficient boosting algorithm that guarantees near-optimal regret against…
Faculty of Engineering and Information Technology（工程与信息技术学院）；University of Technology Sydney（悉尼科技大学）；Suncorp Group Limited（Suncorp集团有限公司）
We show that Residual Networks (ResNet) is equivalent to boosting feature representation, without any modification to the underlying ResNet training algorithm. A regret bound based on Online Gradient Boosting theory is proved and suggests that ResNet could achieve Online Gradient Boosting regret bounds through neural network architectural changes with the addition of a shrinkage parameter in the identity skip-connections and using residual modules with max-norm bounds. Through this relation between ResNet and Online Boosting, novel feature representation boosting algorithms can be constructed …
We consider the problem of boosting the accuracy of weak learning algorithms in the agnostic learning framework of Haussler (1992) and Kearns et al. (1992). Known algorithms for this problem (Ben-David et al., 2001; Gavinsky, 2002; Kalai et al., 2008) follow the same strategy as boosting algorithms in the PAC model: the weak learner is executed on the same target function but over different distributions on the domain. We demonstrate boosting algorithms for the agnostic learning framework that only modify the distribution on the labels of the points (or, equivalently, modify the target functio…
Duke University（杜克大学）；The University of Utah（犹他大学）；The Ohio State University（俄亥俄州立大学）
Zeroth-order optimization (ZO) typically relies on two-point feedback to estimate the unknown gradient of the objective function. Nevertheless, two-point feedback can not be used for online optimization of time-varying objective functions, where only a single query of the function value is possible at each time step. In this work, we propose a new one-point feedback method for online optimization that estimates the objective function gradient using the residual between two feedback points at consecutive time instants. Moreover, we develop regret bounds for ZO with residual feedback for both co…
Online Learning with Gradient-Variation Interval Regret
State Key Laboratory for Novel Software Technology and the School of Artificial Intelligence, Nanjing University（新型软件技术国家重点实验室和人工智能学院，南京大学）；Institute of Operations Research and Analytics, National University of Singapore（运筹与分析研究所，新加坡国立大学）
Google AI Princeton（谷歌AI普林斯顿）；Princeton University（普林斯顿大学）
The theory of deep learning focuses almost exclusively on supervised learning, non-convex optimization using stochastic gradient descent, and overparametrized neural networks. It is common belief that the optimizer dynamics, network architecture, initialization procedure, and other factors tie together and are all components of its success. This presents theoretical challenges for analyzing state-based and/or online deep learning. Motivated by applications in control, we give a general black-box reduction from deep learning to online convex optimization. This allows us to decouple optimization…
Centre de Mathématiques Appliquées École Polytechnique（巴黎综合理工学院应用数学中心）；Inria Lille - Nord Europe（法国国家信息与自动化研究所里尔-北欧中心）
We consider a variation on the problem of prediction with expert advice, where new forecasters that were unknown until then may appear at each round. As often in prediction with expert advice, designing an algorithm that achieves near-optimal regret guarantees is straightforward, using aggregation of experts. However, when the comparison class is sufficiently rich, for instance when the best expert and the set of experts itself changes over time, such strategies naively require to maintain a prohibitive number of weights (typically exponential with the time horizon). By contrast, designing str…
Georgia Institute of Technology（佐治亚理工学院）；Carnegie Mellon University（卡内基梅隆大学）
We consider the problem of learning from distributed data in the agnostic setting, i.e., in the presence of arbitrary forms of noise. Our main contribution is a general distributed boosting-based procedure for learning an arbitrary concept space, that is simultaneously noise tolerant, communication efficient, and computationally efficient. This improves significantly over prior works that were either communication efficient only in noise-free scenarios or computationally prohibitive. Empirical results on large synthetic and real-world datasets demonstrate the effectiveness and scalability of t…
City University of Hong Kong（香港城市大学）；Cainiao Network（菜鸟网络）
Maximizing a monotone submodular function is a fundamental task in machine learning, economics, and statistics. In this paper, we present two communication-efficient decentralized online algorithms for the monotone continuous DR-submodular maximization problem, both of which reduce the number of per-function gradient evaluations and per-round communication complexity from $T^{3/2}$ to $1$. The first one, One-shot Decentralized Meta-Frank-Wolfe (Mono-DMFW), achieves a $(1-1/e)$-regret bound of $O(T^{4/5})$. As far as we know, this is the first one-shot and projection-free decentralized online a…
Multiclass logistic regression is a fundamental task in machine learning with applications in classification and boosting. Previous work (Foster et al., 2018) has highlighted the importance of improper predictors for achieving "fast rates" in the online multiclass logistic regression problem without suffering exponentially from secondary problem parameters, such as the norm of the predictors in the comparison class. While Foster et al. (2018) introduced a statistically optimal algorithm, it is in practice computationally intractable due to its run-time complexity being a large polynomial in th…
Google AI Princeton（谷歌人工智能普林斯顿）；Department of Computer Science, Princeton University（普林斯顿大学计算机科学系）
We consider the problem of online boosting for regression tasks, when only limited information is available to the learner. We give an efficient regret minimization method that has two implications: an online boosting algorithm with noisy multi-point bandit feedback, and a new projection-free online convex optimization algorithm with stochastic gradient, that improves state-of-the-art guarantees in terms of efficiency.
Linear bandits have a wide variety of applications including recommendation systems yet they make one strong assumption: the algorithms must know an upper bound $S$ on the norm of the unknown parameter $θ^*$ that governs the reward generation. Such an assumption forces the practitioner to guess $S$ involved in the confidence bound, leaving no choice but to wish that $\|θ^*\|\le S$ is true to guarantee that the regret will be low. In this paper, we propose novel algorithms that do not require such knowledge for the first time. Specifically, we propose two algorithms and analyze their regret bou…
The Ohio State University（俄亥俄州立大学）；AT&T Labs Research（AT&T实验室研究部）
In this work, we address the open problem of finding low-complexity near-optimal multi-armed bandit algorithms for sequential decision making problems. Existing bandit algorithms are either sub-optimal and computationally simple (e.g., UCB1) or optimal and computationally complex (e.g., kl-UCB). We propose a boosting approach to Upper Confidence Bound based algorithms for stochastic bandits, that we call UCBoost. Specifically, we propose two types of UCBoost algorithms. We show that UCBoost($D$) enjoys $O(1)$ complexity for each arm per round as well as regret guarantee that is $1/e$-close to …
We study the generalization performance of online learning algorithms trained on samples coming from a dependent source of data. We show that the generalization error of any stable online algorithm concentrates around its regret--an easily computable statistic of the online performance of the algorithm--when the underlying ergodic process is $β$- or $ϕ$-mixing. We show high probability error bounds assuming the loss function is convex, and we also establish sharp convergence rates and deviation bounds for strongly convex losses and several linear prediction problems such as linear and logistic…
Ensemble of models is well known to improve single model performance. We present a novel ensembling technique coined MAC that is designed to find the optimal function for combining models while remaining invariant to the number of sub-models involved in the combination. Being agnostic to the number of sub-models enables addition and replacement of sub-models to the combination even after deployment, unlike many of the current methods for ensembling such as stacking, boosting, mixture of experts and super learners that lock the models used for combination during training and therefore need retr…
Google Research（谷歌研究院）；Cornell University（康奈尔大学）；New York University（纽约大学）
We investigate the problem of active learning in the streaming setting in non-parametric regimes, where the labels are stochastically generated from a class of functions on which we make no assumptions whatsoever. We rely on recently proposed Neural Tangent Kernel (NTK) approximation tools to construct a suitable neural embedding that determines the feature space the algorithm operates on and the learned model computed atop. Since the shape of the label requesting threshold is tightly related to the complexity of the function to be learned, which is a-priori unknown, we also derive a version o…
University of California, Santa Barbara（加州大学圣巴巴拉分校）
In feature-based dynamic pricing, a seller sets appropriate prices for a sequence of products (described by feature vectors) on the fly by learning from the binary outcomes of previous sales sessions ("Sold" if valuation $\geq$ price, and "Not Sold" otherwise). Existing works either assume noiseless linear valuation or precisely-known noise distribution, which limits the applicability of those algorithms in practice when these assumptions are hard to verify. In this work, we study two more agnostic models: (a) a "linear policy" problem where we aim at competing with the best linear pricing pol…
By exploiting the duality between boosting and online learning, we present a boosting framework which proves to be extremely powerful thanks to employing the vast knowledge available in the online learning area. Using this framework, we develop various algorithms to address multiple practically and theoretically interesting questions including sparse boosting, smooth-distribution boosting, agnostic learning and some generalization to double-projection online learning algorithms, as a by-product.
Department of Mathematics, University of Chicago（芝加哥大学数学系）；Departments of Mathematics, Computer Science, and Data and Decision Sciences, Technion（技术学院数学系、计算机科学系和数据与决策科学系）
An importance weight quantifies the relative importance of one example over another, coming up in applications of boosting, asymmetric classification costs, reductions, and active learning. The standard approach for dealing with importance weights in gradient descent is via multiplication of the gradient. We first demonstrate the problems of this approach when importance weights are large, and argue in favor of more sophisticated ways for dealing with them. We then develop an approach which enjoys an invariance property: that updating twice with importance weight $h$ is equivalent to updating …
Boosting Efficiency in Task-Agnostic Exploration through Causal Knowledge
Department of Computer Science and Engineering, Shanghai Jiao Tong University（上海交通大学计算机科学与工程系）；Halicioğlu Data Science Institute (HDSI), University of California San Diego（加州大学圣迭戈分校哈利乔格鲁数据科学研究所）；Guangdong Institute of Intelligence Science and Technology（广东省智能科学与技术研究院）
City University of Hong Kong（香港城市大学）；Cainiao Network（菜鸟网络）
In this paper, we revisit Stochastic Continuous Submodular Maximization in both offline and online settings, which can benefit wide applications in machine learning and operations research areas. We present a boosting framework covering gradient ascent and online gradient ascent. The fundamental ingredient of our methods is a novel non-oblivious function $F$ derived from a factor-revealing optimization problem, whose any stationary point provides a $(1-e^{-γ})$-approximation to the global maximum of the $γ$-weakly DR-submodular objective function $f\in C^{1,1}_L(\mathcal{X})$. Under the offlin…
We study a regret minimization problem with the existence of multiple best/near-optimal arms in the multi-armed bandit setting. We consider the case when the number of arms/actions is comparable or much larger than the time horizon, and make no assumptions about the structure of the bandit instance. Our goal is to design algorithms that can automatically adapt to the unknown hardness of the problem, i.e., the number of best arms. Our setting captures many modern applications of bandit algorithms where the action space is enormous and the information about the underlying instance/structure is u…
Metric-agnostic Learning-to-Rank via Boosting and Rank Approximation
Dept. of Statistics \& Data Science University of Central Florida Orlando, USA；Department of CIS, SKL-IOTSC University of Macau Macao, China；School of Computing；AI Arizona State University Tempe, USA
Seoul National University（首尔大学）；Columbia University（哥伦比亚大学）
We consider a stochastic contextual bandit problem where the dimension $d$ of the feature vectors is potentially large, however, only a sparse subset of features of cardinality $s_0 \ll d$ affect the reward function. Essentially all existing algorithms for sparse bandits require a priori knowledge of the value of the sparsity index $s_0$. This knowledge is almost never available in practice, and misspecification of this parameter can lead to severe deterioration in the performance of existing methods. The main contribution of this paper is to propose an algorithm that does not require prior kn…
