Online allocation problems with resource constraints are central problems in revenue management and online advertising. In these problems, requests arrive sequentially during a finite horizon and, for each request, a decision maker needs to choose an action that consumes a certain amount of resources and generates reward. The objective is to maximize cumulative rewards subject to a constraint on the total consumption of resources. In this paper, we consider a data-driven setting in which the reward and resource consumption of each request are generated using an input model that is unknown to the decision maker. We design a general class of algorithms that attain good performance in various input models without knowing which type of input they are facing. In particular, our algorithms are asymptotically optimal under independent and identically distributed inputs as well as various non-stationary stochastic input models, and they attain an asymptotically optimal fixed competitive ratio when the input is adversarial. Our algorithms operate in the Lagrangian dual space: they maintain a dual multiplier for each resource that is updated using online mirror descent. By choosing the reference function accordingly, we recover the dual sub-gradient descent and dual multiplicative weights update algorithm. The resulting algorithms are simple, fast, and do not require convexity in the revenue function, consumption function and action space, in contrast to existing methods for online allocation problems. We discuss applications to network revenue management, online bidding in repeated auctions with budget constraints, online proportional matching with high entropy, and personalized assortment optimization with limited inventory.
Microsoft Research（微软研究院）；Toyota Technological Institute at Chicago（芝加哥丰田技术研究所）
We present a primal only derivation of Mirror Descent as a "partial" discretization of gradient flow on a Riemannian manifold where the metric tensor is the Hessian of the Mirror Descent potential. We contrast this discretization to Natural Gradient Descent, which is obtained by a "full" forward Euler discretization. This view helps shed light on the relationship between the methods and allows generalizing Mirror Descent to general Riemannian geometries, even when the metric tensor is {\em not} a Hessian, and thus there is no "dual."
As part of the effort to understand implicit bias of gradient descent in overparametrized models, several results have shown how the training trajectory on the overparametrized model can be understood as mirror descent on a different objective. The main result here is a characterization of this phenomenon under a notion termed commuting parametrization, which encompasses all the previous results in this setting. It is shown that gradient flow with any commuting parametrization is equivalent to continuous mirror descent with a related Legendre function. Conversely, continuous mirror descent wit…
We introduce and analyze a new family of first-order optimization algorithms which generalizes and unifies both mirror descent and dual averaging. Within the framework of this family, we define new algorithms for constrained optimization that combines the advantages of mirror descent and dual averaging. Our preliminary simulation study shows that these new algorithms significantly outperform available methods in some situations.
Columbia University（哥伦比亚大学）；University of Illinois（伊利诺伊大学）；INRIA（法国国家信息与自动化研究所）；Ecole Normale Supérieure（巴黎高等师范学院）；PSL Research University（巴黎文理研究大学）
Mirror descent, introduced by Nemirovski and Yudin in the 1970s, is a primal-dual convex optimization method that can be tailored to the geometry of the optimization problem at hand through the choice of a strongly convex potential function. It arises as a basic primitive in a variety of applications, including large-scale optimization, machine learning, and control. This paper proposes a variational formulation of mirror descent and of its stochastic variant, mirror Langevin dynamics. The main idea, inspired by the classic work of Brezis and Ekeland on variational principles for gradient flow…
Boston University（波士顿大学）；Northeastern University（东北大学）
In this work, we describe a generic approach to show convergence with high probability for stochastic convex optimization. In previous works, either the convergence is only in expectation or the bound depends on the diameter of the domain. Instead, we show high probability convergence with bounds depending on the initial distance to the optimal solution as opposed to the domain diameter. The algorithms use step sizes analogous to the standard settings and are universal to Lipschitz functions, smooth functions, and their linear combinations.
MirrorCBO: A consensus-based optimization method in the spirit of mirror descent
Department of Computing and Mathematical Sciences, Caltech（计算与数学科学系，加州理工学院）；Helmholtz Imaging, Deutsches Elektronen-Synchrotron DESY（海德堡成像，德意志电子同步辐射研究中心（DESY））
University of Edinburgh（爱丁堡大学）；KAIST（韩国科学技术院）；Samsung AI Research, Cambridge（三星剑桥人工智能研究院）
Optimisers are an essential component for training machine learning models, and their design influences learning speed and generalisation. Several studies have attempted to learn more effective gradient-descent optimisers via solving a bi-level optimisation problem where generalisation error is minimised with respect to optimiser parameters. However, most existing optimiser learning methods are intuitively motivated, without clear theoretical support. We take a different perspective starting from mirror descent rather than gradient descent, and meta-learning the corresponding Bregman divergenc…
Most of the recent successful applications of neural networks have been based on training with gradient descent updates. However, for some small networks, other mirror descent updates learn provably more efficiently when the target is sparse. We present a general framework for casting a mirror descent update as a gradient descent update on a different set of parameters. In some cases, the mirror descent reparameterization can be described as training a modified network with standard backpropagation. The reparameterization framework is versatile and covers a wide range of mirror descent updates…
This work addresses distributed optimization, where a network of agents wants to minimize a global strongly convex objective function. The global function can be written as a sum of local convex functions, each of which is associated with an agent. We propose a continuous-time distributed mirror descent algorithm that uses purely local information to converge to the global optimum. Unlike previous work on distributed mirror descent, we incorporate an integral feedback in the update, allowing the algorithm to converge with a constant step-size when discretized. We establish the asymptotic conve…
Massachusetts Institute of Technology（麻省理工学院）；University of California, San Diego（加利福尼亚大学圣地亚哥分校）
The Polyak-Lojasiewicz (PL) inequality is a sufficient condition for establishing linear convergence of gradient descent, even in non-convex settings. While several recent works use a PL-based analysis to establish linear convergence of stochastic gradient descent methods, the question remains as to whether a similar analysis can be conducted for more general optimization methods. In this work, we present a PL-based analysis for linear convergence of generalized mirror descent (GMD), a generalization of mirror descent with a possibly time-dependent mirror. GMD subsumes popular first order opti…
In this work, we investigate the idea of variance reduction by studying its properties with general adaptive mirror descent algorithms in nonsmooth nonconvex finite-sum optimization problems. We propose a simple yet generalized framework for variance reduced adaptive mirror descent algorithms named SVRAMD and provide its convergence analysis in both the nonsmooth nonconvex problem and the P-L conditioned problem. We prove that variance reduction reduces the SFO complexity of adaptive mirror descent algorithms and thus accelerates their convergence. In particular, our general theory implies tha…
King Abdullah University of Science and Technology（阿卜杜拉国王科技大学）；KAUST（阿卜杜拉国王科技大学）
In this note, we establish a descent lemma for the population limit Mirrored Stein Variational Gradient Method~(MSVGD). This descent lemma does not rely on the path information of MSVGD but rather on a simple assumption for the mirrored distribution $\nablaΨ_{\#}π\propto\exp(-V)$. Our analysis demonstrates that MSVGD can be applied to a broader class of constrained sampling problems with non-smooth $V$. We also investigate the complexity of the population limit MSVGD in terms of dimension $d$.
King Abdullah University of Science and Technology（阿卜杜拉国王科技大学）
We present a new perspective on the celebrated Sinkhorn algorithm by showing that is a special case of incremental/stochastic mirror descent. In order to see this, one should simply plug Kullback-Leibler divergence in both mirror map and the objective function. Since the problem has unbounded domain, the objective function is neither smooth nor it has bounded gradients. However, one can still approach the problem using the notion of relative smoothness, obtaining that the stochastic objective is 1-relative smooth. The discovered equivalence allows us to propose 1) new methods for optimal trans…
Many problems in machine learning can be formulated as optimizing a convex functional over a vector space of measures. This paper studies the convergence of the mirror descent algorithm in this infinite-dimensional setting. Defining Bregman divergences through directional derivatives, we derive the convergence of the scheme for relatively smooth and convex pairs of functionals. Such assumptions allow to handle non-smooth functionals such as the Kullback--Leibler (KL) divergence. Applying our result to joint distributions and KL, we show that Sinkhorn's primal iterations for entropic optimal tr…
We study discrete-time mirror descent applied to the unregularized empirical risk in matrix sensing. In both the general case of rectangular matrices and the particular case of positive semidefinite matrices, a simple potential-based analysis in terms of the Bregman divergence allows us to establish convergence of mirror descent -- with different choices of the mirror maps -- to a matrix that, among all global minimizers of the empirical risk, minimizes a quantity explicitly related to the nuclear norm, the Frobenius norm, and the von Neumann entropy. In both cases, this characterization impli…
We analyze continuous-time mirror descent applied to sparse phase retrieval, which is the problem of recovering sparse signals from a set of magnitude-only measurements. We apply mirror descent to the unconstrained empirical risk minimization problem (batch setting), using the square loss and square measurements. We provide a convergence analysis of the algorithm in this non-convex setting and prove that, with the hypentropy mirror map, mirror descent recovers any $k$-sparse vector $\mathbf{x}^\star\in\mathbb{R}^n$ with minimum (in modulus) non-zero entry on the order of $\| \mathbf{x}^\star \…
University of Wisconsin-Madison（威斯康星大学麦迪逊分校）；Duke University（杜克大学）
Information geometry applies concepts in differential geometry to probability and statistics and is especially useful for parameter estimation in exponential families where parameters are known to lie on a Riemannian manifold. Connections between the geometric properties of the induced manifold and statistical properties of the estimation problem are well-established. However developing first-order methods that scale to larger problems has been less of a focus in the information geometry community. The best known algorithm that incorporates manifold structure is the second-order natural gradie…
California Institute of Technology（加州理工学院）；Google（谷歌）
The stochastic mirror descent (SMD) algorithm is a general class of training algorithms, which includes the celebrated stochastic gradient descent (SGD), as a special case. It utilizes a mirror potential to influence the implicit bias of the training algorithm. In this paper we explore the performance of the SMD iterates on mean-field ensemble models. Our results generalize earlier ones obtained for SGD on such models. The evolution of the distribution of parameters is mapped to a continuous time process in the space of probability distributions. Our main result gives a nonlinear partial diffe…
In this paper, we examine the convergence of mirror descent in a class of stochastic optimization problems that are not necessarily convex (or even quasi-convex), and which we call variationally coherent. Since the standard technique of "ergodic averaging" offers no tangible benefits beyond convex programming, we focus directly on the algorithm's last generated sample (its "last iterate"), and we show that it converges with probabiility $1$ if the underlying problem is coherent. We further consider a localized version of variational coherence which ensures local convergence of stochastic mirro…
This paper studies early-stopped mirror descent applied to noisy sparse phase retrieval, which is the problem of recovering a $k$-sparse signal $\mathbf{x}^\star\in\mathbb{R}^n$ from a set of quadratic Gaussian measurements corrupted by sub-exponential noise. We consider the (non-convex) unregularized empirical risk minimization problem and show that early-stopped mirror descent, when equipped with the hyperbolic entropy mirror map and proper initialization, achieves a nearly minimax-optimal rate of convergence, provided the sample size is at least of order $k^2$ (modulo logarithmic term) and …
Yale University（耶鲁大学）；Georgia Institute of Technology（佐治亚理工学院）；Singapore University of Technology and Design（新加坡科技设计大学）
In this paper we study two-player bilinear zero-sum games with constrained strategy spaces. An instance of natural occurrences of such constraints is when mixed strategies are used, which correspond to a probability simplex constraint. We propose and analyze the alternating mirror descent algorithm, in which each player takes turns to take action following the mirror descent algorithm for constrained optimization. We interpret alternating mirror descent as an alternating discretization of a skew-gradient flow in the dual space, and use tools from convex optimization and modified energy functio…
ENS（巴黎高等师范学院）；Univ. PSL（巴黎文理研究大学）；Univ. Grenoble Alpes（格勒诺布尔阿尔卑斯大学）；CNRS（法国国家科学研究中心）；Grenoble INP（格勒诺布尔国立理工学院）；Inria（法国国家信息与自动化研究所）；Criteo AI Lab（Criteo人工智能实验室）
In this paper, we analyze the local convergence rate of optimistic mirror descent methods in stochastic variational inequalities, a class of optimization problems with important applications to learning theory and machine learning. Our analysis reveals an intricate relation between the algorithm's rate of convergence and the local geometry induced by the method's underlying Bregman function. We quantify this relation by means of the Legendre exponent, a notion that we introduce to measure the growth rate of the Bregman divergence relative to the ambient norm near a solution. We show that this …
Recently there has been a surge of interest in understanding implicit regularization properties of iterative gradient-based optimization algorithms. In this paper, we study the statistical guarantees on the excess risk achieved by early-stopped unconstrained mirror descent algorithms applied to the unregularized empirical risk with the squared loss for linear models and kernel methods. By completing an inequality that characterizes convexity for the squared loss, we identify an intrinsic link between offset Rademacher complexities and potential-based convergence analysis of mirror descent meth…
University of Toronto（多伦多大学）；Vector Institute（向量研究所）；University of California, Davis（加州大学戴维斯分校）
We study stochastic convex optimization under infinite noise variance. Specifically, when the stochastic gradient is unbiased and has uniformly bounded $(1+κ)$-th moment, for some $κ\in (0,1]$, we quantify the convergence rate of the Stochastic Mirror Descent algorithm with a particular class of uniformly convex mirror maps, in terms of the number of iterations, dimensionality and related geometric parameters of the optimization problem. Interestingly this algorithm does not require any explicit gradient clipping or normalization, which have been extensively used in several recent empirical an…
State Key Laboratory of Novel Software Technology, Nanjing University（南京大学新型软件技术国家重点实验室）；School of Artificial Intelligence, Nanjing University（南京大学人工智能学院）；School of Computer Science and Engineering, Nanjing University of Science and Technology（南京理工大学计算机科学与工程学院）；School of Software Technology, Zhejiang University（浙江大学软件技术学院）；Hangzhou High-Tech Zone (Binjiang) Institute of Blockchain and Data Security（杭州高新技术区（滨江）区块链与数据安全研究院）
Toyota Technological Institute at Chicago（芝加哥丰田技术研究所）；The Technion（以色列理工学院）；Università degli Studi di Milano（米兰大学）
Online learning algorithms are fast, memory-efficient, easy to implement, and applicable to many prediction problems, including classification, regression, and ranking. Several online algorithms were proposed in the past few decades, some based on additive updates, like the Perceptron, and some on multiplicative updates, like Winnow. A unifying perspective on the design and the analysis of online algorithms is provided by online mirror descent, a general prediction strategy from which most first-order algorithms can be obtained as special cases. We generalize online mirror descent to time-vary…
In this paper, we focus on the question of the extent to which online learning can benefit from distributed computing. We focus on the setting in which $N$ agents online-learn cooperatively, where each agent only has access to its own data. We propose a generic data-distributed online learning meta-algorithm. We then introduce the Distributed Weighted Majority and Distributed Online Mirror Descent algorithms, as special cases. We show, using both theoretical analysis and experiments, that compared to a single agent: given the same computation time, these distributed algorithms achieve smaller …
University of Milan（米兰大学）；Istituto Italiano di Tecnologia（意大利技术研究院）；University College London（伦敦大学学院）
We introduce and analyze MT-OMD, a multitask generalization of Online Mirror Descent (OMD) which operates by sharing updates between tasks. We prove that the regret of MT-OMD is of order $\sqrt{1 + σ^2(N-1)}\sqrt{T}$, where $σ^2$ is the task variance according to the geometry induced by the regularizer, $N$ is the number of tasks, and $T$ is the time horizon. Whenever tasks are similar, that is $σ^2 \le 1$, our method improves upon the $\sqrt{NT}$ bound obtained by running independent OMDs on each task. We further provide a matching lower bound, and show that our multitask extensions of Online…
In machine learning and statistical data analysis, we often run into objective function that is a summation: the number of terms in the summation possibly is equal to the sample size, which can be enormous. In such a setting, the stochastic mirror descent (SMD) algorithm is a numerically efficient method -- each iteration involving a very small subset of the data. The variance reduction version of SMD (VRSMD) can further improve SMD by inducing faster convergence. On the other hand, algorithms such as gradient descent and stochastic gradient descent have the implicit regularization property th…
Massachusetts Institute of Technology（麻省理工学院）；California Institute of Technology（加州理工学院）
Despite perfectly interpolating the training data, deep neural networks (DNNs) can often generalize fairly well, in part due to the "implicit regularization" induced by the learning algorithm. Nonetheless, various forms of regularization, such as "explicit regularization" (via weight decay), are often used to avoid overfitting, especially when the data is corrupted. There are several challenges with explicit regularization, most notably unclear convergence properties. Inspired by convergence properties of stochastic mirror descent (SMD) algorithms, we propose a new method for training DNNs wit…
Università degli Studi di Milano（米兰大学）；Ecole Normale Supérieure, Paris（巴黎高等师范学院）；ICREA（加泰罗尼亚研究与高级研究机构）；Universitat Pompeu Fabra, Barcelona（庞培法布拉大学（巴塞罗那））；HEC Paris（巴黎高等商学院）
Mirror descent with an entropic regularizer is known to achieve shifting regret bounds that are logarithmic in the dimension. This is done using either a carefully designed projection or by a weight sharing technique. Via a novel unified analysis, we show that these two approaches deliver essentially equivalent bounds on a notion of regret generalizing shifting, adaptive, discounted, and other related regrets. Our analysis also captures and extends the generalized weight sharing technique of Bousquet and Warmuth, and can be refined in several ways, including improvements for small losses and a…
Harvard University（哈佛大学）；Massachusetts Institute of Technology（麻省理工学院）
This work addresses decentralized online optimization in non-stationary environments. A network of agents aim to track the minimizer of a global time-varying convex function. The minimizer evolves according to a known dynamics corrupted by an unknown, unstructured noise. At each time, the global function can be cast as a sum of a finite number of local functions, each of which is assigned to one agent in the network. Moreover, the local functions become available to agents sequentially, and agents do not have a prior knowledge of the future cost functions. Therefore, agents must communicate wi…
California Institute of Technology（加州理工学院）；Department of Computing and Mathematical Sciences（计算与数学科学系）；Department of Electrical Engineering（电气工程系）
Stochastic descent methods (of the gradient and mirror varieties) have become increasingly popular in optimization. In fact, it is now widely recognized that the success of deep learning is not only due to the special deep architecture of the models, but also due to the behavior of the stochastic descent methods used, which play a key role in reaching "good" solutions that generalize well to unseen data. In an attempt to shed some light on why this is the case, we revisit some minimax properties of stochastic gradient descent (SGD) for the square loss of linear models---originally developed in…
We study three families of online convex optimization algorithms: follow-the-proximally-regularized-leader (FTRL-Proximal), regularized dual averaging (RDA), and composite-objective mirror descent. We first prove equivalence theorems that show all of these algorithms are instantiations of a general FTRL update. This provides theoretical insight on previous experimental observations. In particular, even though the FOBOS composite mirror descent algorithm handles L1 regularization explicitly, it has been observed that RDA is even more effective at producing sparsity. Our results demonstrate that…
University of British Columbia（不列颠哥伦比亚大学）；Cornell University（康奈尔大学）；Amii（阿尔伯塔机器智能研究所）
Expectation maximization (EM) is the default algorithm for fitting probabilistic models with missing or latent variables, yet we lack a full understanding of its non-asymptotic convergence properties. Previous works show results along the lines of "EM converges at least as fast as gradient descent" by assuming the conditions for the convergence of gradient descent apply to EM. This approach is not only loose, in that it does not capture that EM can make more progress than a gradient step, but the assumptions fail to hold for textbook examples of EM like Gaussian mixtures. In this work we first…
University of Science and Technology of China（中国科学技术大学）
Follow-the-Regularized-Lead (FTRL) and Online Mirror Descent (OMD) are regret minimization algorithms for Online Convex Optimization (OCO), they are mathematically elegant but less practical in solving Extensive-Form Games (EFGs). Counterfactual Regret Minimization (CFR) is a technique for approximating Nash equilibria in EFGs. CFR and its variants have a fast convergence rate in practice, but their theoretical results are not satisfactory. In recent years, researchers have been trying to link CFRs with OCO algorithms, which may provide new theoretical results and inspire new algorithms. Howev…
Mila；Université de Montreal（蒙特利尔大学）；University of British Columbia（不列颠哥伦比亚大学）；Samsung（三星）；SAIT AI Lab（SAIT AI实验室）
We consider the problem of upper bounding the expected log-likelihood sub-optimality of the maximum likelihood estimate (MLE), or a conjugate maximum a posteriori (MAP) for an exponential family, in a non-asymptotic way. Surprisingly, we found no general solution to this problem in the literature. In particular, current theories do not hold for a Gaussian or in the interesting few samples regime. After exhibiting various facets of the problem, we show we can interpret the MAP as running stochastic mirror descent (SMD) on the log-likelihood. However, modern convergence results do not apply for …
Australian National University（澳大利亚国立大学）；Amazon（亚马逊公司）；Data61, CSIRO（联邦科学与工业研究组织Data61研究院）；University of Oxford（牛津大学）；Five AI（Five AI公司）
Quantizing large Neural Networks (NN) while maintaining the performance is highly desirable for resource-limited devices due to reduced memory and time complexity. It is usually formulated as a constrained optimization problem and optimized via a modified version of gradient descent. In this work, by interpreting the continuous parameters (unconstrained) as the dual of the quantized ones, we introduce a Mirror Descent (MD) framework for NN quantization. Specifically, we provide conditions on the projections (i.e., mapping from continuous to quantized ones) which would enable us to derive valid…
We present a unified framework based on primal-dual stochastic mirror descent for approximately solving infinite-horizon Markov decision processes (MDPs) given a generative model. When applied to an average-reward MDP with $A_{tot}$ total state-action pairs and mixing time bound $t_{mix}$ our method computes an $ε$-optimal policy with an expected $\widetilde{O}(t_{mix}^2 A_{tot} ε^{-2})$ samples from the state-transition matrix, removing the ergodicity dependence of prior art. When applied to a $γ$-discounted MDP with $A_{tot}$ total state-action pairs our method computes an $ε$-optimal policy…
We consider metrical task systems on tree metrics, and present an $O(\mathrm{depth} \times \log n)$-competitive randomized algorithm based on the mirror descent framework introduced in our prior work on the $k$-server problem. For the special case of hierarchically separated trees (HSTs), we use mirror descent to refine the standard approach based on gluing unfair metrical task systems. This yields an $O(\log n)$-competitive algorithm for HSTs, thus removing an extraneous $\log\log n$ in the bound of Fiat and Mendel (2003). Combined with well-known HST embedding theorems, this also gives an $O…
