Gradient-Variation Online Learning under Generalized Smoothness

• URL: http://arxiv.org/abs/2408.09074v2
• Date: Sun, 3 Nov 2024 14:34:59 GMT
• Title: Gradient-Variation Online Learning under Generalized Smoothness
• Authors: Yan-Feng Xie, Peng Zhao, Zhi-Hua Zhou,
• Abstract summary: gradient-variation online learning aims to achieve regret guarantees that scale with variations in gradients of online functions. Recent efforts in neural network optimization suggest a generalized smoothness condition, allowing smoothness to correlate with gradient norms. We provide the applications for fast-rate convergence in games and extended adversarial optimization.
• Score: 56.38427425920781
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Gradient-variation online learning aims to achieve regret guarantees that scale with variations in the gradients of online functions, which has been shown to be crucial for attaining fast convergence in games and robustness in stochastic optimization, hence receiving increased attention. Existing results often require the smoothness condition by imposing a fixed bound on gradient Lipschitzness, which may be unrealistic in practice. Recent efforts in neural network optimization suggest a generalized smoothness condition, allowing smoothness to correlate with gradient norms. In this paper, we systematically study gradient-variation online learning under generalized smoothness. We extend the classic optimistic mirror descent algorithm to derive gradient-variation regret by analyzing stability over the optimization trajectory and exploiting smoothness locally. Then, we explore universal online learning, designing a single algorithm with the optimal gradient-variation regrets for convex and strongly convex functions simultaneously, without requiring prior knowledge of curvature. This algorithm adopts a two-layer structure with a meta-algorithm running over a group of base-learners. To ensure favorable guarantees, we design a new Lipschitz-adaptive meta-algorithm, capable of handling potentially unbounded gradients while ensuring a second-order bound to effectively ensemble the base-learners. Finally, we provide the applications for fast-rate convergence in games and stochastic extended adversarial optimization.

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