No-regret Algorithms for Online Convex Programs

Online convex programming has recently emerged as a powerful primitive for designing machine learning algorithms. For example, OCP can be used for learning a linear classifier, dynamically rebalancing a binary search tree, finding the shortest path in a graph with unknown edge lengths, solving a structured classification problem, or finding a good strategy in an extensive-form game. Several researchers have designed no-regret algorithms for OCP. But, compared to algorithms for special cases of OCP such as learning from expert advice, these algorithms are not very numerous or flexible. In learning from expert advice, one tool which has proved particularly valuable is the correspondence between no-regret algorithms and convex potential functions: by reasoning about these potential functions, researchers have designed algorithms with a wide variety of useful guarantees such as good performance when the target hypothesis is sparse. Until now, there has been no such recipe for the more general OCP problem, and therefore no ability to tune OCP algorithms to take advantage of properties of the problem or data. In this paper we derive a new class of no-regret learning algorithms for OCP. These Lagrangian Hedging algorithms are based on a general class of potential functions, and are a direct generalization of known learning rules like weighted majority and external-regret matching. In addition to proving regret bounds, we demonstrate our algorithms learning to play one-card poker.