aiqbench analysis
This paper advances online convex optimization by extending the CONES framework to handle time-varying loss functions alongside evolving feasible sets. The authors establish tight theoretical bounds on regret and movement costs for both convex and strongly convex scenarios, demonstrating that projected proximal algorithms can achieve constant regret with logarithmic movement under strong convexity. These results provide foundational insights for dynamic optimization problems where system constraints and objectives shift over time.
Convex Optimization with Nested Evolving Feasible Sets (CONES) under Time-Varying Loss Functions
arXiv:2609.11207v1 Announce Type: new Abstract: Convex Optimization with Nested Evolving Feasible Sets (CONES)} was introduced in \cite{CONESVaze} where the objective function \(f\) remains fixed but the feasible region evolves over time as a nested sequence \(S_1 \supseteq S_2 \supseteq \cdots \supseteq S_T\). The goal of an online algorithm is to simultaneously minimize the regret with respect to hindsight static optimal benchmark and the total movement cost $M_\cA(T)$ while ensuring feasibility at all times. CONES is an optimization-oriented generalization of the well-known \emph{nested convex body chasing} (NCBC). In this paper, we extend CONES to allow for loss functions $f_t'$s to also change over time. When all loss functions are convex, we show that the projected proximal algorithm achieves $O(T^{1-\beta}), O(T^\beta)$ simultaneous regret and movement cost, respectively, for any $\beta \in [0,1)$, over a time horizon of $T$. We also show that any {\it weakly adaptive} online algorithm with $O(T^\beta)$ regret has a movement cost of $\Omega\left(T^{\frac{1-\beta}{2}}\right)$ for any $\beta \in [0,1)$. When all loss functions are strongly convex, we show that the projected proximal algorithm simultaneously achieves $O(1)$ regret and a movement cost of $O(\log T)$. To complement this, we show that any online algorithm with sublinear {\it anytime} regret has a movement cost of $\Omega\left(\log T\right)$.
Abstract:Convex Optimization with Nested Evolving Feasible Sets (CONES)} was introduced in \cite{CONESVaze} where the objective function \(f\) remains fixed but the feasible region evolves over time as a nested sequence \(S_1 \supseteq S_2 \supseteq \cdots \supseteq S_T\). The goal of an online algorithm is to simultaneously minimize the regret with respect to hindsight static optimal benchmark and the total movement cost $M_\cA(T)$ while ensuring feasibility at all times. CONES is an optimization-oriented generalization of the well-known \emph{nested convex body chasing} (NCBC). In this paper, we extend CONES to allow for loss functions $f_t'$s to also change over time. When all loss functions are convex, we show that the projected proximal algorithm achieves $O(T^{1-\beta}), O(T^\beta)$ simultaneous regret and movement cost, respectively, for any $\beta \in [0,1)$, over a time horizon of $T$. We also show that any {\it weakly adaptive} online algorithm with $O(T^\beta)$ regret has a movement cost of $\Omega\left(T^{\frac{1-\beta}{2}}\right)$ for any $\beta \in [0,1)$. When all loss functions are strongly convex, we show that the projected proximal algorithm simultaneously achieves $O(1)$ regret and a movement cost of $O(\log T)$. To complement this, we show that any online algorithm with sublinear {\it anytime} regret has a movement cost of $\Omega\left(\log T\right)$.
Machine Learning (cs.LG); Data Structures and Algorithms (cs.DS); Optimization and Control (math.OC)
arXiv:2609.11207 [cs.LG]
(or arXiv:2609.11207v1 [cs.LG] for this version)
https://doi.org/10.48550/arXiv.2609.11207 Focus to learn more arXiv-issued DOI via DataCite (pending registration)
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