Parameter-Free Dynamic Regret for Online Convex Optimization under Heavy-Tailed Noise

Abstract:We study online convex optimization (OCO) in non-stationary environments under heavy-tailed noise, where the stochastic gradient oracle admits only a finite $p$-th central moment for some $p \in (1, 2]$. While static regret is well-understood, achieving universal dynamic regret in a parameter-free manner remains an open challenge. We resolve this by proposing \textbf{HT-PAder}, a parameter-free algorithm combining restarted AdaGrad experts over a geometric pool of block lengths with a pathwise meta-algorithm, \textbf{AdaGrad-Hedge}, which requires no moment conditions on meta-losses. For a domain of diameter $D$, Lipschitz constant $G$, noise level $\sigma$, and comparator path length $P_T$, HT-PAder achieves an expected universal dynamic regret of \[ \widetilde O\left( GD\sqrt{T(1+P_T/D)} + \sigma D T^{1/p}(1+P_T/D)^{(p-1)/p} \right). \] The algorithm does not require prior knowledge of any of these problem parameters. Even in the special case of finite variance ($p=2$), HT-PAder provides the first parameter-free minimax universal dynamic regret guarantee. We also prove a matching lower bound, establishing the optimality of the path-length exponent.

Machine Learning (cs.LG); Artificial Intelligence (cs.AI); Optimization and Control (math.OC)

arXiv:2607.27073 [cs.LG]

(or arXiv:2607.27073v1 [cs.LG] for this version)

https://doi.org/10.48550/arXiv.2607.27073 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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