Efficient Projection-Free Online Methods with Stochastic Recursive Gradient

2020-06-02

Proceedings of the AAAI Conference on Artificial Intelligence, 34

Volume

Vol. 34 No. 04: AAAI-20 Technical Tracks 4

AAAI Technical Track: Machine Learning

This paper focuses on projection-free methods for solving smooth Online Convex Optimization (OCO) problems. Existing projection-free methods either achieve suboptimal regret bounds or have high per-round computational costs. To fill this gap, two efficient projection-free online methods called ORGFW and MORGFW are proposed for solving stochastic and adversarial OCO problems, respectively. By employing a recursive gradient estimator, our methods achieve optimal regret bounds (up to a logarithmic factor) while possessing low per-round computational costs. Experimental results demonstrate the efficiency of the proposed methods compared to state-of-the-arts.

10.1609/aaai.v34i04.6116