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Home / Proceedings / Proceedings of the AAAI Conference on Artificial Intelligence, 29 / No.1: The Twenty-Ninth Conference on Artificial Intelligence

Fast Gradient Descent for Drifting Least Squares Regression, with Application to Bandits

March 8, 2023

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Authors

Nathaniel Korda

University of Oxford


Prashanth L.A.

INRIA Lille


Remi Munos

INRIA Lille


DOI:

10.1609/aaai.v29i1.9619


Abstract:

Online learning algorithms require to often recompute least squares regression estimates of parameters. We study improving the computational complexity of such algorithms by using stochastic gradient descent (SGD) type schemes in place of classic regression solvers. We show that SGD schemes efficiently track the true solutions of the regression problems, even in the presence of a drift. This finding coupled with an $O(d)$ improvement in complexity, where $d$ is the dimension of the data, make them attractive for implementation in the textit{big data} settings. In the case when strong convexity in the regression problem is guaranteed, we provide bounds on the error both in expectation and high probability (the latter is often needed to provide theoretical guarantees for higher level algorithms), despite the drifting least squares solution. As an example of this case we prove that the regret performance of an SGD version of the PEGE linear bandit algorithm is worse than that of PEGE itself only by a factor of $O(log^4 n)$. When strong convexity of the regression problem cannot be guaranteed, we investigate using an adaptive regularisation. We make an empirical study of an adaptively regularised, SGD version of LinUCB in a news article recommendation application, which uses the large scale news recommendation dataset from Yahoo! front page. These experiments show a large gain in computational complexity and a consistently low tracking error.

Topics: AAAI

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HOW TO CITE:

Nathaniel Korda|| Prashanth L.A.|| Remi Munos Fast Gradient Descent for Drifting Least Squares Regression, with Application to Bandits Proceedings of the AAAI Conference on Artificial Intelligence, 29 (2015) .

Nathaniel Korda|| Prashanth L.A.|| Remi Munos Fast Gradient Descent for Drifting Least Squares Regression, with Application to Bandits AAAI 2015, .

Nathaniel Korda|| Prashanth L.A.|| Remi Munos (2015). Fast Gradient Descent for Drifting Least Squares Regression, with Application to Bandits. Proceedings of the AAAI Conference on Artificial Intelligence, 29, .

Nathaniel Korda|| Prashanth L.A.|| Remi Munos. Fast Gradient Descent for Drifting Least Squares Regression, with Application to Bandits. Proceedings of the AAAI Conference on Artificial Intelligence, 29 2015 p..

Nathaniel Korda|| Prashanth L.A.|| Remi Munos. 2015. Fast Gradient Descent for Drifting Least Squares Regression, with Application to Bandits. "Proceedings of the AAAI Conference on Artificial Intelligence, 29". .

Nathaniel Korda|| Prashanth L.A.|| Remi Munos. (2015) "Fast Gradient Descent for Drifting Least Squares Regression, with Application to Bandits", Proceedings of the AAAI Conference on Artificial Intelligence, 29, p.

Nathaniel Korda|| Prashanth L.A.|| Remi Munos, "Fast Gradient Descent for Drifting Least Squares Regression, with Application to Bandits", AAAI, p., 2015.

Nathaniel Korda|| Prashanth L.A.|| Remi Munos. "Fast Gradient Descent for Drifting Least Squares Regression, with Application to Bandits". Proceedings of the AAAI Conference on Artificial Intelligence, 29, 2015, p..

Nathaniel Korda|| Prashanth L.A.|| Remi Munos. "Fast Gradient Descent for Drifting Least Squares Regression, with Application to Bandits". Proceedings of the AAAI Conference on Artificial Intelligence, 29, (2015): .

Nathaniel Korda|| Prashanth L.A.|| Remi Munos. Fast Gradient Descent for Drifting Least Squares Regression, with Application to Bandits. AAAI[Internet]. 2015[cited 2023]; .


ISSN: 2374-3468


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