交替镜像下降的对数遗憾界
Logarithmic Regret for Alternating Mirror Descent
Tianlong Nan, Christian Kroer
AI 速读 基于摘要
作者报告交替在线镜像下降(AltOMD)在两人零和双线性博弈中可达到 O(log T) 的外部遗憾和,从而正面回答其是否具有近常数遗憾的开放问题。
cs.LG · cs.GT · math.OC · stat.ML
查看原文摘要
Alternating online mirror descent (AltOMD) is a simple learning rule for zero-sum games, which improves upon simultaneous OMD numerically and theoretically. Previous work obtained $O(T^{1/3})$ and $O(T^{1/5})$ regret bounds for AltOMD, by leveraging modified-energy-function-based analyses. However, settling whether AltOMD achieves near-constant regret has remained an open question. In this paper we resolve the question of whether AltOMD achieves near-constant regret in the affirmative. In particular, we show an $O(log(T))$ regret bound on the sum of the players' external regrets for any two-player zero-sum bilinear game with compact convex strategy sets, under mild regularity assumptions on the regularizers. We verify that our assumptions hold for the negative entropy regularizer, thereby obtaining logarithmic regret for the alternating multiplicative weights updates algorithm. The regret bound also yields an $O(log(T)/T)$ duality gap bound for the averaged strategies.