Adaptivity and Universality: Problem-dependent Universal Regret for Online Convex Optimization

Abstract

Universal online learning aims to achieve optimal regret guarantees without requiring prior knowledge of the curvature of online functions. Existing methods have established minimax-optimal regret bounds for universal online learning, where a single algorithm can simultaneously attain $\mathcal{O}(\sqrt{T})$ regret for convex functions, $\mathcal{O}(d \log T)$ for exp-concave functions, and $\mathcal{O}(\log T)$ for strongly convex functions, where $T$ is the number of rounds and $d$ is the dimension of the feasible domain. However, these methods still lack problem-dependent adaptivity. In particular, no universal method provides regret bounds that scale with the gradient variation $V_T$, a key quantity that plays a crucial role in applications such as stochastic optimization and fast-rate convergence in games. In this work, we introduce UniGrad, a novel approach that achieves both universality and adaptivity, with two distinct realizations: UniGrad.Correct and UniGrad.Bregman. Both methods achieve universal regret guarantees that adapt to gradient variation, simultaneously attaining $\mathcal{O}(\log V_T)$ regret for strongly convex functions and $\mathcal{O}(d \log V_T)$ regret for exp-concave functions. For convex functions, the regret bounds differ: UniGrad.Correct achieves an $\mathcal{O}(\sqrt{V_T \log V_T})$ bound while preserving the RVU property that is crucial for fast convergence in online games, whereas UniGrad.Bregman achieves the optimal $\mathcal{O}(\sqrt{V_T})$ regret bound through a novel design. Both methods employ a meta algorithm with $\mathcal{O}(\log T)$ base learners, which naturally requires $\mathcal{O}(\log T)$ gradient queries per round. To enhance computational efficiency, we introduce UniGrad++, which retains the regret while reducing the gradient query to just $1$ per round via surrogate optimization. We further provide various implications.