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Alexander Rakhlin

Publications and source records attributed to Alexander Rakhlin.

111 records · Page 7Linked to original sources

Online Learning: Stochastic and Constrained Adversaries

Learning theory has largely focused on two main learning scenarios. The first is the classical statistical setting where instances are drawn i.i.d. from a fixed distribution and the second scenario is the online learning, completely adversarial scenario where adversary at every time step picks the worst instance to provide the learner with. It can be argued that in the real world neither of these assumptions are reasonable. It is therefore important to study problems with a range of assumptions on data. Unfortunately, theoretical results in this area are scarce, possibly due to absence of general tools for analysis. Focusing on the regret formulation, we define the minimax value of a game where the adversary is restricted in his moves. The framework captures stochastic and non-stochastic assumptions on data. Building on the sequential symmetrization approach, we define a notion of distribution-dependent Rademacher complexity for the spectrum of problems ranging from i.i.d. to worst-case. The bounds let us immediately deduce variation-type bounds. We then consider the i.i.d. adversary and show equivalence of online and batch learnability. In the supervised setting, we consider various hybrid assumptions on the way that x and y variables are chosen. Finally, we consider smoothed learning problems and show that half-spaces are online learnable in the smoothed model. In fact, exponentially small noise added to adversary's decisions turns this problem with infinite Littlestone's dimension into a learnable problem.

stat.ML↗

Online Learning: Beyond Regret

We study online learnability of a wide class of problems, extending the results of (Rakhlin, Sridharan, Tewari, 2010) to general notions of performance measure well beyond external regret. Our framework simultaneously captures such well-known notions as internal and general Phi-regret, learning with non-additive global cost functions, Blackwell's approachability, calibration of forecasters, adaptive regret, and more. We show that learnability in all these situations is due to control of the same three quantities: a martingale convergence term, a term describing the ability to perform well if future is known, and a generalization of sequential Rademacher complexity, studied in (Rakhlin, Sridharan, Tewari, 2010). Since we directly study complexity of the problem instead of focusing on efficient algorithms, we are able to improve and extend many known results which have been previously derived via an algorithmic construction.

stat.ML↗

A Stochastic View of Optimal Regret through Minimax Duality

We study the regret of optimal strategies for online convex optimization games. Using von Neumann's minimax theorem, we show that the optimal regret in this adversarial setting is closely related to the behavior of the empirical minimization algorithm in a stochastic process setting: it is equal to the maximum, over joint distributions of the adversary's action sequence, of the difference between a sum of minimal expected losses and the minimal empirical loss. We show that the optimal regret has a natural geometric interpretation, since it can be viewed as the gap in Jensen's inequality for a concave functional--the minimizer over the player's actions of expected loss--defined on a set of probability distributions. We use this expression to obtain upper and lower bounds on the regret of an optimal strategy for a variety of online learning problems. Our method provides upper bounds without the need to construct a learning algorithm; the lower bounds provide explicit optimal strategies for the adversary.

cs.LG↗