Online Learning: Sufficient Statistics and the Burkholder Method

We uncover a fairly general principle in online learning: If regret can be (approximately) expressed as a function of certain "sufficient statistics" for the data sequence, then there exists a special Burkholder function that 1) can be used algorithmically to achieve the regret bound and 2) only depends on these sufficient statistics, not the entire data sequence, so that the online strategy is only required to keep the sufficient statistics in memory. This characterization is achieved by bringing the full power of the Burkholder Method originally developed for certifying probabilistic martingale inequalities to bear on the online learning setting. To demonstrate the scope and effectiveness of the Burkholder method, we develop a novel online strategy for matrix prediction that attains a regret bound corresponding to the variance term in matrix concentration inequalities. We also present a linear-time/space prediction strategy for parameter free supervised learning with linear classes and general smooth norms.