Adaptive Online Learning with Varying Norms

Abstract: Given any increasing sequence of norms $\|\cdot\|_0,\dots,\|\cdot\|_{T-1}$, we provide an online convex optimization algorithm that outputs points $w_t$ in some domain $W$ in response to convex losses $\ell_t:W\to \mathbb{R}$ that guarantees regret $$R_T(u)=\sum_{t=1}^T \ell_t(w_t)-\ell_t(u)\le \tilde O\left(\|u\|_{T-1}\sqrt{\sum_{t=1}^T \|g_t\|_{t-1,\star}^2}\right)$$ where $g_t$ is a subgradient of $\ell_t$ at $w_t$. Our method does not require tuning to the value of $u$ and allows for arbitrary convex $W$. We apply this result to obtain new "full-matrix"-style regret bounds. Along the way, we provide a new examination of the full-matrix AdaGrad algorithm, suggesting a better learning rate value that improves significantly upon prior analysis. We use our new techniques to tune AdaGrad on-the-fly, realizing our improved bound in a concrete algorithm.