Open Access
2017 Online learning for changing environments using coin betting
Kwang-Sung Jun, Francesco Orabona, Stephen Wright, Rebecca Willett
Electron. J. Statist. 11(2): 5282-5310 (2017). DOI: 10.1214/17-EJS1379SI


A key challenge in online learning is that classical algorithms can be slow to adapt to changing environments. Recent studies have proposed “meta” algorithms that convert any online learning algorithm to one that is adaptive to changing environments, where the adaptivity is analyzed in a quantity called the strongly-adaptive regret. This paper describes a new meta algorithm that has a strongly-adaptive regret bound that is a factor of $\sqrt{\log (T)}$ better than other algorithms with the same time complexity, where $T$ is the time horizon. We also extend our algorithm to achieve a first-order (i.e., dependent on the observed losses) strongly-adaptive regret bound for the first time, to our knowledge. At its heart is a new parameter-free algorithm for the learning with expert advice (LEA) problem in which experts sometimes do not output advice for consecutive time steps (i.e., sleeping experts). This algorithm is derived by a reduction from optimal algorithms for the so-called coin betting problem. Empirical results show that our algorithm outperforms state-of-the-art methods in both learning with expert advice and metric learning scenarios.


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Kwang-Sung Jun. Francesco Orabona. Stephen Wright. Rebecca Willett. "Online learning for changing environments using coin betting." Electron. J. Statist. 11 (2) 5282 - 5310, 2017.


Received: 1 June 2017; Published: 2017
First available in Project Euclid: 15 December 2017

zbMATH: 06825047
MathSciNet: MR3738212
Digital Object Identifier: 10.1214/17-EJS1379SI

Primary: 68T05

Keywords: changing environments , learning with expert advice , online convex optimization , online learning

Vol.11 • No. 2 • 2017
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