Online Learning with Optimism and Delay
Genevieve E Flaspohler, Francesco Orabona, Judah Cohen, Soukayna Mouatadid, Miruna Oprescu, Paulo Orenstein, Lester Mackey
Abstract
Inspired by the demands of real-time climate and weather forecasting, we develop optimistic online learning algorithms that require no parameter tuning and have optimal regret guarantees under delayed feedback. Our algorithms—DORM, DORM+, and AdaHedgeD—arise from a novel reduction of delayed online learning to optimistic online learning that reveals how optimistic hints can mitigate the regret penalty caused by delay. We pair this delay-as-optimism perspective with a new analysis of optimistic learning that exposes its robustness to hinting errors and a new meta-algorithm for learning effective hinting strategies in the presence of delay. We conclude by benchmarking our algorithms on four subseasonal climate forecasting tasks, demonstrating low regret relative to state-of-the-art forecasting models.
BibTeX
@InProceedings{pmlr-v139-flaspohler21a,
title = {Online Learning with Optimism and Delay},
author = {Flaspohler, Genevieve E and Orabona, Francesco and Cohen, Judah and Mouatadid, Soukayna and Oprescu, Miruna and Orenstein, Paulo and Mackey, Lester},
booktitle = {Proceedings of the 38th International Conference on Machine Learning},
pages = {3363--3373},
year = {2021},
editor = {Meila, Marina and Zhang, Tong},
volume = {139},
series = {Proceedings of Machine Learning Research},
month = {18--24 Jul},
publisher = {PMLR},
pdf = {http://proceedings.mlr.press/v139/flaspohler21a/flaspohler21a.pdf},
url = {https://proceedings.mlr.press/v139/flaspohler21a.html},
abstract = {Inspired by the demands of real-time climate and weather forecasting, we develop optimistic online learning algorithms that require no parameter tuning and have optimal regret guarantees under delayed feedback. Our algorithms—DORM, DORM+, and AdaHedgeD—arise from a novel reduction of delayed online learning to optimistic online learning that reveals how optimistic hints can mitigate the regret penalty caused by delay. We pair this delay-as-optimism perspective with a new analysis of optimistic learning that exposes its robustness to hinting errors and a new meta-algorithm for learning effective hinting strategies in the presence of delay. We conclude by benchmarking our algorithms on four subseasonal climate forecasting tasks, demonstrating low regret relative to state-of-the-art forecasting models.}
}