Unconstrained Online Learning with Unbounded Losses

Algorithms for online learning typically require one or more boundedness assumptions: that the domain is bounded, that the losses are Lipschitz, or both. In this paper, we develop a new setting for online learning with unbounded domains and non-Lipschitz losses.

For this setting we provide an algorithm which guarantees $R_{T}(u)\le \tilde O(G|u|\sqrt{T}+L|u|^{2}\sqrt{T})$ regret on any problem where the subgradients satisfy $|g_{t}|\le G+L|w_{t}|$, and show that this bound is unimprovable without further assumptions. We leverage this algorithm to develop new saddle-point optimization algorithms that converge in duality gap in unbounded domains, even in the absence of meaningful curvature.

Finally, we provide the first algorithm achieving non-trivial dynamic regret in an unbounded domain for non-Lipschitz losses, as well as a matching lower bound. The regret of our dynamic regret algorithm automatically improves to a novel $L^{*}$ bound when the losses are smooth.