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A Simple, Optimal and Efficient Algorithm for Online Exp-Concave Optimization

Wang, Yi-Han, Zhao, Peng, Zhou, Zhi-Hua

arXiv.org Machine Learning

Online eXp-concave Optimization (OXO) is a fundamental problem in online learning. The standard algorithm, Online Newton Step (ONS), balances statistical optimality and computational practicality, guaranteeing an optimal regret of $O(d \log T)$, where $d$ is the dimension and $T$ is the time horizon. ONS faces a computational bottleneck due to the Mahalanobis projections at each round. This step costs $Ω(d^ω)$ arithmetic operations for bounded domains, even for the unit ball, where $ω\in (2,3]$ is the matrix-multiplication exponent. As a result, the total runtime can reach $\tilde{O}(d^ωT)$, particularly when iterates frequently oscillate near the domain boundary. For Stochastic eXp-concave Optimization (SXO), computational cost is also a challenge. Deploying ONS with online-to-batch conversion for SXO requires $T = \tilde{O}(d/ε)$ rounds to achieve an excess risk of $ε$, and thereby necessitates an $\tilde{O}(d^{ω+1}/ε)$ runtime. A COLT'13 open problem posed by Koren [2013] asks for an SXO algorithm with runtime less than $\tilde{O}(d^{ω+1}/ε)$. This paper proposes a simple variant of ONS, LightONS, which reduces the total runtime to $O(d^2 T + d^ω\sqrt{T \log T})$ while preserving the optimal $O(d \log T)$ regret. LightONS implies an SXO method with runtime $\tilde{O}(d^3/ε)$, thereby answering the open problem. Importantly, LightONS preserves the elegant structure of ONS by leveraging domain-conversion techniques from parameter-free online learning to introduce a hysteresis mechanism that delays expensive Mahalanobis projections until necessary. This design enables LightONS to serve as an efficient plug-in replacement of ONS in broader scenarios, even beyond regret minimization, including gradient-norm adaptive regret, parametric stochastic bandits, and memory-efficient online learning.


How OXO Conquered the American Kitchen

Slate

The kitchenware company's head engineer, Mack Mor, had dug through the archives to find some product prototypes to help me understand how OXO designs and develops gadgets. Now, sitting on a table in the employee break room, amid jury-rigged cherry pitters and spiralizers constructed from sawed-apart water bottles, was a large, baby blue Tiffany box, of the sort in which you might expect to see encased a sparkling wedding present. Mor opened the box--and revealed the company's very first salad spinner. OXO revolutionized the salad spinner, to be sure. But to see this humble prototype--Frankenstein'd out of a child's toy top and some hand-carved plastic, dull with age--swaddled inside a gorgeous Tiffany box made me laugh. OXO, with its embrace of dutiful, functional design and every-cook utility, certainly wasn't Tiffany. Maybe not, but don't tell that to the people who love OXO.