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Workshop: OPT 2023: Optimization for Machine Learning

Dueling Optimization with a Monotone Adversary

Avrim Blum · Meghal Gupta · Gene Li · Naren Manoj · Aadirupa Saha · Yuanyuan Yang


Abstract: We introduce and study the problem of \textit{dueling optimization with a monotone adversary}, which is a generalization of (noiseless) dueling convex optimization. The goal is to design an online algorithm to find a minimizer $\mathbf{x}^{\star}$ for a function $f\colon \mathcal{X} \to \mathbb{R}$, where $\mathcal{X} \subseteq \mathbb{R}^d$. In each round, the algorithm submits a pair of guesses, i.e., $\mathbf{x}^{(1)}$ and $\mathbf{x}^{(2)}$, and the adversary responds with \textit{any} point in the space that is at least as good as both guesses. The cost of each query is the suboptimality of the worse of the two guesses; i.e., ${\max} \left( f(\mathbf{x}^{(1)}), f(\mathbf{x}^{(2)}) \right) - f(\mathbf{x}^{\star})$. The goal is to minimize the number of iterations required to find an $\varepsilon$-optimal point and to minimize the total cost (regret) of the guesses over many rounds. Our main result is an efficient randomized algorithm for several natural choices of the function $f$ and set $\mathcal{X}$ that incurs cost $O(d)$ and iteration complexity $O(d\log(1/\varepsilon)^2)$. Moreover, our dependence on $d$ is asymptotically optimal, as we show examples in which any randomized algorithm for this problem must incur $\Omega(d)$ cost and iteration complexity.

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