Adaptive Bandit Convex Optimization with Heterogeneous Curvature

Abstract: We consider the problem of adversarial bandit convex optimization, that is, online learning over a sequence of arbitrary convex loss functions with only one function evaluation for each of them. While all previous works assume known and homogeneous curvature on these loss functions, we study a heterogeneous setting where each function has its own curvature that is only revealed after the learner makes a decision. We develop an efficient algorithm that is able to adapt to the curvature on the fly. Specifically, our algorithm not only recovers or \emph{even improves} existing results for several homogeneous settings, but also leads to surprising results for some heterogeneous settings -- for example, while Hazan and Levy (2014) showed that $\widetilde{O}(d^{3/2}\sqrt{T})$ regret is achievable for a sequence of $T$ smooth and strongly convex $d$-dimensional functions, our algorithm reveals that the same is achievable even if $T^{3/4}$ of them are not strongly convex, and sometimes even if a constant fraction of them are not strongly convex. Our approach is inspired by the framework of Bartlett et al. (2007) who studied a similar heterogeneous setting but with stronger gradient feedback. Extending their framework to the bandit feedback setting requires novel ideas such as lifting the feasible domain and using a logarithmically homogeneous self-concordant barrier regularizer.