Corpus ID: 222310686

Regret minimization in stochastic non-convex learning via a proximal-gradient approach

@inproceedings{Hallak2021RegretMI,
  title={Regret minimization in stochastic non-convex learning via a proximal-gradient approach},
  author={Nadav Hallak and P. Mertikopoulos and V. Cevher},
  booktitle={ICML},
  year={2021}
}
Motivated by applications in machine learning and operations research, we study regret minimization with stochastic first-order oracle feedback in online constrained, and possibly non-smooth, non-convex problems. In this setting, the minimization of external regret is beyond reach for first-order methods, so we focus on a local regret measure defined via a proximal-gradient mapping. To achieve no (local) regret in this setting, we develop a prox-grad method based on stochastic first-order… Expand
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