A primal-dual perspective of online learning algorithms
Shai Shalev-Shwartz1
and Yoram Singer1, 2 
| (1) |
School of Computer Science & Engineering, The Hebrew University, Jerusalem, 91904, Israel |
| (2) |
Google Inc., 1600 Amphitheater Parkway, Mountain View, CA 94043, USA |
Received: 21 September 2006 Revised: 6 March 2007 Accepted: 17 May 2007 Published online: 11 July 2007
Abstract
We describe a novel framework for the design and analysis of online learning algorithms based on the notion of duality in
constrained optimization. We cast a sub-family of universal online bounds as an optimization problem. Using the weak duality
theorem we reduce the process of online learning to the task of incrementally increasing the dual objective function. The
amount by which the dual increases serves as a new and natural notion of progress for analyzing online learning algorithms.
We are thus able to tie the primal objective value and the number of prediction mistakes using the increase in the dual.
Keywords Online learning - Mistake bounds - Duality - Regret bounds
Editors: Hans Ulrich Simon, Gabor Lugosi, Avrim Blum.
A preliminary version of this paper appeared at the 19th Annual Conference on Learning Theory under the title “Online learning
meets optimization in the dual”.
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