Improved Strongly Adaptive Online Learning using Coin Betting

14 Oct 2016  ·  Kwang-Sung Jun, Francesco Orabona, Rebecca Willett, Stephen Wright ·

This paper describes a new parameter-free online learning algorithm for changing environments. In comparing against algorithms with the same time complexity as ours, we obtain a strongly adaptive regret bound that is a factor of at least $\sqrt{\log(T)}$ better, where $T$ is the time horizon. Empirical results show that our algorithm outperforms state-of-the-art methods in learning with expert advice and metric learning scenarios.

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