An Optimal Reduction of TV-Denoising to Adaptive Online Learning

Dheeraj Baby · Xuandong Zhao · Yu-Xiang Wang

Keywords: [ Online Learning ] [ Learning Theory and Statistics ]

Abstract: We consider the problem of estimating a function from $n$ noisy samples whose discrete Total Variation (TV) is bounded by $C_n$. We reveal a deep connection to the seemingly disparate problem of \emph{Strongly Adaptive} online learning [Daniely et al 2015] and provide an $O(n \log n)$ time algorithm that attains the near minimax optimal rate of $\tilde O (n^{1/3}C_n^{2/3})$ under squared error loss. The resulting algorithm runs online and optimally \emph{adapts} to the \emph{unknown} smoothness parameter $C_n$. This leads to a new and more versatile alternative to wavelets-based methods for (1) adaptively estimating TV bounded functions; (2) online forecasting of TV bounded trends in time series.

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