Session

Bandits, Reinforcement Learning / Learning Theory / Sparse Methods

Moderator: Prateek Jain



Abstract:

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Wed 14 April 9:15 - 9:30 PDT

(Oral)
Logistic Q-Learning

Joan Bas Serrano · Sebastian Curi · Andreas Krause · Gergely Neu

We propose a new reinforcement learning algorithm derived from a regularized linear-programming formulation of optimal control in MDPs. The method is closely related to the classic Relative Entropy Policy Search (REPS) algorithm of Peters et al. (2010), with the key difference that our method introduces a Q-function that enables efficient exact model-free implementation. The main feature of our algorithm (called QREPS) is a convex loss function for policy evaluation that serves as a theoretically sound alternative to the widely used squared Bellman error. We provide a practical saddle-point optimization method for minimizing this loss function and provide an error-propagation analysis that relates the quality of the individual updates to the performance of the output policy. Finally, we demonstrate the effectiveness of our method on a range of benchmark problems.

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Wed 14 April 9:30 - 9:45 PDT

(Oral)
Instance-Wise Minimax-Optimal Algorithms for Logistic Bandits

Marc Abeille · Louis Faury · Clement Calauzenes

Logistic Bandits have recently attracted substantial attention, by providing an uncluttered yet challenging framework for understanding the impact of non-linearity in parametrized bandits. It was shown by Faury et al. (2020) that the learning-theoretic difficulties of Logistic Bandits can be embodied by a large (sometimes prohibitively) problem-dependent constant $\kappa$, characterizing the magnitude of the reward's non-linearity. In this paper we introduce an algorithm for which we provide a refined analysis. This allows for a better characterization of the effect of non-linearity and yields improved problem-dependent guarantees. In most favorable cases this leads to a regret upper-bound scaling as $\tilde{\mathcal{O}}(d\sqrt{T/\kappa})$, which dramatically improves over the $\tilde{\mathcal{O}}(d\sqrt{T}+\kappa)$ state-of-the-art guarantees. We prove that this rate is \emph{minimax-optimal} by deriving a $\Omega(d\sqrt{T/\kappa})$ problem-dependent lower-bound. Our analysis identifies two regimes (permanent and transitory) of the regret, which ultimately re-conciliates (Faury et al., 2020) with the Bayesian approach of Dong et al. (2019). In contrast to previous works, we find that in the permanent regime non-linearity can dramatically ease the exploration-exploitation trade-off. While it also impacts the length of the transitory phase in a problem-dependent fashion, we show that this impact is mild in most reasonable configurations.

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Wed 14 April 9:45 - 10:00 PDT

(Oral)
Robust and Private Learning of Halfspaces

Badih Ghazi · Ravi Kumar · Pasin Manurangsi · Thao Nguyen

In this work, we study the trade-off between differential privacy and adversarial robustness under $L_2$-perturbations in the context of learning halfspaces. We prove nearly tight bounds on the sample complexity of robust private learning of halfspaces for a large regime of parameters. A highlight of our results is that robust and private learning is harder than robust or private learning alone. We complement our theoretical analysis with experimental results on the MNIST and USPS datasets, for a learning algorithm that is both differentially private and adversarially robust.

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Wed 14 April 10:00 - 10:15 PDT

(Oral)
Hadamard Wirtinger Flow for Sparse Phase Retrieval

Fan Wu · Patrick Rebeschini

We consider the problem of reconstructing an $n$-dimensional $k$-sparse signal from a set of noiseless magnitude-only measurements. Formulating the problem as an unregularized empirical risk minimization task, we study the sample complexity performance of gradient descent with Hadamard parametrization, which we call Hadamard Wirtinger flow (HWF). Provided knowledge of the signal sparsity $k$, we prove that a single step of HWF is able to recover the support from $k(x^*_{max})^{-2}$ (modulo logarithmic term) samples, where $x^*_{max}$ is the largest component of the signal in magnitude. This support recovery procedure can be used to initialize existing reconstruction methods and yields algorithms with total runtime proportional to the cost of reading the data and improved sample complexity, which is linear in $k$ when the signal contains at least one large component. We numerically investigate the performance of HWF at convergence and show that, while not requiring any explicit form of regularization nor knowledge of $k$, HWF adapts to the signal sparsity and reconstructs sparse signals with fewer measurements than existing gradient based methods.

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