Stochastic Gradient Descent on a Tree: an Adaptive and Robust Approach to Stochastic Convex Optimization
Online minimization of an unknown convex function over the interval [0, 1] is considered under first-order stochastic bandit feedback, which returns a random realization of the gradient of the function at each query point. Without knowing the distribution of the random gradients, a learning algorithm sequentially chooses query points with the objective of minimizing regret defined as the expected cumulative loss of the function values at the query points in excess to the minimum value of the function. An approach based on devising a biased random walk on an infinite-depth binary tree constructed through successive partitioning of the domain of the function is developed. Each move of the random walk is guided by a sequential test based on confidence bounds on the empirical mean constructed using the law of the iterated logarithm. With no tuning parameters, this learning algorithm is robust to heavy-tailed noise with infinite variance and adaptive to unknown function characteristics (specifically, convex, strongly convex, and nonsmooth). It achieves the corresponding optimal regret orders (up to a $\sqrt{\log T}$ or a $\log \log T$ factor) in each class of functions and offers better or matching regret orders than the classical stochastic gradient descent approach which requires the knowledge of the function characteristics for tuning the sequence of step-sizes.