Static regret to a single expert is often the wrong target for strictly online prediction under non-stationarity, where the best expert may switch repeatedly over time. We study Policy-Controlled Generalized Share (PCGS), a general strictly online framework in which the generalized-share recursion is fixed while the post-loss update controls are allowed to vary adaptively. Its principal instantiation in this paper is PCGS-TF, which uses a causal Transformer as an update controller: after round t finishes and the loss vector is observed, the Transformer outputs the controls that map w_t to w_{t+1} without altering the already committed decision w_t. Under admissible post-loss update controls, we obtain a pathwise weighted regret guarantee for general time-varying learning rates, and a standard dynamic-regret guarantee against any expert path with at most S switches under the constant-learning-rate specialization. Empirically, on a controlled synthetic suite with exact dynamic-programming switching-oracle evaluation, PCGS-TF attains the lowest mean dynamic regret in all seven non-stationary families, with its advantage increasing for larger expert pools. On a reproduced household-electricity benchmark, PCGS-TF also achieves the lowest normalized dynamic regret for S = 5, 10, and 20.
Figures & tables
Figure 1: Switching complexity becomes learnable. Under PCGS, switching to expert πt+1 incurs −log(ρtqt(πt+1)) , replacing the classical uniform-restart cost logK by a data-dependent code length −logqt(πt+1) .
Family
Hedge
FixedShare
GenShare(heur)
Ours
Switch
25.70 ± 2.46
19.58 ± 0.56
19.38 ± 0.59
18.93 ± 0.64
Drift
23.71 ± 2.39
19.59 ± 0.66
19.09 ± 0.63
18.64 ± 0.70
Hetero
28.95 ± 2.12
21.36 ± 0.43
21.16 ± 0.45
20.73 ± 0.47
HeavyTail
27.04 ± 3.03
21.82 ± 0.56
21.69 ± 0.59
21.17 ± 0.68
Mix
23.09 ± 2.57
19.55 ± 0.44
19.52 ± 0.47
19.39 ± 0.53
Predictive
21.04 ± 1.85
16.86 ± 0.51
16.63 ± 0.51
16.14 ± 0.59
Table 1: Main simulation results (Dynamic Regret; mean ± std over 20 sequences). Lower is better.
Figure 2: Main suite summary (mean ± std dynamic regret). PCGS improves over FixedShare and GenShare(heur) across all families.
Family
WinRate vs GenShare
WinRate vs FixedShare
AvgImprov vs GenShare
AvgImprov vs FixedShare
Adversarial
100%
100%
0.56
0.75
Drift
100%
100%
0.45
0.95
HeavyTail
100%
100%
0.52
0.65
Hetero
100%
100%
0.43
0.63
Mix
75%
80%
0.13
0.16
Predictive
100%
100%
0.49
0.72
Table 2: Win rates and average improvements of Ours over baselines (paired over 20 sequences per family).
Figure 3: Mechanism evidence connecting theory to behavior. In regimes with abrupt changes, ρt increases, enabling rapid reallocation; in predictive regimes, qt concentrates mass, reducing the effective switching complexity.
Figure 4: Heavy-tail robustness grid: mean improvement (GenShare DynRegret − Ours DynRegret). Positive values indicate PCGS is better.
df \ jump_prob
0.00
0.03
0.06
2.0
0.40
0.49
0.53
3.0
0.45
0.53
0.56
5.0
0.43
0.52
0.57
Table 3: Heavy-tail robustness grid: mean improvement (GenShare DynRegret − Ours DynRegret). Positive means Ours is better.
Figure 5: Scaling with K∈{64,256,1024} . The advantage of policy-controlled restarts increases with larger expert libraries.
K
FixedShare
GenShare(heur)
Ours
64
60.95 ± 1.54
60.41 ± 1.56
59.54 ± 1.87
256
65.23 ± 1.76
64.73 ± 1.77
62.57 ± 2.05
1024
67.49 ± 2.84
66.98 ± 2.83
63.30 ± 3.47
Table 4: Scaling with large expert pools. To avoid the cost of exact DP switching-oracle computation at K=1024 , this stress test uses the ground-truth piecewise-optimal generating path as comparator rather than LTsw(S) . The values therefore illustrate the large- K trend but are not directly numerically comparable to Table 1 .
S
Hedge
FixedShare
GenShare(heur)
Ours
Rel. Gain vs GenShare
5
0.01756
0.01684
0.00813
0.00630
22.5%
10
0.01928
0.01856
0.00985
0.00802
18.6%
20
0.02144
0.02072
0.01202
0.01018
15.3%
Avg.
0.01943
0.01871
0.01000
0.00817
18.8%
Table 5: Real-data benchmark on household electricity consumption. Values are normalized dynamic regret (dynreg /T ) against the exact DP switching oracle; lower is better. Ours achieves the best value for every switch budget S∈{5,10,20} .
Figure 6: Reproduced real-data electricity benchmark. Across all switch budgets, Ours achieves the lowest dynreg /T , and the performance ordering is stable as the oracle switch budget increases.
In non-stationary online learning, dynamic regret has attracted increasing attention as a measure of how well an online learner performs against a time-varying comparator sequence. Despite considerable advances, attaining optimal bounds for strongly convex and exp-concave losses often involves intricate analysis. In this paper, we present a simple framework that reduces dynamic regret minimization to switching regret minimization. As a result, we can derive dynamic regret bounds by using off-the-shelf algorithms with switching regret guarantees. The key idea of our reduction is to construct, for any comparator sequence, an auxiliary random sequence that is unbiased at each round, with the controlled variance and a manageable number of switches. Combining this construction with suitable surrogate losses, we can decompose dynamic regret into the expected switching regret against the random sequence and its controlled variance. Theoretically, for strongly convex and exp-concave losses, we establish the O(T1/3PT2/3) dynamic regret bounds, where T denotes the time horizon and PT denotes the path-length of the comparator sequence. Moreover, for general convex losses, the same reduction also recovers the O(T(1+PT)) dynamic regret bound. Notably, all our findings match the minimax optimal results for these three types of losses, highlighting the versatility of our proposed framework.
Yibo Wang, Wenhao Yang, Sifan Yang +3
State Key Laboratory for Novel Software Technology, Nanjing University · School of Artificial Intelligence, Nanjing University · School of Software Technology, Zhejiang University
We study online convex optimization with one unbiased stochastic subgradient per round and noise having a finite p-th central moment, where p∈(1,2] is unknown. For a bounded convex domain of diameter D, subgradients bounded by G, noise scale σ, and comparator path length PT, let ΛT=1+PT/D. A single algorithm, using none of G,σ,p,PT, attains expected dynamic regret Op(min{GDTΛT+σDT1/pΛT(p−1)/p,GDT}) against every fixed comparator sequence. Restarted AdaGrad experts produce the noise-path exponent (p−1)/p, and a prior favoring longer restart intervals removes horizon-dependent logarithmic overhead. We give an explicit bound uniform in p; its logarithm-free form has noise coefficient O(1+log(p/(p−1))), while the static-regret constant is universal. The analysis requires only marginal noise moments and permits dependent errors. Complete pathwise proofs retain both the expert-loss range and the gradient energies preceding comparator movement. Matching lower bounds hold on every bounded convex domain of positive diameter, under the same gradient-only information model. Together with a path-budget-tuned upper bound, they characterize the minimax rate with universal constants, including its linear-regret saturation.
We study dynamic regret in online convex optimization with an indicator switching cost: a fixed penalty incurred whenever two consecutive decisions differ. This captures startup overheads such as server activation, model deployment, and cache updates, and on a bounded domain it recovers norm-based movement costs as a special case. Existing guarantees for indicator costs handle only static comparators. We show that a direct extension of these techniques to dynamic regret provably fails, motivating a different approach. We propose a meta-learning framework: a set of randomized lazy FTRL base learners restarted at dyadic time scales, aggregated by a movement-aware master that mixes their proposal densities and samples actions via maximal coupling of consecutive mixtures. The resulting algorithm satisfies, in expectation, RT1≤O~(min{T(ST+1),T2/3(PT+1)1/3}), where RT1 is the dynamic regret plus the cumulative indicator switching cost, ST counts comparator switches, and PT is the comparator path length. The bound holds simultaneously for all sequences and requires no prior knowledge of ST or PT: it is minimax-optimal (up to logarithmic factors) for tracking piecewise-constant comparators, and also captures frequently moving comparators with small total path length.
Naram Mhaisen, George Iosifidis
Faculty of Electrical Engineering, Mathematics and Computer Science TU Delft, Netherlands