Adaptive Learning Rates with Surrogate Probability for Follow-the-Perturbed-Leader

Curvature adaptivity is a classical theme in online optimization: for convex Lipschitz losses, adaptive methods interpolate between the optimal $O(\sqrt{T})$ regret for general convex losses and $O(\log T)$ regret under strong convexity. Recent work has shown that Follow-the-Perturbed-Leader (FTPL) achieves optimal $O(\sqrt{T})$ regret even for online non-convex Lipschitz losses, assuming access to an approximate offline-optimization oracle, but these guarantees do not exploit curvature. We show that FTPL can be made curvature-adaptive in the non-convex setting, without knowing in advance how curvature will accumulate over time. Our algorithm replaces the fixed perturbation scale of standard FTPL with a time-varying scale chosen using only past information. We give a simple follow-the-leader tuning rule for this scale and show that it competes, up to constants, with the best choice in hindsight. The resulting method achieves $O(\sqrt{T})$ regret for arbitrary non-convex Lipschitz losses and improves as cumulative curvature grows; with sufficiently accurate oracle calls, it achieves $O(\log T)$ regret when cumulative curvature grows linearly, which includes the classical strongly convex regime. We complement these upper bounds with matching lower bounds for prescribed cumulative-curvature sequences, already for one-dimensional convex losses, showing that the tradeoff between worst-case non-convex regret and curvature-driven fast rates is intrinsic.

We consider the adversarial linear bandits setting and present a unified algorithmic framework that bridges Follow-the-Regularized-Leader (FTRL) and Follow-the-Perturbed-Leader (FTPL) methods, extending the known connection between them from the full-information setting. Within this framework, we introduce self-concordant perturbations, a family of probability distributions that mirror the role of self-concordant barriers previously employed in the FTRL-based SCRiBLe algorithm. Using this idea, we design a novel FTPL-based algorithm that combines self-concordant regularization with efficient stochastic exploration. Our approach achieves a regret of $\mathcal{O}(d\sqrt{n \ln n})$ on both the $d$-dimensional hypercube and the $\ell_2$ ball. On the $\ell_2$ ball, this matches the rate attained by SCRiBLe. For the hypercube, this represents a $\sqrt{d}$ improvement over these methods and matches the optimal bound up to logarithmic factors.

Bandit convex optimization (BCO) is a fundamental online learning framework with partial feedback, where the learner observes only the loss incurred at the chosen decision point in each round. In this work, we investigate whether optimistic gradient predictions can improve worst-case regret guarantees in a prediction-adaptive manner. Specifically, given gradient predictions $m_t$, we seek regret bounds that scale with the cumulative prediction error $S_T=\sum_{t=1}^T \|\nabla f_t(x_t)-m_t\|^2.$ We first establish a negative result: under the single-point feedback protocol, an unavoidable $Ω(\sqrt{T})$ regret lower bound persists even when $S_T=o(T)$, showing that the variance of gradient estimation fundamentally obscures the benefit of accurate predictions. To overcome this barrier, we propose \emph{Two-Point Variance-Reduced Optimistic Gradient Descent} (TP-VR-OPT) for the two-point feedback setting. The key idea is a novel variance-reduced gradient estimator whose variance scales with the prediction error rather than the gradient norm. This yields a regret bound of $O\big(\sqrt{d\,\mathbb{E}[S_T]}\big),$ where $d$ is the decision dimension. Complementing this result, we establish an information-theoretic lower bound that scales as $Ω(\sqrt{\mathbb{E}[S_T]})$, providing a fundamental characterization of the best achievable prediction-adaptive regret and showing that TP-VR-OPT is optimal up to a factor of $\sqrt d$. We further develop adaptive variants that eliminate the need for prior knowledge of $\mathbb{E}[S_T]$ or the horizon $T$, and extend our framework to non-stationary environments, establishing dynamic regret guarantees that adapt simultaneously to the cumulative prediction error and the comparator path length.