General ML · online learning

Online portfolio selection seeks to determine a sequence of allocations to maximize capital growth. Classical universal strategies asymptotically match the best constant-rebalanced portfolio but ignore potential forecasts, whereas heuristic methods often collapse when belief fails. We formalize this tension in a learning-augmented setting in which an investor observes (possibly erroneous) predictions prior to each decision moment, and we introduce the Rebalanced Arithmetic Mean portfolio with predictions (RAM). Under arbitrary return sequences, we prove that RAM captures at least a constant fraction of the hindsight-optimal wealth when forecasts are perfect while still exceeding the geometric mean of the sequence even when the predictions are adversarial. Comprehensive experiments on large-scale equity data strengthen our theory, spanning both synthetic prediction streams and production-grade machine-learning models. RAM advantages over universal-portfolio variants equipped with side information across various regimes. These results demonstrate that modest predictive power can be reliably converted into tangible gains without sacrificing worst-case guarantees.

We study Online Convex Optimization with adversarial constraints (COCO). At each round a learner selects an action from a convex decision set and then an adversary reveals a convex cost and a convex constraint function. The goal of the learner is to select a sequence of actions to minimize both regret and the cumulative constraint violation (CCV) over a horizon of length $T$. The best-known policy for this problem achieves $O(\sqrt{T})$ regret and $\tilde{O}(\sqrt{T})$ CCV. In this paper, we improve this by trading off regret to achieve substantially smaller CCV. This trade-off is especially important in safety-critical applications, where satisfying the safety constraints is non-negotiable. Specifically, for any bounded convex cost and constraint functions, we propose an online policy that achieves $\tilde{O}(\sqrt{dT}+ T^\beta)$ regret and $\tilde{O}(dT^{1-\beta})$ CCV, where $d$ is the dimension of the decision set and $\beta \in [0,1]$ is a tunable parameter. We begin with a special case, called the $\textsf{Constrained Expert}$ problem, where the decision set is a probability simplex and the cost and constraint functions are linear. Leveraging a new adaptive small-loss regret bound, we propose a computationally efficient policy for the $\textsf{Constrained Expert}$ problem, that attains $O(\sqrt{T\ln N}+T^{\beta})$ regret and $\tilde{O}(T^{1-\beta} \ln N)$ CCV for $N$ number of experts. The original problem is then reduced to the $\textsf{Constrained Expert}$ problem via a covering argument. Finally, with an additional $M$-smoothness assumption, we propose a computationally efficient first-order policy attaining $O(\sqrt{MT}+T^{\beta})$ regret and $\tilde{O}(MT^{1-\beta})$ CCV.

Stochastic gradient descent (SGD) with polynomially decaying step‐sizes has long underpinned theoretical analyses, yielding a broad spectrum of statistically attractive guarantees. Yet in practice, such schedules find rare use due to their prohibitively slow convergence, revealing a persistent gap between theory and empirical performance. In this paper, we introduce a unified framework that quantifies the uncertainty of online SGD under arbitrary learning‐rate choices. In particular, we provide the first comprehensive convergence characterizations for two widely used but theoretically under-examined schemes—cyclical learning rates and linear decay to zero. Our results not only explain the observed behavior of these schedules but also facilitate principled tools for statistical inference and algorithm design. All theoretical findings are corroborated by extensive simulations across diverse settings.

Automated bidding to optimize online advertising with various constraints, e.g. ROI constraints and budget constraints, is widely adopted by advertisers. A key challenge lies in designing algorithms for non-truthful mechanisms with ROI constraints. While prior work has addressed truthful auctions or non-truthful auctions with weaker benchmarks, this paper provides a significant improvement: We develop online bidding algorithms for repeated first-price auctions with ROI constraints, benchmarking against the optimal randomized strategy in hindsight. In the full feedback setting, where the maximum competing bid is observed, our algorithm achieves a near-optimal $\tilde O(\sqrt{T})$ regret bound, and in the bandit feedback setting (where the bidder only observes whether the bidder wins each auction), our algorithm attains $\tilde O(T^{3/4})$ regret bound.

This work establishes a novel link between the problem of PAC-learning high-dimensional graphical models and the task of (efficient) counting and sampling of graph structures, using an online learning framework. The problem of efficiently counting and sampling graphical structures, such as spanning trees and acyclic orientations, has been a vibrant area of research in algorithms. We show that this rich algorithmic foundation can be leveraged to develop new algorithms for learning high-dimensional graphical models. We present the first efficient algorithm for (both realizable and agnostic) learning of Bayes nets with a chordal skeleton. In particular, we present an algorithm that, given integers $k,d > 0$, error parameter $\varepsilon > 0$, an undirected chordal graph $G$ on $n$ vertices, and sample access to a distribution $P^\ast$ on $[k]^n$; (1) returns a Bayes net $\widehat{P}$ with skeleton $G$ and indegree $d$, whose KL-divergence from $P^\ast$ is at most $\varepsilon$ more than the optimal KL-divergence between $P^\ast$ and any Bayes net with skeleton $G$ and indegree $d$, (2) uses $\widetilde{O}(n^3k^{d+1}/\varepsilon^2)$ samples from $P^\ast$ and runs in time $\mathrm{poly}(n,k,\varepsilon^{-1})$ for constant $d$. Prior results in this spirit were for only for trees ($d=1$, tree skeleton) via Chow-Liu, and in the realizable setting for polytrees (arbitrary $d$ but tree skeleton). Thus, our result significantly extends the state-of-the-art in learning Bayes net distributions. We also establish new results for learning tree and polytree distributions.

We study online and transductive online learning in settings where the learner can interact with the concept class only via Empirical Risk Minimization (ERM) or weak consistency oracles on arbitrary subsets of the instance domain. This contrasts with standard online models, where the learner has full knowledge of the concept class. The ERM oracle returns a hypothesis that minimizes the loss on a given subset, while the weak consistency oracle returns only a binary signal indicating whether the subset is realizable by a concept in the class. The learner's performance is measured by the number of mistakes and oracle calls. In the standard online setting with ERM access, we establish tight lower bounds in both the realizable and agnostic cases: $\Omega(2^{d_\mathrm{LD}})$ mistakes and $\Omega(\sqrt{T 2^{d_\mathrm{LD}}})$ regret, respectively, where $T$ is the number of timesteps and $d_\mathrm{LD}$ is the Littlestone dimension of the class. We further show how existing results for online learning with ERM access translate to the setting with a weak consistency oracle, at the cost of increasing the number of oracle calls by $O(T)$. We then consider the transductive online model, where the instance sequence is known in advance but labels are revealed sequentially. For general Littlestone classes, we show that the optimal mistake bound in the realizable case and in the agnostic case can be achieved using $O(T^{d_\mathrm{VC}+1})$ weak consistency oracle calls, where $d_\mathrm{VC}$ is the VC dimension of the class. On the negative side, we show that $\Omega(T)$ weak consistency queries are necessary for transductive online learnability, and that $\Omega(T)$ ERM queries are necessary to avoid exponential dependence on the Littlestone dimension. % Finally, for special families of concept classes, we demonstrate how to reduce the number of oracle calls using randomized algorithms while maintaining similar mistake bounds. In particular, for Thresholds on an unknown ordering, $O(\log T)$ ERM queries suffice, and for $k$-Intervals, $O(T^3 2^{2k})$ weak consistency queries suffice.

Online learning algorithms for designing optimal bilateral trade mechanisms have recently received significant attention. This paper addresses a key inefficiency in prior two-bit feedback models, which synchronously query both the buyer and the seller for their willingness to trade. This approach is inherently inefficient as it offers a trade to the seller even if the buyer rejects the offer. We propose an asynchronous mechanism that queries the seller only if the buyer has already accepted the offer. Consequently, the mechanism receives one bit of feedback from the buyer and a "censored" bit from the seller---a signal richer than the standard one-bit (trade/no-trade) feedback, but less informative than the two-bit model. Assuming independent valuations with bounded densities---the same distributional conditions underlying the two-bit results of Cesa-Bianchi et al. [2024a]---we design an algorithm that achieves $\tilde{O}(T^{2/3})$ regret against the best fixed price in hindsight. This matches the lower bound for the strictly richer two-bit model, showing that our mechanism elicits the minimal feedback necessary to attain optimal rates.

In constrained MDPs (CMDPs) with adversarial rewards and constraints, a known impossibility result prevents any algorithm from attaining sublinear regret and constraint violation, when competing against a best-in-hindsight policy that satisfies the constraints on average. In this paper, we show how to ease such a negative result, by considering settings that generalize both stochastic CMDPs and adversarial ones. We provide algorithms whose performances smoothly degrade as the level of environment adverseness increases. In this paper, we show that this negative result can be eased in CMDPs with non-stationary rewards and constraints, by providing algorithms whose performances smoothly degrade as non-stationarity increases. Specifically, they attain $\widetilde{\mathcal{O}} (\sqrt{T} + C)$ regret and positive constraint violation under bandit feedback, where $C$ measures the adverseness of rewards and constraints. This is $C = \Theta(T)$ in the worst case, coherently with the impossibility result for adversarial CMDPs. First, we design an algorithm with the desired guarantees when $C$ is known. Then, in the case $C$ is unknown, we obtain the same results by embedding multiple instances of such an algorithm in a general meta-procedure, which suitably selects them so as to balance the trade-off between regret and constraint violation.

Quantum state tomography, the task of learning an unknown quantum state, is a fundamental problem in quantum information. In standard settings, the complexity of this problem depends significantly on the type of quantum state that one is trying to learn, with pure states being substantially easier to learn than general mixed states. A natural question is whether this separation holds for any quantum state learning setting. In this work, we consider the online learning framework and prove the surprising result that learning pure states in this setting is as hard as learning mixed states. More specifically, we show that both classes share almost the same sequential fat-shattering dimension, leading to identical regret scaling. We also generalize previous results on full quantum state tomography in the online setting to (i) the $\epsilon$-realizable setting and (ii) learning the density matrix only partially, using smoothed analysis.

The growing prevalence of streaming data and increasing concerns over data privacy pose significant challenges for traditional nonparametric regression methods, which are often ill-suited for real-time, privacy-aware learning. In this paper, we tackle these issues by first proposing a novel one-pass online functional stochastic gradient descent algorithm that leverages the Huber loss (H-FSGD), to improve robustness against outliers and heavy-tailed errors in dynamic environments. To further accommodate privacy constraints, we introduce a locally differentially private extension, Private H-FSGD (PH-FSGD), designed to real-time, privacy-preserving estimation. Theoretically, we conduct a comprehensive non-asymptotic convergence analysis of the proposed estimators, establishing finite-sample guarantees and identifying optimal step size schedules that achieve optimal convergence rates. In particular, we provide practical insights into the impact of key hyperparameters, such as step size and privacy budget, on convergence behavior. Extensive experiments validate our theoretical findings, demonstrating that our methods achieve strong robustness and privacy protection without sacrificing efficiency.

We study online learning of feedforward neural networks with the sign activation function that implement functions from the unit ball in $\mathbb{R}^d$ to a finite label set $\mathcal{Y} = \{1, \ldots, Y \}$. First, we characterize a margin condition that is sufficient and in some cases necessary for online learnability of a neural network: Every neuron in the first hidden layer classifies all instances with some margin $\gamma$ bounded away from zero. Quantitatively, we prove that for any net, the optimal mistake bound is at most approximately $\mathtt{TS}(d,\gamma)$, which is the $(d,\gamma)$-totally-separable-packing number, a more restricted variation of the standard $(d,\gamma)$-packing number. We complement this result by constructing a net on which any learner makes $\mathtt{TS}(d,\gamma)$ many mistakes. We also give a quantitative lower bound of approximately $\mathtt{TS}(d,\gamma) \geq \max\{1/(\gamma \sqrt{d})^d, d\}$ when $\gamma \geq 1/2$, implying that for some nets and input sequences every learner will err for $\exp(d)$ many times, and that a dimension-free mistake bound is almost always impossible. To remedy this inevitable dependence on $d$, it is natural to seek additional natural restrictions to be placed on the network, so that the dependence on $d$ is removed. We study two such restrictions. The first is the multi-index model, in which the function computed by the net depends only on $s \ll d$ orthonormal directions. We prove a mistake bound of approximately $(1.5/\gamma)^{s + 2}$ in this model. The second is the extended margin assumption. In this setting, we assume that all neurons (in all layers) in the network classify every ingoing input from previous layer with margin $\gamma$ bounded away from zero. In this model, we prove a mistake bound of approximately $(\log Y)/ \gamma^{O(L)}$, where L is the depth of the network.

Prediction-Powered Inference (PPI) is a recently proposed statistical inference technique for parameter estimation that leverages pseudo-labels on both labeled and unlabeled data to construct an unbiased, low-variance estimator. In this work, we extend its core idea to semi-supervised learning (SSL) for model training, introducing a novel unbiased gradient estimator. This extension addresses a key challenge in SSL: while unlabeled data can improve model performance, its benefit heavily depends on the quality of pseudo-labels. Inaccurate pseudo-labels can introduce bias, leading to suboptimal models. To balance the contributions of labeled and pseudo-labeled data, we utilize an interpolation parameter and tune it on the fly, alongside the model parameters, using a one-dimensional online learning algorithm. We verify the practical advantage of our approach through experiments on both synthetic and real datasets, demonstrating improved performance over classic SSL baselines and PPI methods that tune the interpolation parameter offline.

We study online adversarial regression with convex losses against a rich class of continuous yet highly irregular competitor functions,% prediction rules, modeled by Besov spaces $B_{pq}^s$ with general parameters $1 \leq p,q \leq \infty$ and smoothness $s > \tfrac{d}{p}$. We introduce an adaptive wavelet-based algorithm that performs sequential prediction without prior knowledge of $(s,p,q)$, and establish minimax-optimal regret bounds against any comparator in $B_{pq}^s$. We further design a locally adaptive extension capable of sequentially adapting to spatially inhomogeneous smoothness. This adaptive mechanism adjusts the resolution of the predictions over both time and space, yielding refined regret bounds in terms of local regularity. Consequently, in heterogeneous environments, our adaptive guarantees can significantly surpass those obtained by standard global methods.

Smoothness is known to be crucial for acceleration in offline optimization, and for gradient-variation regret minimization in online learning. Interestingly, these two problems are actually closely connected --- accelerated optimization can be understood through the lens of gradient-variation online learning. In this paper, we investigate online learning with *Hölder* functions, a general class encompassing both smooth and non-smooth (Lipschitz) functions, and explore its implications for offline optimization. For (strongly) convex online functions, we design the corresponding gradient-variation online learning algorithm whose regret smoothly interpolates between the optimal guarantees in smooth and non-smooth regimes. Notably, our algorithms do not require prior knowledge of the Hölder smoothness parameter, exhibiting strong adaptivity over existing methods. Through online-to-batch conversion, this gradient-variation online adaptivity yields an optimal universal method for stochastic convex optimization under Hölder smoothness. However, achieving universality in offline strongly convex optimization is more challenging. We address this by integrating online adaptivity with a detection-based guess-and-check procedure, which, for the first time, yields a universal offline method that achieves accelerated convergence in the smooth regime while maintaining near-optimal convergence in the non-smooth one.

Reinforcement learning from human feedback (RLHF) has demonstrated remarkable effectiveness in aligning large language models (LLMs) with human preferences. Many existing alignment approaches rely on the Bradley-Terry (BT) model assumption, which assumes the existence of a ground-truth reward for each prompt-response pair. However, this assumption can be overly restrictive when modeling complex human preferences. In this paper, we drop the BT model assumption and study LLM alignment under general preferences, formulated as a two-player game. Drawing on theoretical insights from learning in games, we integrate optimistic online mirror descent into our alignment framework to approximate the Nash policy. Theoretically, we demonstrate that our approach achieves an $\mathcal{O}(T^{-1})$ bound on the duality gap, improving upon the previous $\mathcal{O}(T^{-1/2})$ result. Meanwhile, it enjoys a linear convergence rate in the last iterate, a property not achieved by previous methods. More importantly, we implement our method and show through experiments that it outperforms state-of-the-art RLHF algorithms across multiple representative benchmarks.

We study contextual online pricing with biased offline data. For the scalar price elasticity case, we identify the instance-dependent quantity $\delta^2$ that measures how far the offline data lies from the (unknown) online optimum. We show that the time length $T$, bias bound $V$, size $N$ and dispersion $\lambda_{\min}(\hat{\Sigma})$ of the offline data, and $\delta^2$ jointly determine the statistical complexity. An Optimism‑in‑the‑Face‑of‑Uncertainty (OFU) policy achieves a minimax-optimal, instance-dependent regret bound $\tilde{\mathcal{O}}\big(d\sqrt{T} \wedge (V^2T + \frac{dT }{\lambda_{\min}(\hat{\Sigma}) + (N \wedge T) \delta^2})\big)$. For general price elasticity, we establish a worst‑case, minimax-optimal rate $\tilde{\mathcal{O}}\big(d\sqrt{T} \wedge (V^2T + \frac{dT }{\lambda_{\min}(\hat{\Sigma})})\big)$ and provide a generalized OFU algorithm that attains it. When the bias bound $V$ is unknown, we design a robust variant that always guarantees sub‑linear regret and strictly improves on purely online methods whenever the exact bias is small. These results deliver the first tight regret guarantees for contextual pricing in the presence of biased offline data. Our techniques also transfer verbatim to stochastic linear bandits with biased offline data, yielding analogous bounds.

In various scientific and engineering domains, where data acquisition is costly—such as in medical imaging, environmental monitoring, or remote sensing—strategic sampling from unobserved regions, guided by prior observations, is essential to maximize target discovery within a limited sampling budget. In this work, we introduce Diffusion-guided Active Target Discovery (DiffATD), a novel method that leverages diffusion dynamics for active target discovery. DiffATD maintains a belief distribution over each unobserved state in the environment, using this distribution to dynamically balance exploration-exploitation. Exploration reduces uncertainty by sampling regions with the highest expected entropy, while exploitation targets areas with the highest likelihood of discovering the target, indicated by the belief distribution and an incrementally trained reward model designed to learn the characteristics of the target. DiffATD enables efficient target discovery in a partially observable environment within a fixed sampling budget, all without relying on any prior supervised training. Furthermore, DiffATD offers interpretability, unlike existing black-box policies that require extensive supervised training. Through extensive experiments and ablation studies across diverse domains, including medical imaging, species discovery and remote sensing, we show that DiffATD performs significantly better than baselines and competitively with supervised methods that operate under full environmental observability.

In non-clairvoyant scheduling, the goal is to minimize the total job completion time without prior knowledge of individual job processing times. This classical online optimization problem has recently gained attention through the framework of learning-augmented algorithms. We introduce a natural setting in which the scheduler receives continuous feedback in the form of progress bars—estimates of the fraction of each job completed over time. We design new algorithms for both adversarial and stochastic progress bars and prove strong competitive bounds. Our results in the adversarial case surprisingly induce improved guarantees for learning-augmented scheduling with job size predictions. We also introduce a general method for combining scheduling algorithms, yielding further insights in scheduling with predictions. Finally, we propose a stochastic model of progress bars as a more optimistic alternative to conventional worst-case models, and present an asymptotically optimal scheduling algorithm in this setting.

Test-Time Discovery (TTD) addresses the critical challenge of identifying and adapting to novel classes during inference while maintaining performance on known classes, which is a capability essential for dynamic real-world environments such as healthcare and autonomous driving. Recent TTD methods adopt training-free, memory-based strategies but rely on frozen models and static representations, resulting in poor generalization. In this paper, we propose a Discrepancy-Amplifying Adapter (DAA), a trainable module that enables real-time adaptation by amplifying feature-level discrepancies between known and unknown classes. During training, DAA is optimized using simulated unknowns and a novel warm-up strategy to enhance its discriminative capacity. To ensure continual adaptation at test time, we introduce a Short-Term Memory Renewal (STMR) mechanism, which maintains a queue-based memory for unknown classes and selectively refreshes prototypes using recent, reliable samples. DAA is further updated through self-supervised learning, promoting knowledge retention for known classes while improving discrimination of emerging categories. Extensive experiments show that our method maintains high adaptability and stability, and significantly improves novel class discovery performance. Our code will be available.

We provide an algorithm with regret $O(C d \log \log T)$ for contextual pricing with $C$ corrupted rounds, improving over the previous bound of $O(d^3 C \log^2(T))$ of Krishnamurthy et al. The result is based on a reduction that calls the uncorrupted algorithm as a black-box, unlike the previous approach that modifies the inner workings of the uncorrupted algorithm. As a result, it leads to a conceptually simpler algorithm. Finally, we provide a lower bound ruling out a $O(C + d\log \log T)$ algorithm. This shows that robustifying contextual pricing is harder than robustifying contextual search with $\epsilon$-ball losses, for which it is possible to design algorithms where corruptions add only an extra additive term $C$ to the regret.