NeurIPS2023

Data-Dependent Bounds for Online Portfolio Selection Without Lipschitzness and Smoothness

Chung-En Tsai, Ying-Ting Lin, Yen-Huan Li

被引用 12 次

摘要

This work introduces the first small-loss and gradual-variation regret bounds for online portfolio selection, marking the first instances of data-dependent bounds for online convex optimization with non-Lipschitz, non-smooth losses. The algorithms we propose exhibit sublinear regret rates in the worst cases and achieve logarithmic regrets when the data is"easy,"with per-iteration time almost linear in the number of investment alternatives. The regret bounds are derived using novel smoothness characterizations of the logarithmic loss, a local norm-based analysis of following the regularized leader (FTRL) with self-concordant regularizers, which are not necessarily barriers, and an implicit variant of optimistic FTRL with the log-barrier.