Regret Analysis: a control perspective

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Abstract:Online learning and model reference adaptive control have many interesting intersections. One area where they differ however is in how the algorithms are analyzed and what objective or metric is used to discriminate “good” algorithms from “bad” algorithms. In adaptive control there are usually two objectives: 1) prove that all time varying parameters/states of the system are bounded, and 2) that the instantaneous error between the adaptively controlled system and a reference system converges to zero over time (or at least a compact set). For online learning the performance of algorithms is often characterized by the regret the algorithm incurs. Regret is defined as the cumulative loss (cost) over time from the online algorithm minus the cumulative loss (cost) of the single optimal fixed parameter choice in hindsight. Another significant difference between the two areas of research is with regard to the assumptions made in order to obtain said results. Adaptive control makes assumptions about the input-output properties of the control problem and derives solutions for a fixed error model or optimization task. In the online learning literature results are derived for classes of loss functions (i.e. convex) while a priori assuming that all time varying parameters are bounded, which for many optimization tasks is not unrealistic, but is a non starter in control applications. In this work we discuss these differences in detail through the regret based analysis of gradient descent for convex functions and the control based analysis of a streaming regression problem. We close with a discussion about the newly defined paradigm of online adaptive control and ask the following question “Are regret optimal control strategies deployable?”