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Near-Optimal Algorithms for Online Matrix Prediction Elad Hazan (Technion) Satyen Kale (Yahoo! Labs) Shai Shalev-Shwartz (Hebrew University)

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Three Prediction Problems: I. Online Collaborative Filtering Users: {1, 2, …, m} Movies: {1, 2, …, n} On round t: User i t arrives and is interested in movie j t Output predicted rating p t in [-1, 1] User responds with actual rating r t in [-1, 1] Loss = (p t – r t ) 2 Comparison class: all m x n matrices with entries in [-1, 1] of trace norm τ For each such matrix W, predicted rating = W(i t, j t ) Regret = loss of alg – loss of best bounded trace-norm matrix Sum of singular values If no entries repeated, [Cesa-Bianchi, Shamir 11]: O(n 3/2 ) regret for τ = O(n)

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Three Prediction Problems: II. Online Max Cut 2 political parties Voters: {1, 2, …, n} On round t: Voters i t, j t arrive Output prediction: votes agree or disagree Loss = 1 if incorrect prediction, 0 o.w. Comparison class: all possible bipartitions Bipartition prediction = agree if i t, j t in same partition, disagree o.w. Regret = loss of alg – loss of best bipartition Weight = #(disagree) - #(agree) Best bipartition = Max Cut! Inefficient alg using the 2 n bipartitions as experts: regret =

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Three Prediction Problems: III. Online Gambling [Abernethy 10, Kleinberg, Niculescu-Mizil, Sharma 10] Teams: {1, 2, …, n} In round t: Teams i t, j t compete Output: prediction which team will win Loss = 1 if incorrect prediction, 0 o.w. Comparison class: all possible permutations π Permutation π prediction = i t if π(i t ) π(j t ); j t o.w. Regret = loss of alg – loss of best permutation Weight = #(i wins) - #(j wins) i j Best permutation = Min Feedback Arc Set! Inefficient alg using the n! permutations as experts: regret = Trivial bound of considered hard to improve (e.g. [Kanade, Steinke 12])

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Results Upper BoundLower Bound Online Collaborative Filtering Online Max Cut Online Gambling Stochastic; solves $50 open problem of [Srebro, Shamir 11] By [Kleinberg, Niculescu-Mizil, Sharma 10]

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One meta-problem to rule them all: Online Matrix Prediction (OMP) In round t: Receive pair i t, j t in [m] x [n] Output prediction p t in [-1, 1] Receive true value y t in [-1, 1] Suffer loss L(p t, y t ) Comparison class: set W of m x n matrices with entries in [-1, 1] Prediction for matrix W: entry W(i t, j t ) Regret = loss of alg – loss of best comparison matrix m x n matrices 12……n 1 2 : m

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Online Collaborative Filtering as OMP Users: {1, 2, …, m} Movies: {1, 2, …, n} On round t: User i t arrives and is interested in movie j t Output predicted rating p t in [-1, 1] User responds with actual rating r t Loss = (p t – r t ) 2 Comparison class: W = all m x n matrices with entries in [-1, 1] of trace norm τ For each such matrix W, predicted rating = W(i t, j t )

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Online Max Cut as OMP On round t: Voters i t, j t arrive Output prediction: votes agree or disagree Loss = 1 if incorrect prediction, 0 o.w. Comparison class: all possible bipartitions Bipartition prediction = agree if i t, j t in same partition, disagree o.w. 2 political parties Voters: {1, 2, …, n} W = all 2 n cut matrices W S corresponding to subsets S of [n] W S (i, j) = 0 if both i, j in S or [n] \ S, = 1 o.w. 00111 00111 11000 11000 11000 S S [n] \ S

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Online Gambling as OMP Teams: {1, 2, …, n} In round t: Teams i t, j t compete Output: prediction which team will win Loss = 1 if incorrect prediction, 0 o.w. π(1)π(2)……π(n ) π(1)11111 π(2)01111 :00111 :00011 π(n ) 00001 12……n 110110 211111 :00110 :00010 n10111 Comparison class: all possible permutations π Permutation π prediction = i t if π(i t ) π(j t ); j t o.w. W = all n! permutation matrices W π corresponding to permutations π W π (i, j) = 1 if π(i) π(j) = 0 o.w.

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Decomposability 0W WTWT 0 P = N W is (β, τ)-decomposable if where P, N are positive semidefinite Diagonal entries P ii, N ii β Sum of traces Tr(P) + Tr(N) τ Class W is (β, τ)-decomposable if every W in W is. Symmetric square matrix of order m + n

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Main Result for (,τ)-decomposable OMP An efficient algorithm for OMP with (β, τ)-decomposable W and Lipschitz losses with regret bound

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The Technology Theorem: Matrix Exponentiated Gradient [Tsuda, Rätsch, Warmuth 06]/ Matrix Multiplicative Weights [Arora, K. 07] algorithm Online Learning problem: in round t, Learner chooses density (i.e. psd, trace 1) matrix X t Nature reveals loss matrix M t with eigenvalues in [-1, 1] Learner suffers loss Tr(M t X t ) Goal: minimize regret = loss of learner – loss of best density matrix

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Overview of Algorithm for OMP W W K All square symmetric X of order 2(m+n) s.t. X is positive semidefinite Diagonals X ii β Trace Tr(X) τ P0 0N W Matrix MW algorithm + Bregman projections into K 0W WTWT 0 = P - N

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Decomposability Theorems Online Collaborative Filtering Trace norm τ matrices are ((m + n), 2τ)-decomposable. Online Max Cut Cut matrices W S are (½, 2n)-decomposable. Online Gambling Permutation matrices W π are (O(log n), O(n log n))-decomposable.

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Decomposability Theorems Online Collaborative Filtering Trace norm τ matrices are ((m + n), 2τ)-decomposable. Online Max Cut Cut matrices W S are (½, 2n)-decomposable. Online Gambling Permutation matrices W π are (O(log n), O(n log n))-decomposable.

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Decomposability for OCF Thm: Any symmetric matrix M of order n with entries in [-1, 1] and trace norm τ is (n, τ)-decomposable Eigenvalue decomposition: Defineand Clearly Tr(P) + Tr(N) = trace-norm(M) = τ. Diagonals of (P + N) 2 = M 2 bounded by n. So diagonals of (P + N) bounded by n. So diagonals of P, N bounded by n.

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Decomposability Theorems Online Collaborative Filtering Trace norm τ matrices are ((m + n), 2τ)-decomposable. Online Max Cut Cut matrices W S are (½, 2n)-decomposable. Online Gambling Permutation matrices W π are (O(log n), O(n log n))-decomposable.

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Decomposability for Online Gambling Thm: The all 1s upper triangular matrix of order n is (O(log n), O(n log n))-decomposable. T(n) = One rank-1 matrix + two non-overlapping T(n/2) B(n) = 1 + B(n/2) B(n) = O(log n).

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Concluding Remarks Gave near-optimal algorithms for various online matrix prediction problems Exploited spectral structure of comparison matrices to get near-tight convex relaxations Solved 2 COLT open problems from [Abernethy 10] and [Shamir, Srebro 11] Open problem: get rid of the logarithmic gap between upper and lower bounds Decompositions in the paper are optimal up to constant factors, so a fundamentally different algorithm seems necessary

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