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November 22, 2019, 2:10 pm - 3:00 pm EST
Title: Logistic Regression: The Importance of Being Improper
Abstract: Learning linear predictors with the logistic loss—both in stochastic and online settings—is a fundamental task in machine learning and statistics, with direct connections to classification and boosting. Existing “fast rates” for this setting exhibit exponential dependence on the predictor norm, and Hazan et al. (2014) showed that this is unfortunately unimprovable. Starting with the simple observation that the logistic loss is 1-mixable, we design a new efficient improper learning algorithm for online logistic regression that circumvents the aforementioned lower bound with a regret bound exhibiting a doubly-exponential improvement in dependence on the predictor norm. This provides a positive resolution to a variant of the COLT 2012 open problem of McMahan and Streeter when improper learning is allowed. This improvement is obtained both in the online setting and, with some extra work, in the batch statistical setting with high probability. Leveraging this improved dependency on the predictor norm yields algorithms with tighter regret bounds for online bandit multiclass learning with the logistic loss, and for online multiclass boosting. Finally, we give information-theoretic bounds on the optimal rates for improper logistic regression with general function classes, thereby characterizing the extent to which our improvement for linear classes extends to other parametric and even nonparametric settings. This is joint work with Dylan J. Foster, Haipeng Luo, Mehryar Mohri and Karthik Sridharan.
Biography: Satyen Kale is a research scientist at Google Research working in the New York office. His current research is the design of efficient and practical algorithms for fundamental problems in Machine Learning and Optimization. More specifically, he is interested in decision making under uncertainty, statistical learning theory, combinatorial optimization, and convex optimization techniques such as linear and semidefinite programming. His research has been recognized with several awards: a best paper award at ICML 2015, a best paper award at ICLR 2018, and a best student paper award at COLT 2018. He was a program chair of COLT 2017 and ALT 2019.