Projection-Free Online Convex Optimization via Efficient Newton Iterations

This paper presents new projection-free algorithms for Online Convex Optimization (OCO) over a convex domain $\mathcal{K} \subset \mathbb{R}^d$. Classical OCO algorithms (such as Online Gradient Descent) typically need to perform Euclidean projections onto the convex set $\mathcal{K}$ to ensure feasibility of their iterates. Alternative algorithms, such as those based on the Frank-Wolfe method, swap potentially-expensive Euclidean projections onto $\mathcal{K}$ for linear optimization over $\mathcal{K}$. However, such algorithms have a sub-optimal regret in OCO compared to projection-based algorithms. In this paper, we look at a third type of algorithms that output approximate Newton iterates using a self-concordant barrier for the set of interest. The use of a self-concordant barrier automatically ensures feasibility without the need of projections. However, the computation of the Newton iterates requires a matrix inverse, which can still be expensive. As our main contribution, we show how the stability of the Newton iterates can be leveraged to only compute the inverse Hessian a vanishing fractions of the rounds, leading to a new efficient projection-free OCO algorithm with a state-of-the-art regret bound.