Distributed Non-Stochastic Experts (1211.3212v1)

Abstract: We consider the online distributed non-stochastic experts problem, where the distributed system consists of one coordinator node that is connected to $k$ sites, and the sites are required to communicate with each other via the coordinator. At each time-step $t$, one of the $k$ site nodes has to pick an expert from the set ${1, ..., n}$, and the same site receives information about payoffs of all experts for that round. The goal of the distributed system is to minimize regret at time horizon $T$, while simultaneously keeping communication to a minimum. The two extreme solutions to this problem are: (i) Full communication: This essentially simulates the non-distributed setting to obtain the optimal $O(\sqrt{\log(n)T})$ regret bound at the cost of $T$ communication. (ii) No communication: Each site runs an independent copy : the regret is $O(\sqrt{log(n)kT})$ and the communication is 0. This paper shows the difficulty of simultaneously achieving regret asymptotically better than $\sqrt{kT}$ and communication better than $T$. We give a novel algorithm that for an oblivious adversary achieves a non-trivial trade-off: regret $O(\sqrt{k^{5(1+\epsilon)/6} T})$ and communication $O(T/k^{\epsilon})$, for any value of $\epsilon \in (0, 1/5)$. We also consider a variant of the model, where the coordinator picks the expert. In this model, we show that the label-efficient forecaster of Cesa-Bianchi et al. (2005) already gives us strategy that is near optimal in regret vs communication trade-off.