Fully First-Order Algorithms for Online Bilevel Optimization

Abstract: In this work, we study non-convex-strongly-convex online bilevel optimization (OBO). Existing OBO algorithms are mainly based on hypergradient descent, which requires access to a Hessian-vector product (HVP) oracle and potentially incurs high computational costs. By reformulating the original OBO problem as a single-level online problem with inequality constraints and constructing a sequence of Lagrangian function, we eliminate the need for HVPs arising from implicit differentiation. Specifically, we propose a fully first-order algorithm for OBO, and provide theoretical guarantees showing that it achieves regret of $O(1 + V_T + H_{2,T})$. Furthermore, we develop an improved variant with an adaptive inner-iteration scheme, which removes the dependence on the drift variation of the inner-level optimal solution and achieves regret of $O(\sqrt{T} + V_T)$. This regret have the advatange when $V_{T}\ge O(\sqrt{T})$.