Pushing the Efficiency-Regret Pareto Frontier for Online Learning of Portfolios and Quantum States
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Abstract (arXiv)
We revisit the classical online portfolio selection problem. It is widely assumed that a trade-off between computational complexity and regret is unavoidable, with Cover's Universal Portfolios algorithm, SOFT-BAYES and ADA-BARRONS currently constituting its state-of-the-art Pareto frontier. In this paper, we present the first efficient algorithm, BISONS, that obtains polylogarithmic regret with memory and per-step running time requirements that are polynomial in the dimension, displacing ADA-BARRONS from the Pareto frontier. Additionally, we resolve a COLT 2020 open problem by showing that a certain Follow-The-Regularized-Leader algorithm with log-barrier regularization suffers an exponentially larger dependence on the dimension than previously conjectured. Thus, we rule out this algorithm as a candidate for the Pareto frontier. We also extend our algorithm and analysis to a more general problem than online portfolio selection, viz. online learning of quantum states with log loss. This algorithm, called SCHRODINGER'S BISONS, is the first efficient algorithm with polylogarithmic regret for this more general problem.
Key facts. Cited by 15 papers in the map (data through 7 Oct 2026). Builds on 4 of its 20 references that are in the map. First posted on arXiv 6 Feb 2022.
Builds on
4 of 20 references.
References · 4
- 2021Adapting to Misspecification in Contextual Banditscited by 81
- 2018Online Learning of Quantum Statescited by 37
- 2018Efficient Online Portfolio with Logarithmic Regretcited by 20
- 2019Soft-Bayes: Prod for Mixtures of Experts with Log-Losscited by 10
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Citing papers per year: 2022: 5; 2023: 6; 2024: 1; 2025: 2; 2026: 1.
15 papers.
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- 2023Bypassing the Simulator: Near-Optimal Adversarial Linear Contextual Banditscited by 18
- 2022Adaptive Online Learning of Quantum Statescited by 12
- 2023Towards Optimal Regret in Adversarial Linear MDPs with Bandit Feedbackcited by 12
- 2023Data-Dependent Bounds for Online Portfolio Selection Without Lipschitzness and Smoothnesscited by 11
- 2022Damped Online Newton Step for Portfolio Selectioncited by 9
- 2022Optimal Comparator Adaptive Online Learning with Switching Costcited by 9
- 2022Online Self-Concordant and Relatively Smooth Minimization, With Applications to Online Portfolio Selection and Learning Quantum Statescited by 7
- 2023Smoothed Analysis of Sequential Probability Assignmentcited by 7
- 2025Online Inverse Linear Optimization: Efficient Logarithmic-Regret Algorithm, Robustness to Suboptimality, and Lower Boundcited by 7
- 2023Projection-Free Online Convex Optimization via Efficient Newton Iterationscited by 4
- 2024Market Making without Regretcited by 4
- 2026Dynamic Regret via Discounted-to-Dynamic Reduction with Applications to Curved Losses and Adam Optimizercited by 2
- 2026Dynamic Regret via Discounted-to-Dynamic Reduction with Applications to Curved Losses and Adam Optimizer9 Feb 2026
- 2025The Invisible Handshake: Persistent Overpricing by Adaptive Market Agents14 Oct 2025
- 2025Online Inverse Linear Optimization: Efficient Logarithmic-Regret Algorithm, Robustness to Suboptimality, and Lower Bound24 Jan 2025
- 2024Market Making without Regret21 Nov 2024
- 2023Fast Minimization of Expected Logarithmic Loss via Stochastic Dual Averaging5 Nov 2023
- 2023Towards Optimal Regret in Adversarial Linear MDPs with Bandit Feedback17 Oct 2023
- 2023Bypassing the Simulator: Near-Optimal Adversarial Linear Contextual Bandits2 Sep 2023
- 2023Projection-Free Online Convex Optimization via Efficient Newton Iterations19 Jun 2023
- 2023Data-Dependent Bounds for Online Portfolio Selection Without Lipschitzness and Smoothness23 May 2023
- 2023Smoothed Analysis of Sequential Probability Assignment8 Mar 2023
- 2022Faster Stochastic First-Order Method for Maximum-Likelihood Quantum State Tomography23 Nov 2022
- 2022Online Self-Concordant and Relatively Smooth Minimization, With Applications to Online Portfolio Selection and Learning Quantum States3 Oct 2022
3 more
- 2022Adaptive Online Learning of Quantum States1 Jun 2022
- 2022Optimal Comparator Adaptive Online Learning with Switching Cost13 May 2022
- 2022Damped Online Newton Step for Portfolio Selection15 Feb 2022
- 2023Bypassing the Simulator: Near-Optimal Adversarial Linear Contextual Banditscited by 18
- 2022Adaptive Online Learning of Quantum Statescited by 12
- 2023Towards Optimal Regret in Adversarial Linear MDPs with Bandit Feedbackcited by 12
- 2023Data-Dependent Bounds for Online Portfolio Selection Without Lipschitzness and Smoothnesscited by 11
- 2022Damped Online Newton Step for Portfolio Selectioncited by 9
- 2022Optimal Comparator Adaptive Online Learning with Switching Costcited by 9
- 2022Online Self-Concordant and Relatively Smooth Minimization, With Applications to Online Portfolio Selection and Learning Quantum Statescited by 7
- 2023Smoothed Analysis of Sequential Probability Assignmentcited by 7
- 2025Online Inverse Linear Optimization: Efficient Logarithmic-Regret Algorithm, Robustness to Suboptimality, and Lower Boundcited by 7
- 2023Projection-Free Online Convex Optimization via Efficient Newton Iterationscited by 4
- 2024Market Making without Regretcited by 4
- 2026Dynamic Regret via Discounted-to-Dynamic Reduction with Applications to Curved Losses and Adam Optimizercited by 2
12 most cited of 15 All 15 (JSON)
- 2026Dynamic Regret via Discounted-to-Dynamic Reduction with Applications to Curved Losses and Adam Optimizer9 Feb 2026
- 2025The Invisible Handshake: Persistent Overpricing by Adaptive Market Agents14 Oct 2025
- 2025Online Inverse Linear Optimization: Efficient Logarithmic-Regret Algorithm, Robustness to Suboptimality, and Lower Bound24 Jan 2025
- 2024Market Making without Regret21 Nov 2024
- 2023Fast Minimization of Expected Logarithmic Loss via Stochastic Dual Averaging5 Nov 2023
- 2023Towards Optimal Regret in Adversarial Linear MDPs with Bandit Feedback17 Oct 2023
- 2023Bypassing the Simulator: Near-Optimal Adversarial Linear Contextual Bandits2 Sep 2023
- 2023Projection-Free Online Convex Optimization via Efficient Newton Iterations19 Jun 2023
- 2023Data-Dependent Bounds for Online Portfolio Selection Without Lipschitzness and Smoothness23 May 2023
- 2023Smoothed Analysis of Sequential Probability Assignment8 Mar 2023
- 2022Faster Stochastic First-Order Method for Maximum-Likelihood Quantum State Tomography23 Nov 2022
- 2022Online Self-Concordant and Relatively Smooth Minimization, With Applications to Online Portfolio Selection and Learning Quantum States3 Oct 2022
12 newest of 15 All 15 (JSON)