## Beyond the Regret Minimization Barrier: Optimal Algorithms for Stochastic Strongly-Convex Optimization

** Elad Hazan, Satyen Kale**; 15(Jul):2489−2512, 2014.

### Abstract

We give novel algorithms for stochastic strongly-convex optimization in the gradient oracle model which return a $O(\frac{1}{T})$-approximate solution after $T$ iterations. The first algorithm is deterministic, and achieves this rate via gradient updates and historical averaging. The second algorithm is randomized, and is based on pure gradient steps with a random step size.

This rate of convergence is optimal in the gradient oracle model. This improves upon the previously known best rate of $O(\frac{\log(T)}{T})$, which was obtained by applying an online strongly-convex optimization algorithm with regret $O(\log(T))$ to the batch setting.

We complement this result by proving that any algorithm has expected regret of $\Omega(\log(T))$ in the online stochastic strongly-convex optimization setting. This shows that any online-to-batch conversion is inherently suboptimal for stochastic strongly- convex optimization. This is the first formal evidence that online convex optimization is strictly more difficult than batch stochastic convex optimization.