Adversarial Laws of Large Numbers and Optimal Regret in Online Classification Noga Alon* Omri Ben-Eliezer† Yuval Dagan‡ Shay Moran§ Moni Naor¶ Eylon Yogev|| Abstract Laws of large numbers guarantee that given a large enough sample from some population, the measure of any fixed sub-population is well-estimated by its frequency in the sample. We study laws of large numbers in sampling processes that can affect the environment they are acting upon and interact with it. Specifically, we consider the sequential sampling model proposed by Ben-Eliezer and Yogev (2020), and characterize the classes which admit a uniform law of large numbers in this model: these are exactly the classes that are online learnable. Our characterization may be interpreted as an online analogue to the equivalence between learnability and uniform convergence in statistical (PAC) learning. The sample-complexity bounds we obtain are tight for many parameter regimes, and as an application, we determine the optimal regret bounds in online learning, stated in terms of Littlestone’s dimension, thus resolving the main open question from Ben-David, Pal,´ and Shalev-Shwartz (2009), which was also posed by Rakhlin, Sridharan, and Tewari (2015). *Department of Mathematics, Princeton University, Princeton, New Jersey, USA and Schools of Mathematics and Computer Science, Tel Aviv University, Tel Aviv, Israel. Research supported in part by NSF grant DMS-1855464, BSF grant 2018267 and the Simons Foundation. Email:
[email protected]. †Center for Mathematical Sciences and Applications, Harvard University, Massachusetts, USA. Research partially conducted while the author was at Weizmann Institute of Science, supported in part by a grant from the Israel Science Foundation (no.