Near-Optimal Algorithms for Omniprediction

Omnipredictors are simple prediction functions that encode loss-minimizing predictions with respect to a hypothesis class \H, simultaneously for every loss function within a class of losses $\L$. In this work, we give near-optimal learning algorithms for omniprediction, in both the online and offline settings. To begin, we give an oracle-efficient online learning algorithm that acheives $(\L,\H)$-omniprediction with $\tilde{O}(\sqrt{T \log |\H|})$ regret for any class of Lipschitz loss functions $\L \subseteq \L_\mathrm{Lip}$. Quite surprisingly, this regret bound matches the optimal regret for \emph{minimization of a single loss function} (up to a $\sqrt{\log(T)}$ factor). Given this online algorithm, we develop an online-to-offline conversion that achieves near-optimal complexity across a number of measures. In particular, for all bounded loss functions within the class of Bounded Variation losses $\L_\mathrm{BV}$ (which include all convex, all Lipschitz, and all proper losses) and any (possibly-infinite) \H, we obtain an offline learning algorithm that, leveraging an (offline) ERM oracle and $m$ samples from $\D$, returns an efficient $(\L_{\mathrm{BV}},\H,\eps(m))$-omnipredictor for $\eps(m)$ scaling near-linearly in the Rademacher complexity of \mathrm{Th} \circ \H.