Related papers: Online Learning for Time Series Prediction
In this paper, we provide a general framework for studying multi-agent online learning problems in the presence of delays and asynchronicities. Specifically, we propose and analyze a class of adaptive dual averaging schemes in which agents…
We propose a novel model-based offline Reinforcement Learning (RL) framework, called Adversarial Model for Offline Reinforcement Learning (ARMOR), which can robustly learn policies to improve upon an arbitrary reference policy regardless of…
This paper focuses on recursive estimation of time varying autoregressive processes in a nonparametric setting. The stability of the model is revisited and uniform results are provided when the time-varying autoregressive parameters belong…
Proactive caching is an effective way to alleviate peak-hour traffic congestion by prefetching popular contents at the wireless network edge. To maximize the caching efficiency requires the knowledge of content popularity profile, which…
Time series forecasting faces two important but often overlooked challenges. Firstly, the inherent random noise in the time series labels sets a theoretical lower bound for the forecasting error, which is positively correlated with the…
We study online prediction where regret of the algorithm is measured against a benchmark defined via evolving constraints. This framework captures online prediction on graphs, as well as other prediction problems with combinatorial…
In this book, I introduce the basic concepts of Online Learning through the modern view of Online Convex Optimization. Here, online learning refers to the framework of regret minimization under worst-case assumptions. I present first-order…
We introduce a new algorithm for online linear-quadratic control in a known system subject to adversarial disturbances. Existing regret bounds for this setting scale as $\sqrt{T}$ unless strong stochastic assumptions are imposed on the…
Autoregressive generative models are commonly used, especially for those tasks involving sequential data. They have, however, been plagued by a slew of inherent flaws due to the intrinsic characteristics of chain-style conditional modeling…
We apply methods from randomized numerical linear algebra (RandNLA) to develop improved algorithms for the analysis of large-scale time series data. We first develop a new fast algorithm to estimate the leverage scores of an autoregressive…
We consider the problem of estimating a function from $n$ noisy samples whose discrete Total Variation (TV) is bounded by $C_n$. We reveal a deep connection to the seemingly disparate problem of Strongly Adaptive online learning (Daniely et…
Online learning constitutes a mathematical and compelling framework to analyze sequential decision making problems in adversarial environments. The learner repeatedly chooses an action, the environment responds with an outcome, and then the…
We consider the online control problem with an unknown linear dynamical system in the presence of adversarial perturbations and adversarial convex loss functions. Although the problem is widely studied in model-based control, it remains…
We revisit the question of reducing online learning to approximate optimization of the offline problem. In this setting, we give two algorithms with near-optimal performance in the full information setting: they guarantee optimal regret and…
An enormous and ever-growing volume of data is nowadays becoming available in a sequential fashion in various real-world applications. Learning in nonstationary environments constitutes a major challenge, and this problem becomes orders of…
We present an active learning algorithm for the problem of body schema learning, i.e. estimating a kinematic model of a serial robot. The learning process is done online using Recursive Least Squares (RLS) estimation, which outperforms…
Automatic machine learning (\AML) is a family of techniques to automate the process of training predictive models, aiming to both improve performance and make machine learning more accessible. While many recent works have focused on aspects…
Precise financial series predicting has long been a difficult problem because of unstableness and many noises within the series. Although Traditional time series models like ARIMA and GARCH have been researched and proved to be effective in…
We consider an online two-stage stochastic optimization with long-term constraints over a finite horizon of $T$ periods. At each period, we take the first-stage action, observe a model parameter realization and then take the second-stage…
As power management has become a primary concern in modern data centers, computing resources are being scaled dynamically to minimize energy consumption. We initiate the study of a variant of the classic online speed scaling problem, in…