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Combining machine learning and constrained optimization, Predict+Optimize tackles optimization problems containing parameters that are unknown at the time of solving. Prior works focus on cases with unknowns only in the objectives. A new…
In performative prediction, the deployment of a predictive model triggers a shift in the data distribution. As these shifts are typically unknown ahead of time, the learner needs to deploy a model to get feedback about the distribution it…
A crucial problem in reinforcement learning is learning the optimal policy. We study this in tabular infinite-horizon discounted Markov decision processes under the online setting. The existing algorithms either fail to achieve regret…
Regret is the cost of uncertainty in algorithmic decision-making. Quantifying regret typically requires computationally expensive simulation via Sample Average Approximation (SAA), with complexity $\mathcal{O}(Bn^{2}d^{3})$ in the number of…
In many sequential decision problems, an agent performs a repeated task. He then suffers regret and obtains information that he may use in the following rounds. However, sometimes the agent may also obtain information and avoid suffering…
In this paper, we consider an online optimization problem over $T$ rounds where at each step $t\in[T]$, the algorithm chooses an action $x_t$ from the fixed convex and compact domain set $\mathcal{K}$. A utility function $f_t(\cdot)$ is…
We develop a novel and generic algorithm for the adversarial multi-armed bandit problem (or more generally the combinatorial semi-bandit problem). When instantiated differently, our algorithm achieves various new data-dependent regret…
Bilateral trade is a central problem in algorithmic economics, and recent work has explored how to design trading mechanisms using no-regret learning algorithms. However, no-regret learning is impossible when budget balance has to be…
We consider a number of questions related to tradeoffs between reward and regret in repeated gameplay between two agents. To facilitate this, we introduce a notion of $\textit{generalized equilibrium}$ which allows for asymmetric regret…
We study a generalization of the online binary prediction with expert advice framework where at each round, the learner is allowed to pick $m\geq 1$ experts from a pool of $K$ experts and the overall utility is a modular or submodular…
A long line of works characterizes the sample complexity of regret minimization in sequential decision-making by min-max programs. In the corresponding saddle-point game, the min-player optimizes the sampling distribution against an…
This paper investigates online composite optimization in dynamic environments, where each objective or loss function contains a time-varying nondifferentiable regularizer. To resolve it, an online proximal gradient algorithm is studied for…
We study dynamic regret minimization in unconstrained adversarial linear bandit problems. In this setting, a learner must minimize the cumulative loss relative to an arbitrary sequence of comparators…
We present a modified tuning of the algorithm of Zimmert and Seldin [2020] for adversarial multiarmed bandits with delayed feedback, which in addition to the minimax optimal adversarial regret guarantee shown by Zimmert and Seldin…
Learning from repeated play in a fixed two-player zero-sum game is a classic problem in game theory and online learning. We consider a variant of this problem where the game payoff matrix changes over time, possibly in an adversarial…
Recent advances, such as RegretNet, ALGnet, RegretFormer and CITransNet, use deep learning to approximate optimal multi item auctions by relaxing incentive compatibility (IC) and measuring its violation via ex post regret. However, the true…
In practical applications, data is used to make decisions in two steps: estimation and optimization. First, a machine learning model estimates parameters for a structural model relating decisions to outcomes. Second, a decision is chosen to…
The dueling bandit is a learning framework wherein the feedback information in the learning process is restricted to a noisy comparison between a pair of actions. In this research, we address a dueling bandit problem based on a cost…
Bilateral trade models the task of intermediating between two strategic agents, a seller and a buyer, who wish to trade a good. We study this problem from the perspective of a profit-maximizing broker within an online learning framework,…
The regret bound of an optimization algorithms is one of the basic criteria for evaluating the performance of the given algorithm. By inspecting the differences between the regret bounds of traditional algorithms and adaptive one, we…