Related papers: Derivative-Free & Order-Robust Optimisation
In this paper we study the non-stationary stochastic optimization question with bandit feedback and dynamic regret measures. The seminal work of Besbes et al. (2015) shows that, when aggregated function changes is known a priori, a simple…
We revisit the problem of solving two-player zero-sum games in the decentralized setting. We propose a simple algorithmic framework that simultaneously achieves the best rates for honest regret as well as adversarial regret, and in addition…
This work focuses on the setting of dynamic regret in the context of online learning with full information. In particular, we analyze regret bounds with respect to the temporal variability of the loss functions. By assuming that the…
Time-varying systems are a challenge in many scientific and engineering areas. Usually, estimation of time-varying parameters or signals must be performed online, which calls for the development of responsive online algorithms. In this…
We study the problem of zero-order optimization of a strongly convex function. The goal is to find the minimizer of the function by a sequential exploration of its values, under measurement noise. We study the impact of higher order…
We study the problems of offline and online contextual optimization with feedback information, where instead of observing the loss, we observe, after-the-fact, the optimal action an oracle with full knowledge of the objective function would…
We show for the first time, to our knowledge, that it is possible to reconcile in online learning in zero-sum games two seemingly contradictory objectives: vanishing time-average regret and non-vanishing step sizes. This phenomenon, that we…
Time-dependent partial differential equations are ubiquitous in physics-based modeling, but they remain computationally intensive in many-query scenarios, such as real-time forecasting, optimal control, and uncertainty quantification.…
This paper studies online convex optimization with stochastic constraints. We propose a variant of the drift-plus-penalty algorithm that guarantees $O(\sqrt{T})$ expected regret and zero constraint violation, after a fixed number of…
This paper proposes a new family of algorithms for the online optimisation of composite objectives. The algorithms can be interpreted as the combination of the exponentiated gradient and $p$-norm algorithm. Combined with algorithmic ideas…
The minimization of convex functions which are only available through partial and noisy information is a key methodological problem in many disciplines. In this paper we consider convex optimization with noisy zero-th order information,…
Regret minimization has proved to be a versatile tool for tree-form sequential decision making and extensive-form games. In large two-player zero-sum imperfect-information games, modern extensions of counterfactual regret minimization (CFR)…
Zeroth-order optimization (ZO) typically relies on two-point feedback to estimate the unknown gradient of the objective function. Nevertheless, two-point feedback can not be used for online optimization of time-varying objective functions,…
Interest in the random-order model (ROM) leads us to initiate a study of utilizing random-order arrivals to extract random bits with the goal of derandomizing algorithms. Besides producing simple algorithms, simulating random bits through…
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…
Motivated by applications in service systems, we consider queueing systems where each customer must be handled by a server with the right skill set. We focus on optimizing the routing of customers to servers in order to maximize the total…
We revisit the problem of stochastic online learning with feedback graphs, with the goal of devising algorithms that are optimal, up to constants, both asymptotically and in finite time. We show that, surprisingly, the notion of optimal…
We study fast rates of convergence in the setting of nonparametric online regression, namely where regret is defined with respect to an arbitrary function class which has bounded complexity. Our contributions are two-fold: - In the…
Robust optimization (RO) is a powerful paradigm for decision making under uncertainty. Existing algorithms for solving RO, including the reformulation approach and the cutting-plane method, do not scale well, hindering the application of RO…
This paper introduces a dual-based algorithm framework for solving the regularized online resource allocation problems, which have potentially non-concave cumulative rewards, hard resource constraints, and a non-separable regularizer. Under…