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In this paper we propose a framework for solving constrained online convex optimization problem. Our motivation stems from the observation that most algorithms proposed for online convex optimization require a projection onto the convex set…
Nonconvex-concave min-max problem arises in many machine learning applications including minimizing a pointwise maximum of a set of nonconvex functions and robust adversarial training of neural networks. A popular approach to solve this…
We consider a generalization of the celebrated Online Convex Optimization (OCO) framework with adversarial online constraints. In this problem, an online learner interacts with an adversary sequentially over multiple rounds. At the…
Delays and asynchrony are inevitable in large-scale machine-learning problems where communication plays a key role. As such, several works have extensively analyzed stochastic optimization with delayed gradients. However, as far as we are…
In this work, we study the online convex optimization problem with curved losses and delayed feedback. When losses are strongly convex, existing approaches obtain regret bounds of order $d_{\max} \ln T$, where $d_{\max}$ is the maximum…
This paper considers the analysis of continuous time gradient-based optimization algorithms through the lens of nonlinear contraction theory. It demonstrates that in the case of a time-invariant objective, most elementary results on…
This paper examines the long-run behavior of learning with bandit feedback in non-cooperative concave games. The bandit framework accounts for extremely low-information environments where the agents may not even know they are playing a…
This work addresses distributed optimization, where a network of agents wants to minimize a global strongly convex objective function. The global function can be written as a sum of local convex functions, each of which is associated with…
We develop a novel primal-dual algorithm to solve a class of nonsmooth and nonlinear compositional convex minimization problems, which covers many existing and brand-new models as special cases. Our approach relies on a combination of a new…
The paper concerns optimization problems with general equality and inequality constraints and with constraints expressed by a convex set. In order to solve these problems, the general constraints are treated by an exact penalty functions…
Optimization algorithms for solving nonconvex inverse problem have attracted significant interests recently. However, existing methods require the nonconvex regularization to be smooth or simple to ensure convergence. In this paper, we…
In online learning the performance of an algorithm is typically compared to the performance of a fixed function from some class, with a quantity called regret. Forster proposed a last-step min-max algorithm which was somewhat simpler than…
Multi-agent systems are being increasingly deployed in challenging environments for performing complex tasks such as multi-target tracking, search-and-rescue, and intrusion detection. Notwithstanding the computational limitations of…
To deal with changing environments, a new performance measure -- adaptive regret, defined as the maximum static regret over any interval, was proposed in online learning. Under the setting of online convex optimization, several algorithms…
Centered around solving the Online Saddle Point problem, this paper introduces the Online Convex-Concave Optimization (OCCO) framework, which involves a sequence of two-player time-varying convex-concave games. We propose the generalized…
This paper studies bandit convex optimization in non-stationary environments with two-point feedback, using dynamic regret as the performance measure. We propose an algorithm based on bandit mirror descent that extends naturally to…
In the convex optimization approach to online regret minimization, many methods have been developed to guarantee a $O(\sqrt{T})$ bound on regret for subdifferentiable convex loss functions with bounded subgradients, by using a reduction to…
Learning-to-optimize (L2O) is an emerging research area in large-scale optimization with applications in data science. Recently, researchers have proposed a novel L2O framework called learned mirror descent (LMD), based on the classical…
Online safe reinforcement learning (RL) plays a key role in dynamic environments, with applications in autonomous driving, robotics, and cybersecurity. The objective is to learn optimal policies that maximize rewards while satisfying safety…
The mirror descent algorithm is known to be effective in situations where it is beneficial to adapt the mirror map to the underlying geometry of the optimization model. However, the effect of mirror maps on the geometry of distributed…