Related papers: Contextual Inverse Optimization: Offline and Onlin…
In online inverse linear optimization, a learner observes time-varying sets of feasible actions and an agent's optimal actions, selected by solving linear optimization over the feasible actions. The learner sequentially makes predictions of…
We consider online learning problems in the realizable setting, where there is a zero-loss solution, and propose new Differentially Private (DP) algorithms that obtain near-optimal regret bounds. For the problem of online prediction from…
We investigate the problem of online learning, which has gained significant attention in recent years due to its applicability in a wide range of fields from machine learning to game theory. Specifically, we study the online optimization of…
Stochastic and adversarial data are two widely studied settings in online learning. But many optimization tasks are neither i.i.d. nor fully adversarial, which makes it of fundamental interest to get a better theoretical understanding of…
A well-studied generalization of the standard online convex optimization (OCO) framework is constrained online convex optimization (COCO). In COCO, on every round, a convex cost function and a convex constraint function are revealed to the…
We study the problem of online learning with primary and secondary losses. For example, a recruiter making decisions of which job applicants to hire might weigh false positives and false negatives equally (the primary loss) but the…
We study the problem of uncertainty quantification via prediction sets, in an online setting where the data distribution may vary arbitrarily over time. Recent work develops online conformal prediction techniques that leverage regret…
Define an environment as a set of convex constraint functions that vary arbitrarily over time and consider a cost function that is also convex and arbitrarily varying. Agents that operate in this environment intend to select actions that…
Spurred by the enthusiasm surrounding the "Big Data" paradigm, the mathematical and algorithmic tools of online optimization have found widespread use in problems where the trade-off between data exploration and exploitation plays a…
Online convex optimization (OCO) is a widely used framework in online learning. In each round, the learner chooses a decision in a convex set and an adversary chooses a convex loss function, and then the learner suffers the loss associated…
We propose a novel approach for analyzing dynamic regret of first-order constrained online convex optimization algorithms for strongly convex and Lipschitz-smooth objectives. Crucially, we provide a general analysis that is applicable to a…
We study the regret of optimal strategies for online convex optimization games. Using von Neumann's minimax theorem, we show that the optimal regret in this adversarial setting is closely related to the behavior of the empirical…
This paper investigates the problem of regret minimization in linear time-varying (LTV) dynamical systems. Due to the simultaneous presence of uncertainty and non-stationarity, designing online control algorithms for unknown LTV systems…
We consider adaptive decision-making problems where an agent optimizes a cumulative performance objective by repeatedly choosing among a finite set of options. Compared to the classical prediction-with-expert-advice set-up, we consider…
A fundamental challenge in contextual bandits is to develop flexible, general-purpose algorithms with computational requirements no worse than classical supervised learning tasks such as classification and regression. Algorithms based on…
In many settings, a decision-maker wishes to learn a rule, or policy, that maps from observable characteristics of an individual to an action. Examples include selecting offers, prices, advertisements, or emails to send to consumers, as…
In this paper, we address tracking of a time-varying parameter with unknown dynamics. We formalize the problem as an instance of online optimization in a dynamic setting. Using online gradient descent, we propose a method that sequentially…
We consider the general (stochastic) contextual bandit problem under the realizability assumption, i.e., the expected reward, as a function of contexts and actions, belongs to a general function class $\mathcal{F}$. We design a fast and…
We study online learning for optimal allocation when the resource to be allocated is time. %Examples of possible applications include job scheduling for a computing server, a driver filling a day with rides, a landlord renting an estate,…
This paper addresses Online Convex Optimization (OCO) problems where the constraints have additive perturbations that (i) vary over time and (ii) are not known at the time to make a decision. Perturbations may not be i.i.d. generated and…