Related papers: A Constrained Consensus Based Optimization algorit…
We consider Constrained Online Convex Optimization (COCO) with adversarially chosen constraints. At each round, the learner chooses an action before observing the loss and constraint function for that round. The goal is to achieve small…
Portfolio optimization is an important process in finance that consists in finding the optimal asset allocation that maximizes expected returns while minimizing risk. When assets are allocated in discrete units, this is a combinatorial…
Scaling Bayesian optimisation (BO) to high-dimensional search spaces is a active and open research problems particularly when no assumptions are made on function structure. The main reason is that at each iteration, BO requires to find…
In the past few years, Online Convex Optimization (OCO) has received notable attention in the control literature thanks to its flexible real-time nature and powerful performance guarantees. In this paper, we propose new step-size rules and…
In this paper, we focus on the problem of stochastic optimization where the objective function can be written as an expectation function over a closed convex set. We also consider multiple expectation constraints which restrict the domain…
Bayesian optimization is a class of data efficient model based algorithms typically focused on global optimization. We consider the more general case where a user is faced with multiple problems that each need to be optimized conditional on…
Preferential Bayesian optimization (PBO) is a variant of Bayesian optimization that observes relative preferences (e.g., pairwise comparisons) instead of direct objective values, making it especially suitable for human-in-the-loop…
Consensus-based optimization (CBO) is a class of metaheuristic algorithms designed for global optimization problems. In the many-particle limit, classical CBO dynamics can be rigorously connected to mean-field equations that ensure…
We introduce a practical method for incorporating equality and inequality constraints in global optimization methods based on stochastic interacting particle systems, specifically consensus-based optimization (CBO) and ensemble Kalman…
Consensus-based optimization (CBO) has established itself as an efficient gradient-free optimization scheme, with attractive mathematical properties, such as mean-field convergence results for non-convex loss functions. In this work, we…
We consider the problem of choosing a portfolio that maximizes the cumulative prospect theory (CPT) utility on an empirical distribution of asset returns. We show that while CPT utility is not a concave function of the portfolio weights, it…
We present stochastic consensus and convergence of the discrete consensus-based optimization (CBO) algorithm with random batch interactions and heterogeneous external noises. Despite the wide applications and successful performance in many…
Adjustable hyperparameters of machine learning models typically impact various key trade-offs such as accuracy, fairness, robustness, or inference cost. Our goal in this paper is to find a configuration that adheres to user-specified limits…
In Causal Bayesian Optimization (CBO), an agent intervenes on an unknown structural causal model to maximize a downstream reward variable. In this paper, we consider the generalization where other agents or external events also intervene on…
Bayesian optimization (BO) is an efficient framework for optimization of black-box objectives when function evaluations are costly and gradient information is not easily accessible. BO has been successfully applied to automate the task of…
This paper studies the problem of globally optimizing a variable of interest that is part of a causal model in which a sequence of interventions can be performed. This problem arises in biology, operational research, communications and,…
For many applications of reinforcement learning it can be more convenient to specify both a reward function and constraints, rather than trying to design behavior through the reward function. For example, systems that physically interact…
This paper considers online convex optimization (OCO) with stochastic constraints, which generalizes Zinkevich's OCO over a known simple fixed set by introducing multiple stochastic functional constraints that are i.i.d. generated at each…
We introduce a new online convex optimization algorithm that adaptively chooses its regularization function based on the loss functions observed so far. This is in contrast to previous algorithms that use a fixed regularization function…
This paper considers online convex optimization with time-varying constraint functions. Specifically, we have a sequence of convex objective functions $\{f_t(x)\}_{t=0}^{\infty}$ and convex constraint functions…