Related papers: Efficient and Near-Optimal Online Portfolio Select…
In this paper, we broaden the horizon of online convex optimization (OCO), and consider multi-objective OCO, where there are $K$ distinct loss function sequences, and an algorithm has to choose its action at time $t$, before the $K$ loss…
Universal online learning aims to achieve optimal regret guarantees without requiring prior knowledge of the curvature of online functions. Existing methods have established minimax-optimal regret bounds for universal online learning, where…
We study online assortment optimization under stochastic choice when a decision maker simultaneously values cumulative revenue performance and the quality of post-hoc inference on revenue contrasts. We analyze a forced-exploration…
In this paper, we consider an online optimization process, where the objective functions are not convex (nor concave) but instead belong to a broad class of continuous submodular functions. We first propose a variant of the Frank-Wolfe…
We study the prediction with expert advice setting, where the aim is to produce a decision by combining the decisions generated by a set of experts, e.g., independently running algorithms. We achieve the min-max optimal dynamic regret under…
In this paper, the online variants of the classical Frank-Wolfe algorithm are considered. We consider minimizing the regret with a stochastic cost. The online algorithms only require simple iterative updates and a non-adaptive step size…
This paper addresses safe distributed online optimization over an unknown set of linear safety constraints. A network of agents aims at jointly minimizing a global, time-varying function, which is only partially observable to each…
We revisit the online Unit Covering problem in higher dimensions: Given a set of $n$ points in $\mathbb{R}^d$, that arrive one by one, cover the points by balls of unit radius, so as to minimize the number of balls used. In this paper, we…
In this paper, we study the global optimality of polynomial portfolio optimization (PPO). The PPO is a kind of portfolio selection model with high-order moments and flexible risk preference parameters. We introduce a perturbation sample…
We present an adaptive online gradient descent algorithm to solve online convex optimization problems with long-term constraints , which are constraints that need to be satisfied when accumulated over a finite number of rounds T , but can…
We investigate decentralized online convex optimization (D-OCO), in which a set of local learners are required to minimize a sequence of global loss functions using only local computations and communications. Previous studies have…
We present a quantum algorithm for portfolio optimization. We discuss the market data input, the processing of such data via quantum operations, and the output of financially relevant results. Given quantum access to the historical record…
We present new efficient \textit{projection-free} algorithms for online convex optimization (OCO), where by projection-free we refer to algorithms that avoid computing orthogonal projections onto the feasible set, and instead relay on…
We study Online Convex Optimization (OCO) with adversarial constraints, where an online algorithm must make sequential decisions to minimize both convex loss functions and cumulative constraint violations. We focus on a setting where the…
We revisit the classical online portfolio selection problem. It is widely assumed that a trade-off between computational complexity and regret is unavoidable, with Cover's Universal Portfolios algorithm, SOFT-BAYES and ADA-BARRONS currently…
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…
We consider linear stochastic bandits where the set of actions is an ellipsoid. We provide the first known minimax optimal algorithm for this problem. We first derive a novel information-theoretic lower bound on the regret of any algorithm,…
We consider an assortment selection and pricing problem in which a seller has $N$ different items available for sale. In each round, the seller observes a $d$-dimensional contextual preference information vector for the user, and offers to…
In a pathbreaking paper, Cover and Ordentlich (1998) solved a max-min portfolio game between a trader (who picks an entire trading algorithm, $\theta(\cdot)$) and "nature," who picks the matrix $X$ of gross-returns of all stocks in all…
We study the problem of online convex optimization (OCO) under unknown linear constraints that are either static, or stochastically time-varying. For this problem, we introduce an algorithm that we term Optimistically Safe OCO (OSOCO) and…