Related papers: PASTA: Pessimistic Assortment Optimization
Batch policy optimization considers leveraging existing data for policy construction before interacting with an environment. Although interest in this problem has grown significantly in recent years, its theoretical foundations remain…
When looking for a solution, deterministic methods have the enormous advantage that they do find global optima. Unfortunately, they are very CPU-intensive, and are useless on untractable NP-hard problems that would require thousands of…
In this paper, a novel multiagent based state transition optimization algorithm with linear convergence rate named MASTA is constructed. It first generates an initial population randomly and uniformly. Then, it applies the basic state…
This paper studies offline policy learning, which aims at utilizing observations collected a priori (from either fixed or adaptively evolving behavior policies) to learn an optimal individualized decision rule that achieves the best overall…
In the online sorting problem, $n$ items are revealed one by one and have to be placed (immediately and irrevocably) into empty cells of a size-$n$ array. The goal is to minimize the sum of absolute differences between items in consecutive…
This paper studies a distributed online convex optimization problem, where agents in an unbalanced network cooperatively minimize the sum of their time-varying local cost functions subject to a coupled inequality constraint. To solve this…
Online bidding is a classic optimization problem, with several applications in online decision-making, the design of interruptible systems, and the analysis of approximation algorithms. In this work, we study online bidding under…
This paper explores adaptive variance reduction methods for stochastic optimization based on the STORM technique. Existing adaptive extensions of STORM rely on strong assumptions like bounded gradients and bounded function values, or suffer…
In this paper, we propose a learning approach to analyze dynamic systems with asymmetric information structure. Instead of adopting a game theoretic setting, we investigate an online quadratic optimization problem driven by system noises…
We investigate an optimization problem in a queueing system where the service provider selects the optimal service fee p and service capacity \mu to maximize the cumulative expected profit (the service revenue minus the capacity cost and…
FISTA is a popular convex optimisation algorithm which is known to converge at an optimal rate whenever a minimiser is contained in a suitable Hilbert space. We propose a modified algorithm where each iteration is performed in a subset…
We consider robust shortest path problems, where the aim is to find a path that optimizes the worst-case performance over an uncertainty set containing all relevant scenarios for arc costs. The usual approach for such problems is to assume…
We consider a natural model of online preference aggregation, where sets of preferred items $R_1, R_2, \ldots, R_t$ along with a demand for $k_t$ items in each $R_t$, appear online. Without prior knowledge of $(R_t, k_t)$, the learner…
We propose a statistically optimal approach to construct data-driven decisions for stochastic optimization problems. Fundamentally, a data-driven decision is simply a function that maps the available training data to a feasible action. It…
The goal of data-driven algorithm design is to obtain high-performing algorithms for specific application domains using machine learning and data. Across many fields in AI, science, and engineering, practitioners will often fix a family of…
We consider a general online stochastic optimization problem with multiple budget constraints over a horizon of finite time periods. In each time period, a reward function and multiple cost functions are revealed, and the decision maker…
This paper proposes a novel approach to construct data-driven online solutions to optimization problems (P) subject to a class of distributionally uncertain dynamical systems. The introduced framework allows for the simultaneous learning of…
To address efficiency and design challenges in choice-based matching platforms, we introduce a two-sided assortment optimization framework under general choice preferences. The goal in this problem is to maximize the expected number of…
We provide a novel computer-assisted technique for systematically analyzing first-order methods for optimization. In contrast with previous works, the approach is particularly suited for handling sublinear convergence rates and stochastic…
One of the most popular and important first-order iterations that provides optimal complexity of the classical proximal gradient method (PGM) is the "Fast Iterative Shrinkage/Thresholding Algorithm" (FISTA). In this paper, two inexact…