Related papers: Primal-Dual Contextual Bayesian Optimization for C…
This paper studies the problem of controlling linear dynamical systems subject to point-wise-in-time constraints. We present an algorithm similar to online gradient descent, that can handle time-varying and a priori unknown convex cost…
Recent work on Bayesian optimization has shown its effectiveness in global optimization of difficult black-box objective functions. Many real-world optimization problems of interest also have constraints which are unknown a priori. In this…
We introduce a unified framework for contextual and causal Bayesian optimisation, which aims to design intervention policies maximising the expectation of a target variable. Our approach leverages both observed contextual information and…
This article investigates the problem of controlling linear time-invariant systems subject to time-varying and a priori unknown cost functions, state and input constraints, and exogenous disturbances. We combine the online convex…
This paper studies the problem of distributed multi-agent Bayesian optimization with both coupled black-box constraints and known affine constraints. A primal-dual distributed algorithm is proposed that achieves similar regret/violation…
We study the problem of performance optimization of closed-loop control systems with unmodeled dynamics. Bayesian optimization (BO) has been demonstrated to be effective for improving closed-loop performance by automatically tuning…
This paper develops projection-free algorithms for online convex optimization with stochastic constraints. We design an online primal-dual projection-free framework that can take any projection-free algorithms developed for online convex…
This paper addresses the design and analysis of feedback-based online algorithms to control systems or networked systems based on performance objectives and engineering constraints that may evolve over time. The emerging time-varying convex…
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…
The predict-then-optimize paradigm bridges online learning and contextual optimization in dynamic environments. Previous works have investigated the sequential updating of predictors using feedback from downstream decisions to minimize…
This paper introduces consensus-based primal-dual methods for distributed online optimization where the time-varying system objective function $f_t(\mathbf{x})$ is given as the sum of local agents' objective functions, i.e.,…
We propose an algorithm based on online convex optimization for controlling discrete-time linear dynamical systems. The algorithm is data-driven, i.e., does not require a model of the system, and is able to handle a priori unknown and…
In the contextual linear bandit setting, algorithms built on the optimism principle fail to exploit the structure of the problem and have been shown to be asymptotically suboptimal. In this paper, we follow recent approaches of deriving…
This paper considers distributed online nonconvex optimization with time-varying inequality constraints over a network of agents. For a time-varying graph, we propose a distributed online primal-dual algorithm with compressed communication…
We propose a data-driven online convex optimization algorithm for controlling dynamical systems. In particular, the control scheme makes use of an initially measured input-output trajectory and behavioral systems theory which enable it to…
We consider online optimization in the 1-lookahead setting, where the objective does not decompose additively over the rounds of the online game. The resulting formulation enables us to deal with non-stationary and/or long-term constraints…
In this paper, we develop a novel virtual-queue-based online algorithm for online convex optimization (OCO) problems with long-term and time-varying constraints and conduct a performance analysis with respect to the dynamic regret and…
In this paper we focus on the solution of online problems with time-varying, linear equality and inequality constraints. Our approach is to design a novel online algorithm by leveraging the tools of control theory. In particular, for the…
This paper considers the distributed bandit convex optimization problem with time-varying inequality constraints over a network of agents, where the goal is to minimize network regret and cumulative constraint violation. Existing…
This paper considers distributed online nonconvex optimization with time-varying inequality constraints over a network of agents, where the nonconvex local loss and convex local constraint functions can vary arbitrarily across iterations.…