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In this paper, we study the non-monotone adaptive submodular maximization problem subject to a cardinality constraint. We first revisit the adaptive random greedy algorithm proposed in \citep{gotovos2015non}, where they show that this…
We consider the learning of multi-agent Hawkes processes, a model containing multiple Hawkes processes with shared endogenous impact functions and different exogenous intensities. In the framework of stochastic maximum likelihood…
In this work, we introduce a novel strategy for tackling constrained optimization problems through a modified penalty method. Conventional penalty methods convert constrained problems into unconstrained ones by incorporating constraints…
Time-varying systems are a challenge in many scientific and engineering areas. Usually, estimation of time-varying parameters or signals must be performed online, which calls for the development of responsive online algorithms. In this…
We consider a convex optimization problem with many linear inequality constraints. To deal with a large number of constraints, we provide a penalty reformulation of the problem, where the penalty is a variant of the one-sided Huber loss…
We consider the traffic assignment problem in nonatomic routing games where the players' cost functions may be subject to random fluctuations (e.g., weather disturbances, perturbations in the underlying network, etc.). We tackle this…
We consider the problem of selecting $k$ seed nodes in a network to maximize the minimum probability of activation under an independent cascade beginning at these seeds. The motivation is to promote fairness by ensuring that even the least…
We consider a problem wherein jobs arrive at random times and assume random values. Upon each job arrival, the decision-maker must decide immediately whether or not to accept the job and gain the value on offer as a reward, with the…
Conventional online multi-task learning algorithms suffer from two critical limitations: 1) Heavy communication caused by delivering high velocity of sequential data to a central machine; 2) Expensive runtime complexity for building task…
Numerous combinatorial optimization problems (knapsack, maximum-weight matching, etc.) can be expressed as \emph{subset maximization problems}: One is given a ground set $N=\{1,\dots,n\}$, a collection $\mathcal{F}\subseteq 2^N$ of subsets…
Motivated primarily by applications in cloud computing, we study a simple, yet powerful, online allocation problem in which jobs of varying durations arrive over continuous time and must be assigned immediately and irrevocably to one of the…
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…
Most work on sequential learning assumes a fixed set of actions that are available all the time. However, in practice, actions can consist of picking subsets of readings from sensors that may break from time to time, road segments that can…
A key challenge in online learning is that classical algorithms can be slow to adapt to changing environments. Recent studies have proposed "meta" algorithms that convert any online learning algorithm to one that is adaptive to changing…
Cascade ranking is widely used for large-scale top-k selection problems in online advertising and recommendation systems, and learning-to-rank is an important way to optimize the models in cascade ranking. Previous works on learning-to-rank…
Motivated by applications in large-scale and multi-agent reinforcement learning, we study the non-asymptotic performance of stochastic approximation (SA) schemes with delayed updates under Markovian sampling. While the effect of delays has…
We consider the problem of stochastic monotone submodular function maximization, subject to constraints. We give results on adaptivity gaps, and on the gap between the optimal offline and online solutions. We present a procedure that…
Interval scheduling is a basic problem in the theory of algorithms and a classical task in combinatorial optimization. We develop a set of techniques for partitioning and grouping jobs based on their starting and ending times, that enable…
We develop a neural-network framework for multi-period risk--reward stochastic control problems with constrained two-step feedback policies that may be discontinuous in the state. We allow a broad class of objectives built on a…
Multistage stochastic programming is a powerful tool allowing decision-makers to revise their decisions at each stage based on the realized uncertainty. However, in practice, organizations are not able to be fully flexible, as decisions…