Related papers: Online Sequential Decision-Making with Unknown Del…
In this paper, we analyze the problem of online convex optimization in different settings, including different feedback types (full-information/semi-bandit/bandit/etc) in either stochastic or non-stochastic setting and different notions of…
We propose Banker-OMD, a novel framework generalizing the classical Online Mirror Descent (OMD) technique in online learning algorithm design. Banker-OMD allows algorithms to robustly handle delayed feedback, and offers a general…
A well-studied generalization of the standard online convex optimization (OCO) framework is constrained online convex optimization (COCO). In COCO, on every round, a convex cost function and a convex constraint function are revealed to the…
To address the uncertainty in function types, recent progress in online convex optimization (OCO) has spurred the development of universal algorithms that simultaneously attain minimax rates for multiple types of convex functions. However,…
Motivated by applications to online learning in sparse estimation and Bayesian optimization, we consider the problem of online unconstrained nonsubmodular minimization with delayed costs in both full information and bandit feedback…
In this paper, we consider two paradigms that are developed to account for uncertainty in optimization models: robust optimization (RO) and joint estimation-optimization (JEO). We examine recent developments on efficient and scalable…
We study an online contextual decision-making problem with resource constraints. At each time period, the decision-maker first predicts a reward vector and resource consumption matrix based on a given context vector and then solves a…
Online platforms increasingly rely on sequential decision-making algorithms to allocate resources, match users, or control exposure, while facing growing pressure to ensure fairness over time. We study a general online decision-making…
We analyze convergence of decentralized cooperative online estimation algorithms by a network of multiple nodes via information exchanging in an uncertain environment. Each node has a linear observation of an unknown parameter with randomly…
In the era of the big data, we create and collect lots of data from all different kinds of sources: the Internet, the sensors, the consumer market, and so on. Many of the data are coming sequentially, and would like to be processed and…
Distributed online convex optimization (D-OCO) is a powerful paradigm for modeling distributed scenarios with streaming data. However, the communication cost between local learners and the central server is substantial in large-scale…
Reflecting the greater significance of recent history over the distant past in non-stationary environments, $\lambda$-discounted regret has been introduced in online convex optimization (OCO) to gracefully forget past data as new…
We consider an online revenue maximization problem over a finite time horizon subject to lower and upper bounds on cost. At each period, an agent receives a context vector sampled i.i.d. from an unknown distribution and needs to make a…
In this paper, we consider the online proximal mirror descent for solving the time-varying composite optimization problems. For various applications, the algorithm naturally involves the errors in the gradient and proximal operator. We…
Bayesian optimization (BO) is a widely-used sequential method for zeroth-order optimization of complex and expensive-to-compute black-box functions. The existing BO methods assume that the function evaluation (feedback) is available to the…
In online convex optimization (OCO), Lipschitz continuity of the functions is commonly assumed in order to obtain sublinear regret. Moreover, many algorithms have only logarithmic regret when these functions are also strongly convex.…
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…
Online learning algorithms for dynamical systems provide finite time guarantees for control in the presence of sequentially revealed cost functions. We pose the classical linear quadratic tracking problem in the framework of online…
We investigate bandit convex optimization (BCO) with delayed feedback, where only the loss value of the action is revealed under an arbitrary delay. Let $n,T,\bar{d}$ denote the dimensionality, time horizon, and average delay, respectively.…
In this paper, we propose an online convex optimization approach with two different levels of adaptivity. On a higher level, our approach is agnostic to the unknown types and curvatures of the online functions, while at a lower level, it…