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There is a recent interest on first-order methods for linear programming (LP). In this paper,we propose a stochastic algorithm using variance reduction and restarts for solving sharp primal-dual problems such as LP. We show that the…
We consider the setting of online convex optimization with adversarial time-varying constraints in which actions must be feasible w.r.t. a fixed constraint set, and are also required on average to approximately satisfy additional…
Online bilevel optimization (OBO) is a powerful framework for machine learning problems where both outer and inner objectives evolve over time, requiring dynamic updates. Current OBO approaches rely on deterministic \textit{window-smoothed}…
We consider online reinforcement learning in episodic Markov decision process (MDP) with unknown transition function and stochastic rewards drawn from some fixed but unknown distribution. The learner aims to learn the optimal policy and…
Adversarial online linear optimization (OLO) is essentially about making performance tradeoffs with respect to the unknown difficulty of the adversary. In the setting of one-dimensional fixed-time OLO on a bounded domain, it has been…
Feature-based dynamic pricing is an increasingly popular model of setting prices for highly differentiated products with applications in digital marketing, online sales, real estate and so on. The problem was formally studied as an online…
We consider online learning problems in the realizable setting, where there is a zero-loss solution, and propose new Differentially Private (DP) algorithms that obtain near-optimal regret bounds. For the problem of online prediction from…
We consider the problem of online load balancing under lp-norms: sequential jobs need to be assigned to one of the machines and the goal is to minimize the lp-norm of the machine loads. This generalizes the classical problem of scheduling…
We study the classical Network Revenue Management (NRM) problem with accept/reject decisions and $T$ IID arrivals. We consider a distributional form where each arrival must fall under a finite number of possible categories, each with a…
As foundation models grow in size, fine-tuning them becomes increasingly expensive. While GPU spot instances offer a low-cost alternative to on-demand resources, their volatile prices and availability make deadline-aware scheduling…
The primary focus of this paper is on designing an inexact first-order algorithm for solving constrained nonlinear optimization problems. By controlling the inexactness of the subproblem solution, we can significantly reduce the…
In many problems, the inputs arrive over time, and must be dealt with irrevocably when they arrive. Such problems are online problems. A common method of solving online problems is to first solve the corresponding linear program, and then…
The trade-off between regret and computational cost is a fundamental problem for online kernel regression, and previous algorithms worked on the trade-off can not keep optimal regret bounds at a sublinear computational complexity. In this…
Offline reinforcement learning (RL) aims to find an optimal policy for Markov decision processes (MDPs) using a pre-collected dataset. In this work, we revisit the linear programming (LP) reformulation of Markov decision processes for…
We study various discrete nonlinear combinatorial optimization problems in an online learning framework. In the first part, we address the question of whether there are negative results showing that getting a vanishing (or even vanishing…
We investigate the use of low-precision first-order methods (FOMs) within a fix-and-propagate (FP) framework for solving mixed-integer programming problems (MIPs). We employ GPU-accelerated PDLP, a variant of the Primal-Dual Hybrid Gradient…
In online learning, the data is provided in a sequential order, and the goal of the learner is to make online decisions to minimize overall regrets. This note is concerned with continuous-time models and algorithms for several online…
We consider the online resource minimization problem in which jobs with hard deadlines arrive online over time at their release dates. The task is to determine a feasible schedule on a minimum number of machines. We rigorously study this…
Despite major advancements in nonlinear programming (NLP) and convex relaxations, most system operators around the world still predominantly use some form of linear programming (LP) approximation of the AC power flow equations. This is…
We propose a novel approach for analyzing dynamic regret of first-order constrained online convex optimization algorithms for strongly convex and Lipschitz-smooth objectives. Crucially, we provide a general analysis that is applicable to a…