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Online linear programming plays an important role in both revenue management and resource allocation, and recent research has focused on developing efficient first-order online learning algorithms. Despite the empirical success of…
Blackwell approachability is a framework for reasoning about repeated games with vector-valued payoffs. We introduce predictive Blackwell approachability, where an estimate of the next payoff vector is given, and the decision maker tries to…
In this paper, we consider an online optimization problem over $T$ rounds where at each step $t\in[T]$, the algorithm chooses an action $x_t$ from the fixed convex and compact domain set $\mathcal{K}$. A utility function $f_t(\cdot)$ is…
A large variety of real-world Reinforcement Learning (RL) tasks is characterized by a complex and heterogeneous structure that makes end-to-end (or flat) approaches hardly applicable or even infeasible. Hierarchical Reinforcement Learning…
This paper studies the optimistic variant of Fictitious Play for learning in two-player zero-sum games. While it is known that Optimistic FTRL -- a regularized algorithm with a bounded stepsize parameter -- obtains constant regret in this…
We study fast rates of convergence in the setting of nonparametric online regression, namely where regret is defined with respect to an arbitrary function class which has bounded complexity. Our contributions are two-fold: - In the…
In this work, we study model-based reinforcement learning (RL) in unknown stabilizable linear dynamical systems. When learning a dynamical system, one needs to stabilize the unknown dynamics in order to avoid system blow-ups. We propose an…
We study the problem of Offline Safe Reinforcement Learning (OSRL), where the goal is to learn a reward-maximizing policy from fixed data under a cumulative cost constraint. We propose a novel OSRL approach that frames the problem as a…
In this paper, the online variants of the classical Frank-Wolfe algorithm are considered. We consider minimizing the regret with a stochastic cost. The online algorithms only require simple iterative updates and a non-adaptive step size…
We introduce an online convex optimization algorithm which utilizes projected subgradient descent with optimal adaptive learning rates. Our method provides second-order minimax-optimal dynamic regret guarantee (i.e. dependent on the sum of…
In this paper, we investigate the online non-convex optimization problem which generalizes the classic {online convex optimization problem by relaxing the convexity assumption on the cost function. For this type of problem, the classic…
We consider the dynamic resource allocation problem where the decision space is finite-dimensional, yet the solution must satisfy a large or even infinite number of constraints revealed via streaming data or oracle feedback. We model this…
To efficiently solve online problems with complicated constraints, projection-free algorithms including online frank-wolfe (OFW) and its variants have received significant interest recently. However, in the general case, existing efficient…
It is known that the curvature of the feasible set in convex optimization allows for algorithms with better convergence rates, and there has been renewed interest in this topic both for offline as well as online problems. In this paper,…
The theory of deep learning focuses almost exclusively on supervised learning, non-convex optimization using stochastic gradient descent, and overparametrized neural networks. It is common belief that the optimizer dynamics, network…
We study an online linear programming (OLP) problem under a random input model in which the columns of the constraint matrix along with the corresponding coefficients in the objective function are generated i.i.d. from an unknown…
The performance of online convex optimization algorithms in a dynamic environment is often expressed in terms of the dynamic regret, which measures the decision maker's performance against a sequence of time-varying comparators. In the…
Inspired by the recent successes of Inverse Optimization (IO) across various application domains, we propose a novel offline Reinforcement Learning (ORL) algorithm for continuous state and action spaces, leveraging the convex loss function…
We consider the problem of online adaptive control of the linear quadratic regulator, where the true system parameters are unknown. We prove new upper and lower bounds demonstrating that the optimal regret scales as…
Inverse reinforcement learning (IRL) aims to learn a reward function and a corresponding policy that best fit the demonstrated trajectories of an expert. However, current IRL works cannot learn incrementally from an ongoing trajectory…