Related papers: Online Conformal Prediction via Universal Portfoli…
Conformal prediction (CP) is a framework to quantify uncertainty of machine learning classifiers including deep neural networks. Given a testing example and a trained classifier, CP produces a prediction set of candidate labels with a…
We revisit the classic online portfolio selection problem, where at each round a learner selects a distribution over a set of portfolios to allocate its wealth. It is known that for this problem a logarithmic regret with respect to Cover's…
For numerous online bipartite matching problems, such as edge-weighted matching and matching under two-sided vertex arrivals, the state-of-the-art fractional algorithms outperform their randomized integral counterparts. This gap is…
Conformal prediction (CP) is a wrapper around traditional machine learning models, giving coverage guarantees under the sole assumption of exchangeability; in classification problems, for a chosen significance level $\varepsilon$, CP…
We uncover a fairly general principle in online learning: If regret can be (approximately) expressed as a function of certain "sufficient statistics" for the data sequence, then there exists a special Burkholder function that 1) can be used…
We study online learning problems in which a decision maker has to take a sequence of decisions subject to $m$ long-term constraints. The goal of the decision maker is to maximize their total reward, while at the same time achieving small…
Online learning algorithms have been successfully used to design caching policies with sublinear regret in the total number of requests, with no statistical assumption about the request sequence. Most existing algorithms involve…
In online learning an algorithm plays against an environment with losses possibly picked by an adversary at each round. The generality of this framework includes problems that are not adversarial, for example offline optimization, or saddle…
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…
We study the problem of online non-stochastic control (ONC), which is the control of a linear system under adversarial disturbances and adversarial cost functions, with the aim of minimizing the total cost incurred. A recent line of…
This study considers online learning with general directed feedback graphs. For this problem, we present best-of-both-worlds algorithms that achieve nearly tight regret bounds for adversarial environments as well as poly-logarithmic regret…
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…
Online structured prediction, including online classification as a special case, is the task of sequentially predicting labels from input features. In this setting, the surrogate regret -- the cumulative excess of the actual target loss…
Conformal Prediction (CP) is a popular uncertainty quantification method that provides distribution-free, statistically valid prediction sets, assuming that training and test data are exchangeable. In such a case, CP's prediction sets are…
Online learning is a powerful tool for analyzing iterative algorithms. However, the classic adversarial setup sometimes fails to capture certain regularity in online problems in practice. Motivated by this, we establish a new setup, called…
Centered around solving the Online Saddle Point problem, this paper introduces the Online Convex-Concave Optimization (OCCO) framework, which involves a sequence of two-player time-varying convex-concave games. We propose the generalized…
We propose \textbf{Temporal Conformal Prediction (TCP)}, a distribution-free framework for constructing well-calibrated prediction intervals in nonstationary time series. TCP couples a modern quantile forecaster with a rolling…
This paper investigates the challenges of optimal online policy learning under missing data. State-of-the-art algorithms implicitly assume that rewards are always observable. I show that when rewards are missing at random, the Upper…
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…
We present a unified framework for designing and analyzing algorithms for online budgeted allocation problems (including online matching) and their generalization, the Online Generalized Assignment Problem (OnGAP). These problems have been…