Related papers: Regret Guarantees for Model-Free Cooperative Filte…

This letter studies the problem of online multi-step-ahead prediction for unknown linear stochastic systems. Using conditional distribution theory, we derive an optimal parameterization of the prediction policy as a linear function of…

In this paper, we propose a learning approach to analyze dynamic systems with asymmetric information structure. Instead of adopting a game theoretic setting, we investigate an online quadratic optimization problem driven by system noises…

We study online prediction for marginally stable, partially observed linear dynamical systems under nonstochastic disturbances. Our objective is to minimize the cumulative squared prediction loss and compete with the best-in-hindsight…

We present an algorithm guaranteeing dynamic regret bounds for online omniprediction with long term constraints. The goal in this recently introduced problem is for a learner to generate a sequence of predictions which are broadcast to a…

This paper presents early work aiming at the development of a new framework for the design and analysis of algorithms for online learning based prediction and control. Firstly, we consider the task of predicting values of a function or time…

This work focuses on the setting of dynamic regret in the context of online learning with full information. In particular, we analyze regret bounds with respect to the temporal variability of the loss functions. By assuming that the…

We study the problem of online learning and online regret minimization when samples are drawn from a general unknown non-stationary process. We introduce the concept of a dynamic changing process with cost $K$, where the conditional…

Recursive least-squares algorithms often use forgetting factors as a heuristic to adapt to non-stationary data streams. The first contribution of this paper rigorously characterizes the effect of forgetting factors for a class of online…

In the setting of online learning, Implicit algorithms turn out to be highly successful from a practical standpoint. However, the tightest regret analyses only show marginal improvements over Online Mirror Descent. In this work, we shed…

The regret bound of dynamic online learning algorithms is often expressed in terms of the variation in the function sequence ($V_T$) and/or the path-length of the minimizer sequence after $T$ rounds. For strongly convex and smooth…

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…

We consider the problem of online control of systems with time-varying linear dynamics. This is a general formulation that is motivated by the use of local linearization in control of nonlinear dynamical systems. To state meaningful…

The design of effective online caching policies is an increasingly important problem for content distribution networks, online social networks and edge computing services, among other areas. This paper proposes a new algorithmic toolbox for…

We study optimal regret bounds for control in linear dynamical systems under adversarially changing strongly convex cost functions, given the knowledge of transition dynamics. This includes several well studied and fundamental frameworks…

Projection-free online learning has drawn increasing interest due to its efficiency in solving high-dimensional problems with complicated constraints. However, most existing projection-free online methods focus on minimizing the static…

Non-stationary online learning has drawn much attention in recent years. In particular, dynamic regret and adaptive regret are proposed as two principled performance measures for online convex optimization in non-stationary environments. To…

Policy design in non-stationary Markov Decision Processes (MDPs) is inherently challenging due to the complexities introduced by time-varying system transition and reward, which make it difficult for learners to determine the optimal…

Regret minimization is treated as the golden rule in the traditional study of online learning. However, regret minimization algorithms tend to converge to the static optimum, thus being suboptimal for changing environments. To address this…

We consider the problem of online prediction for an unknown, non-explosive linear stochastic system. With a known system model, the optimal predictor is the celebrated Kalman filter. In the case of unknown systems, existing approaches based…

This work studies the problem of sequential control in an unknown, nonlinear dynamical system, where we model the underlying system dynamics as an unknown function in a known Reproducing Kernel Hilbert Space. This framework yields a general…