Fast algorithms for online stochastic convex programming

DOI10.1137/1.9781611973730.93MaRDI QIDQ5363008zbMATH OpenOpenAlexFDO

Authors Shipra Agrawal, Nikhil R. Devanur

Publication date 5 October 2017

Published in Proceedings of the Twenty-Sixth Annual ACM-SIAM Symposium on Discrete Algorithms (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1410.7596

Mathematics Subject Classification ID

Online algorithms; streaming algorithms (68W27) Stochastic programming (90C15) Convex programming (90C25)

Abstract: We introduce the online stochastic Convex Programming (CP) problem, a very general version of stochastic online problems which allows arbitrary concave objectives and convex feasibility constraints. Many well-studied problems like online stochastic packing and covering, online stochastic matching with concave returns, etc. form a special case of online stochastic CP. We present fast algorithms for these problems, which achieve near-optimal regret guarantees for both the i.i.d. and the random permutation models of stochastic inputs. When applied to the special case online packing, our ideas yield a simpler and faster primal-dual algorithm for this well studied problem, which achieves the optimal competitive ratio. Our techniques make explicit the connection of primal-dual paradigm and online learning to online stochastic CP.

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