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

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

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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Cited in

(30)

• Online Convex Optimization With Binary Constraints
• Primal beats dual on online packing LPs in the random-order model
• Online Semidefinite Programming.
• Scalable and Jointly Differentially Private Packing
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• Fast and strong convergence of online learning algorithms
• Combinatorial multi-armed bandits with fairness constraints: an online convex optimization perspective
• Simple and fast algorithm for binary integer and online linear programming
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• Interior-point-based online stochastic bin packing
• Attenuate locally, win globally: attenuation-based frameworks for online stochastic matching with timeouts
• Online allocation and display ads optimization with surplus supply
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• Competitive online algorithms for resource allocation over the positive semidefinite cone
• Towards Better Statistical Understanding of Watermarking LLMs
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• Welfare maximization with production costs: a primal dual approach
• Introduction to Online Convex Optimization
• Online Linear Programming: Dual Convergence, New Algorithms, and Regret Bounds
• Configuration balancing for stochastic requests
• Autobidding with constraints
• Bandits with global convex constraints and objective
• Tractable equilibria in sponsored search with endogenous budgets
• Social welfare and profit maximization from revealed preferences
• An online convex optimization-based framework for convex bilevel optimization
• The average-value allocation problem
• Exploiting problem structure in optimization under uncertainty via online convex optimization
• Maximizing profit with convex costs in the random-order model
• A truthful near-optimal mechanism for online linear packing-covering problem in the random order model

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