Data assimilation and online optimization with performance guarantees
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Publication:6312840
DOI10.1109/TAC.2020.3005681arXiv1901.07377MaRDI QIDQ6312840FDOQ6312840
Publication date: 17 January 2019
Abstract: This paper considers a class of real-time stochastic optimization problems dependent on an unknown probability distribution. In the considered scenario, data is streaming frequently while trying to reach a decision. Thus, we aim to devise a procedure that incorporates samples (data) of the distribution sequentially and adjusts decisions accordingly. We approach this problem in a distributionally robust optimization framework and propose a novel Online Data Assimilation Algorithm (ONDA Algorithm) for this purpose. This algorithm guarantees out-of-sample performance of decisions with high probability, and gradually improves the quality of the decisions by incorporating the streaming data. We show that the ONDA Algorithm converges under a sufficiently slow data streaming rate, and provide a criteria for its termination after certain number of data have been collected. Simulations illustrate the results.
Convex programming (90C25) Online algorithms; streaming algorithms (68W27) Optimal stochastic control (93E20)
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