Online Convex Optimization with Perturbed Constraints

MaRDI QIDQ6319752zbMATH OpenFDO

Authors Víctor Valls, George Iosifidis, Douglas J. Leith, Leandros Tassiulas

Publication date 31 May 2019

Abstract: 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 can be used to model a time-varying budget or commodity in resource allocation problems. The problem is to design a policy that obtains sublinear regret while ensuring that the constraints are satisfied on average. To solve this problem, we present a primal-dual proximal gradient algorithm that has $O(T^{e}psilonvee{T}^{1-epsilon})$ regret and $O(T^{e}psilon)$ constraint violation, where $epsilonin[0,1)$ is a parameter in the learning rate. Our results match the bounds of previous work on OCO with time-varying constraints when $epsilon=1/2$; however, we (i) define the regret using a time-varying set of best fixed decisions; (ii) can balance between regret and constraint violation; and (iii) use an adaptive learning rate that allows us to run the algorithm for any time horizon.

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