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Online Optimization with Memory and Competitive Control

Shi, Guanya and Lin, Yiheng and Chung, Soon-Jo and Yue, Yisong and Wierman, Adam (2020) Online Optimization with Memory and Competitive Control. In: 34th Conference on Neural Information Processing Systems (NeurIPS 2020). Neural Information Processing Foundation , La Jolla, CA, pp. 1-12. ISBN 9781713829546. https://resolver.caltech.edu/CaltechAUTHORS:20221222-183256740

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Abstract

This paper presents competitive algorithms for a novel class of online optimization problems with memory. We consider a setting where the learner seeks to minimize the sum of a hitting cost and a switching cost that depends on the previous p decisions. This setting generalizes Smoothed Online Convex Optimization. The proposed approach, Optimistic Regularized Online Balanced Descent, achieves a constant, dimension-free competitive ratio. Further, we show a connection between online optimization with memory and online control with adversarial disturbances. This connection, in turn, leads to a new constant-competitive policy for a rich class of online control problems.


Item Type:Book Section
Related URLs:
URLURL TypeDescription
https://proceedings.neurips.cc/paper/2020/hash/ed46558a56a4a26b96a68738a0d28273-Abstract.htmlPublisherArticle
https://resolver.caltech.edu/CaltechAUTHORS:20200214-105606928Related ItemDiscussion Paper
ORCID:
AuthorORCID
Shi, Guanya0000-0002-9075-3705
Lin, Yiheng0000-0001-6524-2877
Chung, Soon-Jo0000-0002-6657-3907
Yue, Yisong0000-0001-9127-1989
Wierman, Adam0000-0002-5923-0199
Additional Information:This project was supported in part by funding from Raytheon, DARPA PAI, AitF-1637598 and CNS-1518941, with additional support for Guanya Shi provided by the Simoudis Discovery Prize. We see no ethical concerns related to the results in this paper.
Group:GALCIT
Funders:
Funding AgencyGrant Number
Raytheon CompanyUNSPECIFIED
Defense Advanced Research Projects Agency (DARPA)UNSPECIFIED
NSFCCF-1637598
NSFCNS-1518941
Simoudis Discovery PrizeUNSPECIFIED
Record Number:CaltechAUTHORS:20221222-183256740
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20221222-183256740
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:118582
Collection:CaltechAUTHORS
Deposited By: George Porter
Deposited On:22 Dec 2022 23:54
Last Modified:22 Dec 2022 23:54

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