Online Convex Optimization with Predictions

Static and Dynamic Environments

Master thesis (2020)

Authors

P. Zattoni Scroccaro Mechanical Engineering

Contributors

P. Mohajerin Esfahani Team Tamas Keviczky - Mechanical, Maritime and Materials Engineering (mentor)
S. Grammatico Team Bart De Schutter - Mechanical, Maritime and Materials Engineering (graduation committee member)
B. Atasoy Transport Engineering and Logistics - Mechanical, Maritime and Materials Engineering (graduation committee member)
Arman Sharifi K. Team Tamas Keviczky - Mechanical, Maritime and Materials Engineering (graduation committee member)
Faculty
Mechanical Engineering, Mechanical Engineering
Copyright: © 2020 Pedro Zattoni Scroccaro
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Published Date

21-09-2020

Language

English

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Faculty

Mechanical Engineering

Abstract

In this thesis, we study Online Convex Optimization algorithms that exploit predictive and/or dynamical information about a problem instance. These features are inspired by recent developments in the Online Mirror Decent literature. When the Player's performance is compared with the best fixed decision in hindsight, we show that it is possible to achieve constant regret bounds under perfect gradient predictions and optimal minimax bounds in the worst-case, generalizing previous results from the literature. For dynamic environments, we propose a new algorithm, and show that it achieves dynamic regret bounds that exploit both gradient predictions and knowledge about the dynamics of the action sequence that the Player's performance is being compared with. We present results for both convex and strongly convex costs. Finally, we provide numerical experiments that corroborate our theoretical results.