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OnlineConvexOptimization withContinuousSwitchingConstraint
In many sequential decision making applications, the change of decision would bring an additional cost, such as the wear-and-tear cost associated with changing server status. To control the switching cost, we introduce the problem of online convex optimization with continuous switching constraint, where the goal is to achieve a small regret given a budget on the overall switching cost. We first investigate the hardness of the problem, and provide a lower bound of orderΩ( T)whentheswitchingcostbudgetS = Ω( T),andΩ(min{T/S,T}) whenS = O( T), where T is the time horizon. The essential idea is to carefully design an adaptive adversary, who can adjust the loss function according to thecumulative switchingcostofthe playerincurredso farbasedonthe orthogonal technique. We then develop a simple gradient-based algorithm which enjoys the minimax optimal regret bound.
Information-TheoreticSafeExplorationwith GaussianProcesses
Acommon approach istoplace aGaussian process prior on the unknown constraint and allowevaluations only inregions that are safe with high probability. Most current methods rely on a discretization of the domain and cannot be directly extended to the continuous case. Moreover, the way in which they exploit regularity assumptions about the constraint introduces an additional critical hyperparameter.