We study an online saddle point problem where at each iteration a pair of actions need to be chosen without knowledge of the future (convex-concave) payoff functions. The objective is to minimize the gap between the cumulative payoffs and the saddle point value of the aggregate payoff function, which we measure using a metric called "SP-regret". The problem generalizes the online convex optimization framework and can be interpreted as finding the Nash equilibrium for the aggregate of a sequence of two-player zero-sum games. We propose an algorithm that achieves $\tilde{O}(\sqrt{T})$ SP-regret in the general case, and $O(\log T)$ SP-regret for the strongly convex-concave case. We then consider a constrained online convex optimization problem motivated by a variety of applications in dynamic pricing, auctions, and crowdsourcing. We relate this problem to an online saddle point problem and establish $O(\sqrt{T})$ regret using a primal-dual algorithm.

Conventional embedding methods directly associate each symbol with a continuous embedding vector, which is equivalent to applying a linear transformation based on a "one-hot" encoding of the discrete symbols. Despite its simplicity, such approach yields the number of parameters that grows linearly with the vocabulary size and can lead to overfitting. In this work, we propose a much more compact K-way D-dimensional discrete encoding scheme to replace the "one-hot" encoding. In the proposed "KD encoding", each symbol is represented by a $D$-dimensional code with a cardinality of $K$, and the final symbol embedding vector is generated by composing the code embedding vectors. To end-to-end learn semantically meaningful codes, we derive a relaxed discrete optimization approach based on stochastic gradient descent, which can be generally applied to any differentiable computational graph with an embedding layer. In our experiments with various applications from natural language processing to graph convolutional networks, the total size of the embedding layer can be reduced up to 98\% while achieving similar or better performance.

We consider fractional hedonic games, a subclass of coalition formation games that can be succinctly modeled by means of a graph in which nodes represent agents and edge weights the degree of preference of the corresponding endpoints. The happiness or utility of an agent for being in a coalition is the average value she ascribes to its members. We adopt Nash stable outcomes as the target solution concept; that is we focus on states in which no agent can improve her utility by unilaterally changing her own group. We provide existence, efficiency and complexity results for games played on both general and specific graph topologies. As to the efficiency results, we mainly study the quality of the best Nash stable outcome and refer to the ratio between the social welfare of an optimal coalition structure and the one of such an equilibrium as to the price of stability. In this respect, we remark that a best Nash stable outcome has a natural meaning of stability, since it is the optimal solution among the ones which can be accepted by selfish agents. We provide upper and lower bounds on the price of stability for different topologies, both in case of weighted and unweighted edges. Beside the results for general graphs, we give refined bounds for various specific cases, such as triangle-free, bipartite graphs and tree graphs. For these families, we also show how to efficiently compute Nash stable outcomes with provable good social welfare.

Last-mile transportation (LMT) refers to any service that moves passengers from a hub of mass transportation (MT), such as air, boat, bus, or train, to destinations, such as a home or an office. In this paper, we introduce the problem of scheduling passengers jointly on MT and LMT services, with passengers sharing a car, van, or autonomous pod of limited capacity for LMT. Passenger itineraries are determined so as to minimize total transit time for all passengers, with each passenger arriving at the destination within a specified time window. The transit time includes the time spent traveling through both services and, possibly, waiting time for transferring between the services. We provide an integer linear programming (ILP) formulation for this problem. Since the ILMTP, is NP-hard and problem instances of practical size are often difficult to solve, we study a restricted version where MT trips are uniform, all passengers have time windows of a common size, and LMT vehicles visit one destination per trip. We prove that there is an optimal solution that sorts and groups passengers by their deadlines and, based on this result, we propose a constructive grouping heuristic and local search operators to generate high-quality solutions. The resulting groups are optimally scheduled in a few seconds using another ILP formulation. Numerical results indicate that the solutions obtained by this heuristic are often close to optimal %, even when multiple destinations are allowed per group, and that warm-starting the ILP solver with such solutions decreases the overall computational times significantly.

Enforcing safety is a key aspect of many problems pertaining to sequential decision making under uncertainty, which require the decisions made at every step to be both informative of the optimal decision and also safe. For example, we value both efficacy and comfort in medical therapy, and efficiency and safety in robotic control. We consider this problem of optimizing an unknown utility function with absolute feedback or preference feedback subject to unknown safety constraints. We develop an efficient safe Bayesian optimization algorithm, StageOpt, that separates safe region expansion and utility function maximization into two distinct stages. Compared to existing approaches which interleave between expansion and optimization, we show that StageOpt is more efficient and naturally applicable to a broader class of problems. We provide theoretical guarantees for both the satisfaction of safety constraints as well as convergence to the optimal utility value. We evaluate StageOpt on both a variety of synthetic experiments, as well as in clinical practice. We demonstrate that StageOpt is more effective than existing safe optimization approaches, and is able to safely and effectively optimize spinal cord stimulation therapy in our clinical experiments.

We present safe active incremental f eature selection (SAIF) to scale up the computation of LASSO solutions. SAIF does not require a solution from a heavier penalty parameter as in sequential screening or updating the full model for each iteration as in dynamic screening. Different from these existing screening methods, SAIF starts from a small number of features and incrementally recruits active features and updates the significantly reduced model. Hence, it is much more computationally efficient and scalable with the number of features. More critically, SAIF has the safe guarantee as it has the convergence guarantee to the optimal solution to the original full LASSO problem. Such an incremental procedure and theoretical convergence guarantee can be extended to fused LASSO problems. Compared with state-of-the-art screening methods as well as working set and homotopy methods, which may not always guarantee the optimal solution, SAIF can achieve superior or comparable efficiency and high scalability with the safe guarantee when facing extremely high dimensional data sets. Experiments with both synthetic and real-world data sets show that SAIF can be up to 50 times faster than dynamic screening, and hundreds of times faster than computing LASSO or fused LASSO solutions without screening.

This survey presents the main results achieved for the influence maximization problem in social networks. This problem is well studied in the literature and, thanks to its recent applications, some of which currently deployed on the field, it is receiving more and more attention in the scientific community. The problem can be formulated as follows: given a graph, with each node having a certain probability of influencing its neighbors, select a subset of vertices so that the number of nodes in the network that are influenced is maximized. Starting from this model, we introduce the main theoretical developments and computational results that have been achieved, taking into account different diffusion models describing how the information spreads throughout the network, various ways in which the sources of information could be placed, and how to tackle the problem in the presence of uncertainties affecting the network. Finally, we present one of the main application that has been developed and deployed exploiting tools and techniques previously discussed.

When we don't have p_data but a finite training set, we have a ML problem. The latter can be converted back to an optimization problem by replacing p_data with the empirical distribution with p _data obtained from the training set, thereby reducing the empirical risk. Although this might look relatively similar to optimization, there are two main problems. Firstly, ERM is prone to overfitting with the possibility of the dataset being learned by high capacity models (models with the ability to learn extremely complex functions). Secondly, ERM might not be feasible.

Asynchronous computation and gradient compression have emerged as two key techniques for achieving scalability in distributed optimization for large-scale machine learning. This paper presents a unified analysis framework for distributed gradient methods operating with staled and compressed gradients. Non-asymptotic bounds on convergence rates and information exchange are derived for several optimization algorithms. These bounds give explicit expressions for step-sizes and characterize how the amount of asynchrony and the compression accuracy affect iteration and communication complexity guarantees. Numerical results highlight convergence properties of different gradient compression algorithms and confirm that fast convergence under limited information exchange is indeed possible.

We aim to create the highest possible quality of treatment-control matches for categorical data in the potential outcomes framework. Matching methods are heavily used in the social sciences due to their interpretability, but most matching methods in the past do not pass basic sanity checks in that they fail when irrelevant variables are introduced. Also, past methods tend to be either computationally slow or produce poor matches. The method proposed in this work aims to match units on a weighted Hamming distance, taking into account the relative importance of the covariates; the algorithm aims to match units on as many relevant variables as possible. To do this, the algorithm creates a hierarchy of covariate combinations on which to match (similar to downward closure), in the process solving an optimization problem for each unit in order to construct the optimal matches. The algorithm uses a single dynamic program to solve all of optimization problems simultaneously. Notable advantages of our method over existing matching procedures are its high-quality matches, versatility in handling different data distributions that may have irrelevant variables, and ability to handle missing data by matching on as many available covariates as possible