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A Low Complexity Algorithm with $O(\sqrt{T})$ Regret and Finite Constraint Violations for Online Convex Optimization with Long Term Constraints

arXiv.org Machine Learning

This paper considers online convex optimization over a complicated constraint set, which typically consists of multiple functional constraints and a set constraint. The conventional projection based online projection algorithm (Zinkevich, 2003) can be difficult to implement due to the potentially high computation complexity of the projection operation. In this paper, we relax the functional constraints by allowing them to be violated at each round but still requiring them to be satisfied in the long term. This type of relaxed online convex optimization (with long term constraints) was first considered in Mahdavi et al. (2012). That prior work proposes an algorithm to achieve $O(\sqrt{T})$ regret and $O(T^{3/4})$ constraint violations for general problems and another algorithm to achieve an $O(T^{2/3})$ bound for both regret and constraint violations when the constraint set can be described by a finite number of linear constraints. A recent extension in Jenatton et al. (2016) can achieve $O(T^{\max\{\beta,1-\beta\}})$ regret and $O(T^{1-\beta/2})$ constraint violations where $\beta\in (0,1)$. The current paper proposes a new simple algorithm that yields improved performance in comparison to prior works. The new algorithm achieves an $O(\sqrt{T})$ regret bound with finite constraint violations.


Online Convex Optimization with Stochastic Constraints

arXiv.org Machine Learning

This paper considers online convex optimization (OCO) with stochastic constraints, which generalizes Zinkevich's OCO over a known simple fixed set by introducing multiple stochastic functional constraints that are i.i.d. generated at each round and are disclosed to the decision maker only after the decision is made. This formulation arises naturally when decisions are restricted by stochastic environments or deterministic environments with noisy observations. It also includes many important problems as special cases, such as OCO with long term constraints, stochastic constrained convex optimization, and deterministic constrained convex optimization. To solve this problem, this paper proposes a new algorithm that achieves $O(\sqrt{T})$ expected regret and constraint violations and $O(\sqrt{T}\log(T))$ high probability regret and constraint violations. Experiments on a real-world data center scheduling problem further verify the performance of the new algorithm.


Online Convex Optimization with Stochastic Constraints

Neural Information Processing Systems

This paper considers online convex optimization (OCO) with stochastic constraints, which generalizes Zinkevich's OCO over a known simple fixed set by introducing multiple stochastic functional constraints that are i.i.d. generated at each round and are disclosed to the decision maker only after the decision is made. This formulation arises naturally when decisions are restricted by stochastic environments or deterministic environments with noisy observations. It also includes many important problems as special case, such as OCO with long term constraints, stochastic constrained convex optimization, and deterministic constrained convex optimization. To solve this problem, this paper proposes a new algorithm that achieves $O(\sqrt{T})$ expected regret and constraint violations and $O(\sqrt{T}\log(T))$ high probability regret and constraint violations. Experiments on a real-world data center scheduling problem further verify the performance of the new algorithm.


Online convex optimization for cumulative constraints

Neural Information Processing Systems

We propose the algorithms for online convex optimization which lead to cumulative squared constraint violations of the form $\sum\limits_{t=1}^T\big([g(x_t)]_+\big)^2=O(T^{1-\beta})$, where $\beta\in(0,1)$. Previous literature has focused on long-term constraints of the form $\sum\limits_{t=1}^Tg(x_t)$. There, strictly feasible solutions can cancel out the effects of violated constraints. In contrast, the new form heavily penalizes large constraint violations and cancellation effects cannot occur. Furthermore, useful bounds on the single step constraint violation $[g(x_t)]_+$ are derived. For convex objectives, our regret bounds generalize existing bounds, and for strongly convex objectives we give improved regret bounds. In numerical experiments, we show that our algorithm closely follows the constraint boundary leading to low cumulative violation.


Distributed Convex Optimization with Many Convex Constraints

arXiv.org Machine Learning

We address the problem of solving convex optimization problems with many convex constraints in a distributed setting. Our approach is based on an extension of the alternating direction method of multipliers (ADMM) that recently gained a lot of attention in the Big Data context. Although it has been invented decades ago, ADMM so far can be applied only to unconstrained problems and problems with linear equality or inequality constraints. Our extension can handle arbitrary inequality constraints directly. It combines the ability of ADMM to solve convex optimization problems in a distributed setting with the ability of the Augmented Lagrangian method to solve constrained optimization problems, and as we show, it inherits the convergence guarantees of ADMM and the Augmented Lagrangian method.