Frontiers In Online Optimization

Session 1 (9/8): Mirror Descent and Online Convex Optimization. Scribe note; Video

References:

• Chapter 4, 5, 6 from "First Order Methods In Optimization" by Amir Beck

• Chapter 1,5 from "Online Convex Optimization" by Elad Hazan

Session 2 (9/15): Online Convex Optimization II. Scribe note; Video

References:

• Chapter 1,5 from "Online Convex Optimization" by Elad Hazan

Session 3 (9/22): Adaptive Gradient algorithms and Online Control. Scribe note; Video

References:

• Chap 1, 3, 5, 6 from "Online and Non-stochastic Control" by Elad Hazan

• HSZ17 Learning Linear Dynamical Systems via Spectral Filtering

• HLS+18 Spectral Filtering for General Linear Dynamical Systems

Session 4 (9/29): Online and Non-stochastic Control. Scribe note; Video

References:

• Chap 4, 7, 8 from "Online and Non-stochastic Control" by Elad Hazan

• Online Control with Adversarial Disturbances by Agarwal, Bullins, Hazan, Kakade, and Singh

• The Nonstochastic Control Problem by Hazan, Kakade, and Singh

• Improper Learning for Non-stochastic Control by Simchowitz, Singh, and Hazan

Session 5 (10/6): Connections to Mirror Backpressure. Scribe note; Video

References:

• Blind Dynamic Resource Allocation in Closed Networks via Mirror Backpressure by Y. Kanoria and Pengyu Qian

Session 6 (10/13): Blackwell approachability, MaxWeight from Blackwell approachability. Scribe note; Video

References:

• Learning and Information in Stochastic Networks and Queues by Neil Walton, Kuang Xu

Session 7 (10/20): Online algorithms with machine learning advice. Scribe note; Video

Presenters: Rachitesh Kumar, Aditya Bhaskara

References:

• Online Learning with Predictable Sequences by Rakhlin, and Sridharan

• Online Learning with Imperfect Hints by Bhaskara, Cutkosky, Kumar, and Purohit

Session 8 (11/3): Bandits with Knapsacks. Slides; Scribe; Video

Presenters: Alex Slivkins, Arpit Agrawal.

References:

• Bandits with Knapsacks by Badanidiyuru, Kleinberg, and Slivkins

• Adversarial Bandits with Knapsacks by Immorlica, Sankararaman, Schapire, and Slivkins

• Online Learning with Vector Costs and Bandits with Knapsacks by Kesselheim, and Singla

Session 9 (11/10): Optimization-friendly generic mechanisms & Compensated coupling. Scribe; Video

Presenters: Mark Braverman, Yilun Chen.

References:

• Optimization-friendly generic mechanisms without money by Mark Braverman

• The bayesian prophet: A low-regret framework for online decision making by Vera and Banerjee

• Online allocation and pricing: Constant regret via bellman inequalities by Vera, Banerjee and Gurvich

Session 10 (11/17): Compensated coupling II. Scribe; Video

Presenter: Yilun Chen.

References:

• The bayesian prophet: A low-regret framework for online decision making by Vera and Banerjee

• Online allocation and pricing: Constant regret via bellman inequalities by Vera, Banerjee and Gurvich

Session 11 (12/1): Stein's method. Notes; Video

Presenter: Siva Theja Maguluri.

References:

• Fundamentals of Stein’s method by Nathan Ross

• A short survey of Stein’s method by Sourav Chatterjee