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Nonsmooth Projection-Free Optimization with Functional Constraints
Nov 18, 2023
This paper presents a subgradient-based algorithm for constrained nonsmooth convex optimization that does not require projections onto the feasible set. While the well-established Frank-Wolfe algorithm and its variants already avoid projections, they are primarily designed for smooth objective functions. In contrast, our proposed algorithm can handle nonsmooth problems with general convex functional inequality constraints. It achieves an $\epsilon$-suboptimal solution in $\mathcal{O}(\epsilon^{-2})$ iterations, with each iteration requiring only a single (potentially inexact) Linear Minimization Oracle (LMO) call and a (possibly inexact) subgradient computation. This performance is consistent with existing lower bounds. Similar performance is observed when deterministic subgradients are replaced with stochastic subgradients. In the special case where there are no functional inequality constraints, our algorithm competes favorably with a recent nonsmooth projection-free method designed for constraint-free problems. Our approach utilizes a simple separation scheme in conjunction with a new Lagrange multiplier update rule.
Fast Learning for Renewal Optimization in Online Task Scheduling
Jul 18, 2020
This paper considers online optimization of a renewal-reward system. A controller performs a sequence of tasks back-to-back. Each task has a random vector of parameters, called the task type vector, that affects the task processing options and also affects the resulting reward and time duration of the task. The probability distribution for the task type vector is unknown and the controller must learn to make efficient decisions so that time average reward converges to optimality. Prior work on such renewal optimization problems leaves open the question of optimal convergence time. This paper develops an algorithm with an optimality gap that decays like $O(1/\sqrt{k})$, where $k$ is the number of tasks processed. The same algorithm is shown to have faster $O(\log(k)/k)$ performance when the system satisfies a strong concavity property. The proposed algorithm uses an auxiliary variable that is updated according to a classic Robbins-Monro iteration. It makes online scheduling decisions at the start of each renewal frame based on this variable and on the observed task type. A matching converse is obtained for the strongly concave case by constructing an example system for which all algorithms have performance at best $\Omega(\log(k)/k)$. A matching $\Omega(1/\sqrt{k})$ converse is also shown for the general case without strong concavity.
Online Convex Optimization with Stochastic Constraints
Aug 12, 2017
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.
A Low Complexity Algorithm with $O(\sqrt{T})$ Regret and Finite Constraint Violations for Online Convex Optimization with Long Term Constraints
Oct 05, 2016
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.