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1. Parameter-Free Online Convex Optimization with Sub-Exponential Noise

   Jun, Kwang-Sung; Orabona, Francesco (June 2019, Proceedings of the Thirty-Second Conference on Learning Theory)

   Abstract We consider the problem of unconstrained online convex optimization (OCO) with sub- exponential noise, a strictly more general problem than the standard OCO. In this setting, the learner receives a subgradient of the loss functions corrupted by sub-exponential noise and strives to achieve optimal regret guarantee, without knowledge of the competitor norm, i.e., in a parameter-free way. Recently, Cutkosky and Boahen (COLT 2017) proved that, given unbounded subgradients, it is impossible to guarantee a sublinear regret due to an exponential penalty. This paper shows that it is possible to go around the lower bound by allowing the observed subgradients to be unbounded via stochastic noise. However, the presence of unbounded noise in unconstrained OCO is challenging; existing algorithms do not provide near-optimal regret bounds or fail to have a guarantee. So, we design a novel parameter-free OCO algorithm for Banach space, which we call BANCO, via a reduction to betting on noisy coins. We show that BANCO achieves the optimal regret rate in our problem. Finally, we show the application of our results to obtain a parameter-free locally private stochastic subgradient descent algorithm, and the connection to the law of iterated logarithms. 

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2. Online Continuous DR-Submodular Maximization with Long-Term Budget Constraints

   Sadeghi, Omid; Fazel, Maryam (August 2020, Proceedings of Machine Learning Research)

   In this paper, we study a class of online optimization problems with long-term budget constraints where the objective functions are not necessarily concave (nor convex), but they instead satisfy the Diminishing Returns (DR) property. In this online setting, a sequence of monotone DR-submodular objective functions and linear budget functions arrive over time and assuming a limited total budget, the goal is to take actions at each time, before observing the utility and budget function arriving at that round, to achieve sub-linear regret bound while the total budget violation is sub-linear as well. Prior work has shown that achieving sub-linear regret and total budget violation simultaneously is impossible if the utility and budget functions are chosen adversarially. Therefore, we modify the notion of regret by comparing the agent against the best fixed decision in hindsight which satisfies the budget constraint proportionally over any window of length W. We propose the Online Saddle Point Hybrid Gradient (OSPHG) algorithm to solve this class of online problems. For W = T, we recover the aforementioned impossibility result. However, if W is sublinear in T, we show that it is possible to obtain sub-linear bounds for both the regret and the total budget violation. 

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3. Structured Robust Submodular Maximization: Offline and Online Algorithms

   https://doi.org/10.1287/ijoc.2020.0998  

   Torrico, Alfredo; Singh, Mohit; Pokutta, Sebastian; Haghtalab, Nika; Naor, Joseph; Anari, Nima (October 2021, INFORMS Journal on Computing)

   Constrained submodular function maximization has been used in subset selection problems such as selection of most informative sensor locations. Although these models have been quite popular, the solutions obtained via this approach are unstable to perturbations in data defining the submodular functions. Robust submodular maximization has been proposed as a richer model that aims to overcome this discrepancy as well as increase the modeling scope of submodular optimization. In this work, we consider robust submodular maximization with structured combinatorial constraints and give efficient algorithms with provable guarantees. Our approach is applicable to constraints defined by single or multiple matroids and knapsack as well as distributionally robust criteria. We consider both the offline setting where the data defining the problem are known in advance and the online setting where the input data are revealed over time. For the offline setting, we give a general (nearly) optimal bicriteria approximation algorithm that relies on new extensions of classical algorithms for submodular maximization. For the online version of the problem, we give an algorithm that returns a bicriteria solution with sublinear regret. Summary of Contribution: Constrained submodular maximization is one of the core areas in combinatorial optimization with a wide variety of applications in operations research and computer science. Over the last decades, both communities have been interested on the design and analysis of new algorithms with provable guarantees. Sensor location, influence maximization and data summarization are some of the applications of submodular optimization that lie at the intersection of the aforementioned communities. Particularly, our work focuses on optimizing several submodular functions simultaneously. We provide new insights and algorithms to the offline and online variants of the problem which significantly expand the related literature. At the same time, we provide a computational study that supports our theoretical results. 

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4. Structured Robust Submodular Maximization: Offline and Online Algorithms

   Anari, N; Haghtalab, N.; Naor, S; Pokutta, S.; Singh, M.; Torrico, A. (May 2019, 22nd International Conference on Artificial Intelligence and Statistics (AISTATS) 2019)

   Constrained submodular function maximization has been used in subset selection problems such as selection of most informative sensor locations. While these models have been quite popular, the solutions obtained via this approach are unstable to perturbations in data defining the submodular functions. Robust submodular maximization has been proposed as a richer model that aims to overcome this discrepancy as well as increase the modeling scope of submodular optimization. In this work, we consider robust submodular maximization with structured combinatorial constraints and give efficient algorithms with provable guarantees. Our approach is applicable to constraints defined by single or multiple matroids, knapsack as well as distributionally robust criteria. We consider both the offline setting where the data defining the problem is known in advance as well as the online setting where the input data is revealed over time. For the offline setting, we give a nearly optimal bi-criteria approximation algorithm that relies on new extensions of the classical greedy algorithm. For the online version of the problem, we give an algorithm that returns a bi-criteria solution with sub-linear regret. 

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5. An Optimal Learning Algorithm for Online Unconstrained Submodular Maximization

   Roughgarden, Tim; Wang, Joshua R. (July 2018, 31st Annual Conference on Learning Theory (COLT))

   This paper considers a basic problem at the interface of submodular optimization and online learning. In the online unconstrained submodular maximization problem, there is a universe [n] = {1, 2, . . . , n} and a sequence of T nonnegative (not necessarily monotone) submodular functions arrive over time. The goal is to design a computationally efficient online algorithm, which chooses a subset of [n] at each time step as a function only of the past, such that the accumulated value of the chosen subsets is as close as possible to the maximum total value of a fixed subset in hindsight. Our main result is a polynomial time no-1/2-regret algorithm for this problem, meaning that for every sequence of nonnegative submodular functions, the algorithm’s expected total value is at least 1/2 times that of the best subset in hindsight, up to an error term sublinear in T. The factor of 1/2 cannot be improved upon by any polynomial-time online algorithm when the submodular functions are presented as value oracles. 

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