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Title: Expert-Calibrated Learning for Online Optimization with Switching Costs
We study online convex optimization with switching costs, a practically important but also extremely challenging problem due to the lack of complete offline information. By tapping into the power of machine learning (ML) based optimizers, ML-augmented online algorithms (also referred to as expert calibration in this paper) have been emerging as state of the art, with provable worst-case performance guarantees. Nonetheless, by using the standard practice of training an ML model as a standalone optimizer and plugging it into an ML-augmented algorithm, the average cost performance can be highly unsatisfactory. In order to address the how to learn challenge, we propose EC-L2O (expert-calibrated learning to optimize), which trains an ML-based optimizer by explicitly taking into account the downstream expert calibrator. To accomplish this, we propose a new differentiable expert calibrator that generalizes regularized online balanced descent and offers a provably better competitive ratio than pure ML predictions when the prediction error is large. For training, our loss function is a weighted sum of two different losses --- one minimizing the average ML prediction error for better robustness, and the other one minimizing the post-calibration average cost. We also provide theoretical analysis for EC-L2O, highlighting that expert calibration can be even beneficial for the average cost performance and that the high-percentile tail ratio of the cost achieved by EC-L2O to that of the offline optimal oracle (i.e., tail cost ratio) can be bounded. Finally, we test EC-L2O by running simulations for sustainable datacenter demand response. Our results demonstrate that EC-L2O can empirically achieve a lower average cost as well as a lower competitive ratio than the existing baseline algorithms.  more » « less
Award ID(s):
2007115 1551661
PAR ID:
10601239
Author(s) / Creator(s):
 ;  ;  
Publisher / Repository:
Association for Computing Machinery (ACM)
Date Published:
Journal Name:
Proceedings of the ACM on Measurement and Analysis of Computing Systems
Volume:
6
Issue:
2
ISSN:
2476-1249
Format(s):
Medium: X Size: p. 1-35
Size(s):
p. 1-35
Sponsoring Org:
National Science Foundation
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