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Introduction to Online Convex Optimization
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This manuscript portrays optimization as a process. In many practical applications the environment is so complex that it is infeasible to lay out a comprehensive theoretical model and use classical algorithmic theory and mathematical optimization. It is necessary as well as beneficial to take a robust approach, by applying an optimization method that learns as one goes along, learning from experience as more aspects of the problem are observed. This view of optimization as a process has become prominent in varied fields and has led to some spectacular success in modeling and systems that are now part of our daily lives.
Forward citations
Cited by 6 Pith papers
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A Linearly Convergent Projection-Free Algorithm for Smooth Convex Sets
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Blackwell's Approachability with Approximation Algorithms
Blackwell approachability with approximation oracles for both players: the downward closure of α_X α_Y^{-1} S is efficiently approachable at rate O(1/sqrt(T)).
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Robust contextual pricing admits regret O(Cd + d² log T), the first bound that additively separates corruption budget C from horizon T.
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Lower Bound on the Cumulative Constrained Violation for the OGD+Projection algorithm for Constrained Online Convex Optimization (COCO)
OGD+Projection for constrained online convex optimization has cumulative constraint violation Ω(T^{(d-1)/(2d)}) in dimension d, the first lower bound of this form.
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Rethinking Pricing in Energy Markets: Pay-as-Bid vs Pay-as-Clear
A game-theoretic comparison shows pay-as-bid's worst-case equilibrium price is at most pay-as-clear's, with strict gains in generic instances.
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