Online learning with expert advice and finite-horizon constraints

  • Authors:
  • Branislav Kveton;Jia Yuan Yu;Georgios Theocharous;Shie Mannor

  • Affiliations:
  • Intel Research, Santa Clara, CA;Department of Electrical and Computer Engineering, McGill University;Intel Research, Santa Clara, CA;Department of Electrical and Computer Engineering, McGill University

  • Venue:
  • AAAI'08 Proceedings of the 23rd national conference on Artificial intelligence - Volume 1
  • Year:
  • 2008

Quantified Score

Hi-index 0.04

Visualization

Abstract

In this paper, we study a sequential decision making problem. The objective is to maximize the average reward accumulated over time subject to temporal cost constraints. The novelty of our setup is that the rewards and constraints are controlled by an adverse opponent. To solve our problem in a practical way, we propose an expert algorithm that guarantees both a vanishing regret and a sublinear number of violated constraints. The quality of this solution is demonstrated on a real-world power management problem. Our results support the hypothesis that online learning with convex cost constraints can be performed successfully in practice.