Linear programming with online learning

Authors:
Tatsiana Levina;Yuri Levin;Jeff Mcgill;Mikhail Nediak
Affiliations:
-;-;-;-
Venue:
Operations Research Letters
Year:
2007

Citing 8
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Abstract

We propose online decision strategies for time-dependent sequences of linear programs which use no distributional and minimal geometric assumptions about the data. These strategies are obtained through Vovk's aggregating algorithm which combines recommendations from a given strategy pool. We establish an average-performance bound for the resulting solution sequence.