TY - GEN
T1 - Impact of Delays on Constrained Online Convex Optimization
AU - Cao, Xuanyu
AU - Zhang, Junshan
AU - Poor, H. Vincent
N1 - Funding Information:
This research was supported in part by the Army Research Office under Grant W911NF-16-1-0448 and in part by the Defense Threat Reduction Agency under Grant HDTRA1-13-1-0029.
Publisher Copyright:
© 2019 IEEE.
PY - 2019/11
Y1 - 2019/11
N2 - In this paper, we study constrained online convex optimization (OCO) in the presence of feedback delays. The loss/constraint functions vary with time and their feedback information is revealed to the decision maker with delays, which arise naturally in many applications due to the latency associated with computation and communication. The effects of delays are not captured by standard OCO, where feedback information is disclosed to the decision maker immediately after a decision is made. We develop a modified online saddle point algorithm for constrained OCO with feedback delays. Sublinear regret and sublinear constraint violation bounds are established for the proposed algorithm and the impact of delays on the performance of the algorithm is highlighted.
AB - In this paper, we study constrained online convex optimization (OCO) in the presence of feedback delays. The loss/constraint functions vary with time and their feedback information is revealed to the decision maker with delays, which arise naturally in many applications due to the latency associated with computation and communication. The effects of delays are not captured by standard OCO, where feedback information is disclosed to the decision maker immediately after a decision is made. We develop a modified online saddle point algorithm for constrained OCO with feedback delays. Sublinear regret and sublinear constraint violation bounds are established for the proposed algorithm and the impact of delays on the performance of the algorithm is highlighted.
KW - Online convex optimization
KW - constrained optimization
KW - feedback delay
UR - http://www.scopus.com/inward/record.url?scp=85083329102&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85083329102&partnerID=8YFLogxK
U2 - 10.1109/IEEECONF44664.2019.9048958
DO - 10.1109/IEEECONF44664.2019.9048958
M3 - Conference contribution
AN - SCOPUS:85083329102
T3 - Conference Record - Asilomar Conference on Signals, Systems and Computers
SP - 1578
EP - 1581
BT - Conference Record - 53rd Asilomar Conference on Circuits, Systems and Computers, ACSSC 2019
A2 - Matthews, Michael B.
PB - IEEE Computer Society
T2 - 53rd Asilomar Conference on Circuits, Systems and Computers, ACSSC 2019
Y2 - 3 November 2019 through 6 November 2019
ER -