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How the Experts Algorithm Can Help Solve LPs Online
We consider the problem of solving packing/covering LPs online, when the
columns of the constraint matrix are presented in random order. This problem
has received much attention and the main focus is to figure out how large the
right-hand sides of the LPs have to be (compared to the entries on the
left-hand side of the constraints) to allow -approximations
online. It is known that the right-hand sides have to be times the left-hand sides, where is the number of constraints.
In this paper we give a primal-dual algorithm that achieve this bound for
mixed packing/covering LPs. Our algorithms construct dual solutions using a
regret-minimizing online learning algorithm in a black-box fashion, and use
them to construct primal solutions. The adversarial guarantee that holds for
the constructed duals helps us to take care of most of the correlations that
arise in the algorithm; the remaining correlations are handled via martingale
concentration and maximal inequalities. These ideas lead to conceptually simple
and modular algorithms, which we hope will be useful in other contexts.Comment: An extended abstract appears in the 22nd European Symposium on
Algorithms (ESA 2014
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