Online Optimization with Memory and Competitive Control

This paper presents competitive algorithms for a novel class of online optimization problems with memory. We consider a setting where the learner seeks to minimize the sum of a hitting cost and a switching cost that depends on the previous p decisions. This setting generalizes Smoothed Online Convex Optimization. The proposed approach, Optimistic Regularized Online Balanced Descent, achieves a constant, dimension-free competitive ratio. Further, we show a connection between online optimization with memory and online control with adversarial disturbances. This connection, in turn, leads to a new constant-competitive policy for a rich class of online control problems

Online optimization of storage ring nonlinear beam dynamics

We propose to optimize the nonlinear beam dynamics of existing and future storage rings with direct online optimization techniques. This approach may have crucial importance for the implementation of diffraction limited storage rings. In this paper considerations and algorithms for the online optimization approach are discussed. We have applied this approach to experimentally improve the dynamic aperture of the SPEAR3 storage ring with the robust conjugate direction search method and the particle swarm optimization method. The dynamic aperture was improved by more than 5 mm within a short period of time. Experimental setup and results are presented

Highly-Smooth Zero-th Order Online Optimization Vianney Perchet

The minimization of convex functions which are only available through partial and noisy information is a key methodological problem in many disciplines. In this paper we consider convex optimization with noisy zero-th order information, that is noisy function evaluations at any desired point. We focus on problems with high degrees of smoothness, such as logistic regression. We show that as opposed to gradient-based algorithms, high-order smoothness may be used to improve estimation rates, with a precise dependence of our upper-bounds on the degree of smoothness. In particular, we show that for infinitely differentiable functions, we recover the same dependence on sample size as gradient-based algorithms, with an extra dimension-dependent factor. This is done for both convex and strongly-convex functions, with finite horizon and anytime algorithms. Finally, we also recover similar results in the online optimization setting.Comment: Conference on Learning Theory (COLT), Jun 2016, New York, United States. 201