951 research outputs found
Shifting Regret, Mirror Descent, and Matrices
We consider the problem of online prediction in changing environments. In this framework the performance of a predictor is evaluated as the loss relative to an arbitrarily changing predictor, whose individual components come from a base class of predictors. Typical results in the literature consider different base classes (experts, linear predictors on the simplex, etc.) separately. Introducing an arbitrary mapping inside the mirror decent algorithm, we provide a framework that unifies and extends existing results. As an example, we prove new shifting regret bounds for matrix prediction problems
Stochastic Optimization of PCA with Capped MSG
We study PCA as a stochastic optimization problem and propose a novel
stochastic approximation algorithm which we refer to as "Matrix Stochastic
Gradient" (MSG), as well as a practical variant, Capped MSG. We study the
method both theoretically and empirically
Adaptive Power Allocation and Control in Time-Varying Multi-Carrier MIMO Networks
In this paper, we examine the fundamental trade-off between radiated power
and achieved throughput in wireless multi-carrier, multiple-input and
multiple-output (MIMO) systems that vary with time in an unpredictable fashion
(e.g. due to changes in the wireless medium or the users' QoS requirements).
Contrary to the static/stationary channel regime, there is no optimal power
allocation profile to target (either static or in the mean), so the system's
users must adapt to changes in the environment "on the fly", without being able
to predict the system's evolution ahead of time. In this dynamic context, we
formulate the users' power/throughput trade-off as an online optimization
problem and we provide a matrix exponential learning algorithm that leads to no
regret - i.e. the proposed transmit policy is asymptotically optimal in
hindsight, irrespective of how the system evolves over time. Furthermore, we
also examine the robustness of the proposed algorithm under imperfect channel
state information (CSI) and we show that it retains its regret minimization
properties under very mild conditions on the measurement noise statistics. As a
result, users are able to track the evolution of their individually optimum
transmit profiles remarkably well, even under rapidly changing network
conditions and high uncertainty. Our theoretical analysis is validated by
extensive numerical simulations corresponding to a realistic network deployment
and providing further insights in the practical implementation aspects of the
proposed algorithm.Comment: 25 pages, 4 figure
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