Robust Online Mirror Saddle-Point Method for Constrained Resource Allocation

Abstract

Online-learning literature has focused on designing algorithms that ensure sub-linear growth of the cumulative long-term constraint violations. The drawback of this guarantee is that strictly feasible actions may cancel out constraint violations on other time slots. For this reason, we introduce a new performance measure, whose particular instance is the cumulative positive part of the constraint violations. We propose a class of non-causal algorithms for online-decision making, which guarantees, in slowly changing environments, sub-linear growth of this quantity despite noisy first-order feedback. Furthermore, we demonstrate by numerical experiments the performance gain of our method relative to state of the art.