arXiv:2503.07324math.OCcs.LG2025-03被引 12

决策会改变环境分布,论文提出动态优化算法同时适应与塑造分布变化。

Decision-Dependent Stochastic Optimization: The Role of Distribution Dynamics

  • 构建了决策依赖的非线性分布动态模型,将决策与环境演化耦合。
  • 算法在动态环境中实现最优决策,理论证明其具有良好泛化性能。
  • 适用于意见演化、推荐系统等存在反馈机制的场景,适合做动态系统研究者。

分布漂移长期被视为需应对或顺应的外部干扰。当决策影响环境并改变数据生成分布时,会出现一种称为决策依赖的有趣反馈现象。在绩效预测领域,这由参数化决策的分布映射描述,源于策略行为。本文则将内生分布漂移形式化为一个反馈过程,其特征是分布演化与决策之间的非线性耦合。在此动态环境下进行随机优化,为分析动态在复合问题结构中的作用提供了丰富背景。为此,我们设计了一种在线算法,通过同时适应和塑造动态分布来实现最优决策。全文采用分布视角,揭示该视角如何促进对分布动态的刻画,以及所提算法的最优性与泛化性能。理论结果在意见动态场景中得到验证:一方试图最大化动态极化群体的亲和度;在推荐系统场景中,针对概率单纯形上的离散分布进行性能优化。

原文摘要 · Abstract (English)

Distribution shifts have long been regarded as troublesome external forces that a decision-maker should either counteract or conform to. An intriguing feedback phenomenon termed decision dependence arises when the deployed decision affects the environment and alters the data-generating distribution. In the realm of performative prediction, this is encoded by distribution maps parameterized by decisions due to strategic behaviors. In contrast, we formalize an endogenous distribution shift as a feedback process featuring nonlinear dynamics that couple the evolving distribution with the decision. Stochastic optimization in this dynamic regime provides a fertile ground to examine the various roles played by dynamics in the composite problem structure. To this end, we develop an online algorithm that achieves optimal decision-making by both adapting to and shaping the dynamic distribution. Throughout the paper, we adopt a distributional perspective and demonstrate how this view facilitates characterizations of distribution dynamics and the optimality and generalization performance of the proposed algorithm. We showcase the theoretical results in an opinion dynamics context, where an opportunistic party maximizes the affinity of a dynamic polarized population, and in a recommender system scenario, featuring performance optimization with discrete distributions in the probability simplex.

决策优化动态系统分布漂移在线学习

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