arXiv:2603.16200cs.LG2026-03被引 1

用函数逼近解决海量约束下的在线资源分配问题,显著提升效率。

Online Semi-infinite Linear Programming: Efficient Algorithms via Function Approximation

  • 用函数逼近将无限约束压缩为固定数量q,简化求解。
  • 在随机与随机排列输入下,实现O(q√T)和O((q+q log T)√T)的后悔界。
  • 适用于海量约束场景,适合需实时决策的系统设计者。

我们研究动态资源分配问题,其决策空间为有限维,但需满足大量甚至无穷多的约束,这些约束通过流式数据或查询反馈逐步揭示。该问题被建模为在线半无限线性规划(OSILP),并提出一种新的线性规划形式进行近似求解。具体地,采用函数逼近将约束数减少至恒定值q,克服了传统在线线性规划算法后悔界依赖于约束数量的缺陷,导致此类方法在此类场景中表现不佳。我们提出一种基于对偶的算法,通过选择合适的势函数实现广泛适用性。在两类经典输入模型下分析该算法:随机输入与随机排列输入,分别获得O(q√T)和O((q + q log T)√T)的后悔界。两个结果均与约束总数无关,体现了该方法处理大量或无限约束的潜力。此外,我们进一步探索改进O(q√T)后悔界的可能,提出两阶段算法,在更严格假设下达到O(q log T + q/ε)的后悔界。还将算法扩展至一般函数设置。一系列实验表明,当约束数量庞大时,我们的算法优于现有方法。

原文摘要 · Abstract (English)

We consider the dynamic resource allocation problem where the decision space is finite-dimensional, yet the solution must satisfy a large or even infinite number of constraints revealed via streaming data or oracle feedback. We model this challenge as an Online Semi-infinite Linear Programming (OSILP) problem and develop a novel LP formulation to solve it approximately. Specifically, we employ function approximation to reduce the number of constraints to a constant $q$. This addresses a key limitation of traditional online LP algorithms, whose regret bounds typically depend on the number of constraints, leading to poor performance in this setting. We propose a dual-based algorithm to solve our new formulation, which offers broad applicability through the selection of appropriate potential functions. We analyze this algorithm under two classical input models-stochastic input and random permutation-establishing regret bounds of $O(q\sqrt{T})$ and $O\left(\left(q+q\log{T})\sqrt{T}\right)\right)$ respectively. Note that both regret bounds are independent of the number of constraints, which demonstrates the potential of our approach to handle a large or infinite number of constraints. Furthermore, we investigate the potential to improve upon the $O(q\sqrt{T})$ regret and propose a two-stage algorithm, achieving $O(q\log{T} + q/ε)$ regret under more stringent assumptions. We also extend our algorithms to the general function setting. A series of experiments validates that our algorithms outperform existing methods when confronted with a large number of constraints.

在线优化函数逼近资源分配后悔界

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