Robust Learning for Smoothed Online Convex Optimization with Feedback Delay

Pengfei Li · Jianyi Yang · Adam Wierman · Shaolei Ren

Great Hall & Hall B1+B2 (level 1) #1118
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[ Paper [ Poster [ OpenReview
Tue 12 Dec 8:45 a.m. PST — 10:45 a.m. PST

Abstract: We study a general form of Smoothed Online Convex Optimization, a.k.a. SOCO, including multi-step switching costs and feedback delay. We propose a novel machine learning (ML) augmented online algorithm, Robustness-Constrained Learning (RCL), which combines untrusted ML predictions with a trusted expert online algorithm via constrained projection to robustify the ML prediction. Specifically, we prove that RCL is able to guarantee $(1+\lambda)$-competitiveness against any given expert for any $\lambda>0$, while also explicitly training the ML model in a robustification-aware manner to improve the average-case performance. Importantly, RCL is the first ML-augmented algorithm with a provable robustness guarantee in the case of multi-step switching cost and feedback delay. We demonstrate the improvement of RCL in both robustness and average performance using battery management as a case study.

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