Universal Algorithms: Beyond the Simplex

3 Apr 2020Daron AndersonDouglas Leith

The bulk of universal algorithms in the online convex optimisation literature are variants of the Hedge (exponential weights) algorithm on the simplex. While these algorithms extend to polytope domains by assigning weights to the vertices, this process is computationally unfeasible for many important classes of polytopes where the number $V$ of vertices depends exponentially on the dimension $d$... (read more)

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