Optimal Anytime Algorithms for Online Convex Optimization with Adversarial Constraints

摘要

We propose an anytime online algorithm for learning a sequence of convex cost functions while approximately satisfying a sequence of convex constraints, without prior knowledge of the time horizon. Both the cost and constraint functions may be chosen adversarially over time. While this problem has recently been resolved in the setting where the time horizon is known, extending these guarantees to the anytime setting, without resorting to inefficient doubling tricks, has remained technically challenging. Our main contribution is the introduction of a time-varying yet horizon-oblivious Lyapunov function to track constraint violations. The use of such a time-varying Lyapunov function introduces new technical difficulties, as a key monotonicity property underlying prior analyses no longer holds. By developing a novel analytical technique, we show that our algorithm achieves $O(\sqrt{t})$ \regret~ and $\tilde{O}(\sqrt{t})$ cumulative constraint violation (\CCV) for all $t \geq 1$. We further extend our framework to the dynamic regret setting, obtaining bounds that adapt to the unknown path length of the comparator sequence. Finally, we present an adaptive algorithm for the optimistic setting, whose performance scales gracefully with the cumulative prediction error. We validate the practical effectiveness of our approach through numerical experiments on the online shortest path problem.