Online Regenerative Learning

Owen Shen

We study a type of Online Linear Programming (OLP) problem that maximizes the objective function with stochastic inputs. The performance of various algorithms that analyze this type of OLP is well studied when the stochastic inputs follow some i.i.d distribution. The two central questions to ask are: (i) can the algorithms achieve the same efficiency if the stochastic inputs are not i.i.d but still stationary, and (ii) how can we modify our algorithms if we know the stochastic inputs are trendy, hence not stationary. We answer the first question by analyzing a regenerative type of input and show the regret of two popular algorithms are bounded by the same order as their i.i.d counterpart. We discuss the second question in the context of linearly growing inputs and propose two trend-adaptive algorithms. We provide numerical simulations to illustrate the performance of our algorithms under both regenerative and trendy inputs.

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