kth.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
A Distributed Primal-Dual Algorithm for Bandit Online Convex Optimization with Time-Varying Coupled Inequality Constraints
KTH, School of Electrical Engineering and Computer Science (EECS), Intelligent systems, Decision and Control Systems (Automatic Control).ORCID iD: 0000-0003-4299-0471
Nanyang Technol Univ, Sch Elect & Elect Engn, 50 Nanyang Ave, Singapore 639798, Singapore..
Northeastern Univ, State Key Lab Synthet Automat Proc Ind, Shenyang 110819, Peoples R China..
Nanyang Technol Univ, Sch Elect & Elect Engn, 50 Nanyang Ave, Singapore 639798, Singapore..
Show others and affiliations
2020 (English)In: Proceedings 2020 American Control Conference, ACC 2020, Institute of Electrical and Electronics Engineers (IEEE) , 2020, p. 327-332Conference paper, Published paper (Refereed)
Abstract [en]

This paper considers distributed bandit online optimization with time-varying coupled inequality constraints. The global cost and the coupled constraint functions are the summations of local convex cost and constraint functions, respectively. The local cost and constraint functions are held privately and only at the end of each period the constraint functions are fully revealed, while only the values of cost functions at queried points are revealed, i.e., in a so called bandit manner. A distributed bandit online primal-dual algorithm with two queries for the cost functions per period is proposed. The performance of the algorithm is evaluated using its expected regret, i.e., the expected difference between the outcome of the algorithm and the optimal choice in hindsight, as well as its constraint violation. We show that O(T-c) expected regret and O(T1-c/2) constraint violation are achieved by the proposed algorithm, where T is the total number of iterations and c is an element of [0.5, 1) is a user-defined trade-off parameter. Assuming Slater's condition, we show that O(root T) expected regret and O(root T) constraint violation are achieved. The theoretical results are illustrated by numerical simulations.

Place, publisher, year, edition, pages
Institute of Electrical and Electronics Engineers (IEEE) , 2020. p. 327-332
Series
Proceedings of the American Control Conference, ISSN 0743-1619
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:kth:diva-292032DOI: 10.23919/ACC45564.2020.9147354ISI: 000618079800047Scopus ID: 2-s2.0-85089575529OAI: oai:DiVA.org:kth-292032DiVA, id: diva2:1539507
Conference
2020 American Control Conference, ACC 2020, Denver, CO, USA, July 1-3, 2020
Note

QC 20210324

Available from: 2021-03-24 Created: 2021-03-24 Last updated: 2022-06-25Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full textScopus

Authority records

Yi, XinleiJohansson, Karl H.

Search in DiVA

By author/editor
Yi, XinleiJohansson, Karl H.
By organisation
Decision and Control Systems (Automatic Control)
Control Engineering

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 61 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf