Optimal Regularized Online Allocation by Adaptive Re-Solving

• 成果类型: Article
• 署名作者: Ma, Wanteng; Cao, Ying; Tsang, Danny H. K.; Xia, Dong
• 署名单位: Hong Kong University of Science & Technology; Hong Kong University of Science & Technology
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2022.0486
• 发表日期: 2025
• 页码: 2079-2096
• 关键词: Network Revenue Management; max-min; optimization; algorithms; fairness; regret; POLICY

摘要

This paper introduces a dual -based algorithm framework for solving the regularized online resource allocation problems, which have potentially nonconcave cumulative rewards, hard resource constraints, and a nonseparable regularizer. Under a strategy of adaptively updating the resource constraints, the proposed framework only requests approximate solutions to the empirical dual problems up to a certain accuracy and yet delivers an optimal logarithmic regret under a locally second -order growth condition. Surprisingly, a delicate analysis of the dual objective function enables us to eliminate the notorious log -log factor in regret bound. The flexible framework renders renowned and computationally fast algorithms immediately applicable, for example, dual stochastic gradient descent. Additionally, an infrequent re -solving scheme is proposed, which significantly reduces computational demands without compromising the optimal regret performance. A worst -case square -root regret lower bound is established if the resource constraints are not adaptively updated during dual optimization, which underscores the critical role of adaptive dual variable update. Comprehensive numerical experiments demonstrate the merits of the proposed algorithm framework.