Online Convex Programming and Generalized Infinitesimal Gradient Ascent

  title={Online Convex Programming and Generalized Infinitesimal Gradient Ascent},
  author={Martin Zinkevich},
Convex programming involves a convex set F ⊆ R and a convex function c : F → R. The goal of convex programming is to find a point in F which minimizes c. In this paper, we introduce online convex programming. In online convex programming, the convex set is known in advance, but in each step of some repeated optimization problem, one must select a point in F before seeing the cost function for that step. This can be used to model factory production, farm production, and many other industrial… CONTINUE READING
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