Online Learning with Sample Path Constraints

@article{Mannor2009OnlineLW,
  title={Online Learning with Sample Path Constraints},
  author={Shie Mannor and John N. Tsitsiklis and Jia Yuan Yu},
  journal={Journal of Machine Learning Research},
  year={2009},
  volume={10},
  pages={569-590}
}
We study online learning when the objective of the decision maker is to maximize her long-term average reward subject to certain sample path average constraints. We define the reward-in-hindsight as the highest reward the decision maker could have achieved, while satisfying the constraints, had she known Nature’s choices in advance. We show that in general the reward-in-hindsight is not attainable. The convex hull of the reward-in-hindsight function is, however, attainable. For the important… CONTINUE READING
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