Linear programming with online learning |
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Authors: | Tatsiana Levina Jeff McGill |
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Affiliation: | a School of Business, Queen's University, 143 Union St., Kingston, Ont., Canada K7L 3N6 |
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Abstract: | We propose online decision strategies for time-dependent sequences of linear programs which use no distributional and minimal geometric assumptions about the data. These strategies are obtained through Vovk's aggregating algorithm which combines recommendations from a given strategy pool. We establish an average-performance bound for the resulting solution sequence. |
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Keywords: | Linear programming Online learning Aggregating algorithm |
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