Rigorous Systems Research Group (RSRG) Seminar
Online Experiment Design
We consider a new and general online resource allocation problem, where the goal is to maximize a function of a positive semidefinite (PSD) matrix with a scalar budget constraint. The problem data arrives online, and the algorithm needs to make an irrevocable decision at each step. Of particular interest are classic experiment design problems in the online setting, with the algorithm deciding whether to allocate budget to each experiment as new experiments become available sequentially.
We analyze two greedy primal-dual algorithms and provide bounds on their competitive ratios. Our analysis relies on a smooth surrogate of the objective function that needs to satisfy a new diminishing returns (PSD-DR) property (that its gradient is order-reversing with respect to the PSD cone). Using the representation for monotone maps on the PSD cone given by Lowner's theorem, we obtain a convex parametrization of the family of functions satisfying PSD-DR. We then formulate a convex optimization problem to directly optimize our competitive ratio bound over this set. This design problem can be solved offline before the data start arriving. The online algorithm that uses the designed smoothing is tailored to the given cost function, and enjoys a competitive ratio at least as good as our optimized bound. We provide examples of computing the smooth surrogate for D-optimal and A-optimal experiment design, and demonstrate the performance of the custom-designed algorithm.