OCO-Long-Term-Constraints

A MATLAB implementation of algorithms from the following papers on Online Convex Optimization (OCO) with long term constraints on the example problem from 1 below:

1. A Low Complexity Algorithm with O(√T) Regret and O(1) Constraint Violations for Online Convex Optimization with Long Term Constraints (JMLR 2020)
2. Adaptive algorithms for online convex optimization with long-term constraints (ICML 2016)

Dependencies

MATLAB R2018a + (should work with lower versions as well)

Usage for T=5000 time steps

main(5000)

Results

True action region and constraints

Cummulative regret

Cummulative constraint violations