A Single-Sample Polylogarithmic Regret Bound for Nonstationary Online Linear Programming

TL;DR

This paper introduces a new algorithm for nonstationary online linear programming that achieves polylogarithmic regret with only one sample per distribution, effectively handling environmental shifts.

Contribution

It presents a novel re-solving algorithm combining dynamic programming and dual frameworks, achieving $O((\log n)^2)$ regret in nonstationary settings with minimal data.

Findings

Achieves polylogarithmic regret in nonstationary environments.

Works with only one sample per distribution.

Bridges gap between stationary and volatile resource allocation.

Abstract

We study nonstationary Online Linear Programming (OLP), where $n$ orders arrive sequentially with reward-resource consumption pairs that form a sequence of independent, but not necessarily identically distributed, random vectors. At the beginning of the planning horizon, the decision-maker is provided with a resource endowment that is sufficient to fulfill a significant portion of the requests. The decision-maker seeks to maximize the expected total reward by making immediate and irrevocable acceptance or rejection decisions for each order, subject to this resource endowment. We focus on the challenging single-sample setting, where only one sample from each of the $n$ distributions is available at the start of the planning horizon. We propose a novel re-solving algorithm that integrates a dynamic programming perspective with the dual-based frameworks traditionally employed in stationary environments. In the large-resource regime, where the resource endowment scales linearly with the number of orders, we prove that our algorithm achieves $O((\log n)^2)$ regret across a broad class of nonstationary distribution sequences. Our results demonstrate that polylogarithmic regret is attainable even under significant environmental shifts and minimal data availability, bridging the gap between stationary OLP and more volatile real-world resource allocation problems.