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PAC Learning with Bandit Feedback: Sharp Sample Complexity in the Realizable Setting Algorithms with Polynomially-Improved Approximation Factors for the $2 \rightarrow q$ Norm, and Applications A computational phase transition for learning-to-sample from Ising models Covering vertices by sequential stars Fermi-Dirac machines as quantizations of neurons A Comprehensive Evaluation of Vertex Elimination Algorithms for Algorithmic Differentiation A Tight Bound on Localization of Electrical Flows Optimal Dimension-Free Sampling for Regularized Classification Reducing the Randomness in Partition Oracles for Bounded Degree Minor-Free Graphs Beyond the Half-Approximation: Fair and Efficient Online Class Matching Efficient Uniform Sampling of Surjections via their Profiles Tractable Maximization of Budgeted Phylogenetic Diversity on Networks Utilizing Node Scanwidth Fairness in Aggregation: Optimal Top-$k$ and Improved Full Ranking Learning-Augmented Online Scheduling with Parsimonious Preemption Entropy Equivalence Testing Lumberjack: Better Differentially Private Random Forests through Heavy Hitter Detection in Trees The Secretary Problem with a Stochastic Precursor Polynomial-Time Robust Multiclass Linear Classification under Gaussian Marginals Efficient Banzhaf-Based Data Valuation for $k$-Nearest Neighbors Classification Block-Sphere Vector Quantization An Approximation Algorithm for Graph Label Selection Iterative Chow Filtering for Learning with Distribution Shift Complexity of Non-Log-Concave Sampling in Fisher Information Stochastic Matching via Local Sparsification Finite Sample Bounds for Learning with Score Matching What is Learnable in Valiant's Theory of the Learnable? Provable Quantization with Randomized Hadamard Transform Min-Max Optimization Requires Exponentially Many Queries Fast and Compact Graph Cuts for the Boykov-Kolmogorov Algorithm A proximal gradient algorithm for composite log-concave sampling
Polynomial time algorithm for optimal stopping with fixed...
David A. Goldberg, Yilun Chen · 2018-07-06 · via cs.DS updates on arXiv.org

The problem of high-dimensional path-dependent optimal stopping (OS) is important to multiple academic communities and applications. Modern OS tasks often have a large number of decision epochs, and complicated non-Markovian dynamics, making them especially challenging. Standard approaches, often relying on ADP, duality, deep learning and other heuristics, have shown strong empirical performance, yet have limited rigorous guarantees (which may scale exponentially in the problem parameters and/or require previous knowledge of basis functions or additional continuity assumptions). Although past work has placed these problems in the framework of computational complexity and polynomial-time approximability, those analyses were limited to simple one-dimensional problems. For long-horizon complex OS problems, is a polynomial time solution even theoretically possible? We prove that given access to an efficient simulator of the underlying information process, and fixed accuracy epsilon, there exists an algorithm that returns an epsilon-optimal solution (both stopping policies and approximate optimal values) with computational complexity scaling polynomially in the time horizon and underlying dimension. Like the first polynomial-time (approximation) algorithms for several other well-studied problems, our theoretical guarantees are polynomial yet impractical. Our approach is based on a novel expansion for the optimal value which may be of independent interest.