{"type":"ScholarlyArticle","title":"Online Risk-Averse Submodular Maximization","authors":[{"name":"Tasuku Soma","slug":"tasuku-soma","given":"Tasuku","family":"Soma","affiliation":""},{"name":"Yuichi Yoshida","slug":"yuichi-yoshida","given":"Yuichi","family":"Yoshida","affiliation":""}],"abstract":"We present a polynomial-time online algorithm for maximizing the conditional value at risk (CVaR) of a monotone stochastic submodular function. Given T i.i.d. samples from an underlying distribution arriving online, our algorithm produces a sequence of solutions that converges to a (1−1/e)-approximate solution with a convergence rate of O(T −1/4 ) for monotone continuous DR-submodular functions. Compared with previous offline algorithms, which require Ω(T) space, our online algorithm only requires O( √ T) space. We extend our on- line algorithm to portfolio optimization for mono- tone submodular set functions under a matroid constraint. Experiments conducted on real-world datasets demonstrate that our algorithm can rapidly achieve CVaRs that are comparable to those obtained by existing offline algorithms.","doi":"10.24963/ijcai.2021/411","url":"https://ijcai.org/proceedings/2021/411","pdf":"https://ijcai.org/proceedings/2021/0411.pdf","markdown":"https://ijcai.org/proceedings/2021/411.md","bibtex":"https://ijcai.org/proceedings/2021/bibtex/411","volume":{"slug":"2021","title":"Proceedings of the Thirtieth International Joint Conference on Artificial Intelligence","short_title":"IJCAI 2021","url":"https://ijcai.org/proceedings/2021/","year":2021,"location":"Montreal","dates":"19-27 August 2021","editors":"Prof. Zhi-Hua Zhou","isbn":"978-0-9992411-9-6","publisher":"International Joint Conferences on Artificial Intelligence Organization","doi_prefix":"10.24963/ijcai.2021"},"section":"Machine Learning","track":"Main Track","number":411,"pages":{"first":2988,"last":2994},"keywords":["Machine Learning: Online Learning","Heuristic Search and Game Playing: Combinatorial Search and Optimisation"],"videos":[],"references":[],"license_note":"Copyright International Joint Conferences on Artificial Intelligence."}