The Inference Report

We study finite-time concentration and convergence rates for projected two-time-scale stochastic approximation driven by a controlled Markov chain. The averaged fast map is contractive, while the slow iterate is projected onto a compact convex polyhedron. The associated projected ordinary differential equation may have a discontinuous vector field at the boundary, preventing a direct application of standard analyses based on Lipschitz vector fields. Using the Skorokhod map, we establish explicit high-probability bounds for tracking the moving fast equilibrium and the projected slow dynamics. These bounds separate martingale fluctuations, Markov-noise residuals, and the bias due to time-scale separation. A Lipschitz Lyapunov function satisfying a uniform decrease condition over fixed time intervals yields almost-sure convergence, with explicit last-iterate rates when the decrease admits a power lower bound. Under uniform Lyapunov contraction, polynomial step sizes yield joint fast-tracking and slow Lyapunov-error exponents arbitrarily close to $1/3$. Under the additional assumption that the reduced slow update map is a Euclidean contraction, logarithmically separated step sizes improve the joint rate to $O(n^{-1/2}\log n)$ almost surely, including for boundary equilibria. The same rate holds under a distinct geometric condition involving a strictly attracting face of a box and a fast equilibrium that is constant on that face. An actor-critic application achieves an almost-sure value-gap rate of $O(n^{-1}\log n)$ relative to the optimum within the constrained policy class. Further applications include projected TD(0) and projected stochastic gradient descent. We also extend the analysis to projection of the fast recursion under Euclidean contractivity.

Successive weaving segments (SWSs) on urban expressways are bottlenecks prone to recurrent congestion and collisions, requiring fine-grained active traffic management (ATM). Existing approaches struggle to balance the adaptive performance of data-driven optimization with the resilience and transferability of model-based control. We propose a hybrid framework to coordinate lane-level variable speed limits (VSLs) and ramp metering across SWSs. First, we reconstruct L-METANET, a lane-level macroscopic traffic flow model that captures free and forced lane changes. Second, we combine XGBoost-SHAP with a random-parameters binary logit (RPBL) model to derive analytical equations for merging and diverging collision risks and formulate system cost and reward functions. Third, we develop MPC-STMAPPO, a hierarchical controller integrating model predictive control (MPC) and multi-agent reinforcement learning (MARL). Its upper MPC layer uses L-METANET for long-horizon rolling optimization and generates baseline commands; its lower spatiotemporal MAPPO (ST-MAPPO) layer, enhanced with Mamba cells and graph attention, produces residual actions for short-horizon adjustment. Real-world experiments on the 18-km Eastern Expressway in Changchun, China, show that L-METANET accurately reproduces lane-changing-induced flow redistribution and capacity drops, with state evolution aligned with ground truth. XGBoost-SHAP-RPBL achieves AUCs above 0.80 in most tasks, outperforming conventional logit models. MPC-STMAPPO converges faster and performs better across multiple metrics than MPC- and MARL-based baselines. Under randomly fluctuating demand, it also significantly outperforms pure MARL in generalization, demonstrating strong potential for industrial deployment.

This paper studies convex optimization when the gradient cannot be evaluated exactly, but only approximated by a hierarchy of algorithms whose compute grows like $δ^{-γ}$ in the accuracy $δ$. When $γ>2$, falling into the Harder-Than-Monte-Carlo (HTMC) regime, the price of accuracy outruns the variance reduction that Monte Carlo would buy and we show that minimizing a loss function costs no more, up to a factor depending only on $γ$, than a single evaluation of its gradient at the accuracy the problem demands. A randomized multilevel oracle replaces the deterministic approximation of accuracy $δ$ by an unbiased estimator of it, whose variance $σ^2$ becomes a second, independently priced dial: the cost of one call drops from $δ^{-γ}$ to $δ^{2-γ}σ^{-2}$. Plain inexact gradient descent driven by that oracle reaches loss $\varepsilon$ at expected compute $Θ(\varepsilon^{-γ})$ in the convex case, against $Θ(\varepsilon^{-(γ+1)})$ for the same method run at a fixed accuracy: randomization buys a full power of $\varepsilon$. Under $μ$-strong convexity the exponent halves, to $\varepsilon^{-γ/2}$, because the iterates settle at a noise floor and the bias budget relaxes accordingly. Both bounds are independent of the step size, and hence of the smoothness constant, and we show that the cost is a functional of the underlying gradient flow rather than of any discretization of it.

Interior-point methods (IPMs) are among the most widely used algorithms for constrained optimization, yet their Newton-based search directions require costly second-order information and large linear-system solves. Learning to optimize offers cheaper updates learned from data, but the singular behavior of logarithmic barriers near constraint boundaries makes IPMs highly sensitive to perturbations, complicating both warm starting and learning reliable updates. We introduce pdLIP, an IPM for smooth nonlinear programs that integrates learned preconditioning with pdProj, an all-shifted primal-dual projected-search IPM. A shared coordinate-wise recurrent network predicts a positive diagonal preconditioner that scales the right-hand side of the reduced Newton system for the primal step, and the remaining slack and multiplier directions are recovered analytically. The learned iterations avoid Hessian evaluations and Newton-system solves, using only first-order and coordinate-wise operations amenable to GPU parallelization. Training is self-supervised, with a loss based on a penalty-barrier merit function and the residual of perturbed optimality conditions, requiring neither target directions nor precomputed solutions. Primal and dual shifts mitigate the barrier's sensitivity to perturbations near constraint boundaries, enabling effective warm starting. Across four classes of 200-dimensional convex and nonconvex constrained problems, pdLIP warm starts reduce pdProj refinement iterations by 63-67% compared with cold starts at the same KKT residual tolerance of $10^{-8}$, with negligible warm-start generation cost relative to the subsequent pdProj solve. Improvements persist on box-constrained QPs with 1000 variables and extend to applications including portfolio optimization, support vector machines, and a nonlinear control example.

This paper investigates cost-sensitive online window size selection for portfolio management under changing market conditions. Specifically, we propose a two-level framework that constructs portfolios using candidate window sizes and dynamically aggregates them through online learning. By treating candidate window sizes as ``experts,'' we dynamically update their aggregation weights using turnover-inclusive losses. Moreover, we derive finite-horizon cost-sensitive tracking-regret bounds that account for turnover of the aggregated portfolio, with static regret as a special case. Under bounded losses and cost rates, suitably tuned Fixed Share achieves asymptotically no tracking regret for sublinear switching budgets, with Hedge covering the static case.

We study the deterministic oracle complexity of finding approximate solutions to composite monotone inclusion problems, formed by the sum of a smooth single-valued monotone operator and a maximally monotone set-valued operator, under the tangent-residual criterion. We introduce the Anchored Extra-Proximal (AEP) framework, which combines an anchored extrapolation step with an inexact anchored proximal update satisfying a relative-error condition. The framework recovers the composite Fast Extragradient method in the first-order setting and yields natural second- and higher-order extensions by replacing the operator in the implicit update with its Taylor approximation at the extrapolated point. For every $p\geq 2$, assuming that the $(p-1)$th derivative of the single-valued operator is Lipschitz continuous, we combine this construction with a bisection line search to obtain a $p$th-order method that finds a point with tangent residual at most $\varepsilon$ in $\widetilde{O}(\varepsilon^{-2/(3p-1)})$ oracle calls. This improves all prior upper bounds for $p$th-order methods: in particular, it improves the previous best-known $\widetilde{O}(\varepsilon^{-1/p})$ tangent-residual complexity as well as the classical $O(\varepsilon^{-2/(p+1)})$ bound of higher-order hybrid proximal extragradient methods under the weaker duality-gap criterion. We complement this result with a worst-case lower bound of $Ω(\varepsilon^{-2/(3p-1)})$ for every deterministic algorithm in the $p$th-order oracle model, without restricting the algorithm to tensor steps or any other prescribed update structure. Thus, the proposed method attains the optimal dependence on $\varepsilon$, up to logarithmic factors, for all $p\geq2$.