Online Semi-infinite Linear Programming: Efficient Algorithms via Function Approximation

ArXi:2603.16200v1 Announce Type: new We consider the dynamic resource allocation problem where the decision space is finite-dimensional, yet the solution must satisfy a large or even infinite number of constraints revealed via streaming data or oracle feedback. We model this challenge as an Online Semi-infinite Linear Programming (OSILP) problem and develop a novel LP formulation to solve it approximately. Specifically, we employ function approximation to reduce the number of constraints to a constant $q.