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WIP: Global bandit optimization

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Closed Valentin Reis requested to merge glpk into master Nov 26, 2019
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This branch adds GLPK bindings. the glpk-hs hackage package didn't build out of the box, and additionally C bindings are hard to package: I vendored the source tree. The branch should also implement BwCR from [1], switch the default bandit strategy to that, and plug a periodically re calibrated energy/throughput objective into it. This allows avoiding a lagrange multiplier.

Linearized EXP3 objective should still be available, for debug purposes, with lagrange multiplier. CPD becomes explicit weighted multi-objective linear combination plus constraints.

[1] Bandits with Global Convex Constraints and Objective, Shipra Agrawal, Nikhil R.Devanur. https://pubsonline.informs.org/doi/abs/10.1287/opre.2019.1840

Closes #8 (closed)

Edited Nov 26, 2019 by Valentin Reis
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Source branch: glpk