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We consider a variant of the stochastic multi-armed bandit problem, where multiple players simultaneously choose from the same set of arms and may collide, receiving no reward. This setting has been motivated by problems arising in…
We study a resource allocation problem with varying requests, and with resources of limited capacity shared by multiple requests. It is modeled as a set of heterogeneous Restless Multi-Armed Bandit Problems (RMABPs) connected by constraints…
We introduce the "inverse bandit" problem of estimating the rewards of a multi-armed bandit instance from observing the learning process of a low-regret demonstrator. Existing approaches to the related problem of inverse reinforcement…
The problem of stochastic deadline scheduling is considered. A constrained Markov decision process model is introduced in which jobs arrive randomly at a service center with stochastic job sizes, rewards, and completion deadlines. The…
The problem of optimal switching between nonlinear autonomous subsystems is investigated in this study where the objective is not only bringing the states to close to the desired point, but also adjusting the switching pattern, in the sense…
Algorithm selection is typically based on models of algorithm performance, learned during a separate offline training sequence, which can be prohibitively expensive. In recent work, we adopted an online approach, in which a performance…
Restless bandit problems are instances of non-stationary multi-armed bandits. These problems have been studied well from the optimization perspective, where the goal is to efficiently find a near-optimal policy when system parameters are…
Solving a linear system $Ax=b$ is a fundamental scientific computing primitive for which numerous solvers and preconditioners have been developed. These come with parameters whose optimal values depend on the system being solved and are…
We study a $K$-armed non-stationary bandit model where rewards change smoothly, as captured by H\"{o}lder class assumptions on rewards as functions of time. Such smooth changes are parametrized by a H\"{o}lder exponent $\beta$ and…
Restless bandits are a class of sequential resource allocation problems concerned with allocating one or more resources among several alternative processes where the evolution of the process depends on the resource allocated to them. Such…
We consider a Bayesian budgeted multi-armed bandit problem, in which each arm consumes a different amount of resources when selected and there is a budget constraint on the total amount of resources that can be used. Budgeted Thompson…
The stochastic multi-armed bandit problem is a well-known model for studying the exploration-exploitation trade-off. It has significant possible applications in adaptive clinical trials, which allow for dynamic changes in the treatment…
Developing prompt-based methods with Large Language Models (LLMs) requires making numerous decisions, which give rise to a combinatorial search problem over hyper-parameters. This exhaustive evaluation can be time-consuming and costly. In…
We study the sequential resource allocation problem where a decision maker repeatedly allocates budgets between resources. Motivating examples include allocating limited computing time or wireless spectrum bands to multiple users (i.e.,…
We consider a budget-constrained bandit problem where each arm pull incurs a random cost, and yields a random reward in return. The objective is to maximize the total expected reward under a budget constraint on the total cost. The model is…
We address the problem of identifying the optimal policy with a fixed confidence level in a multi-armed bandit setup, when \emph{the arms are subject to linear constraints}. Unlike the standard best-arm identification problem which is well…
In this paper, we analyze the continuous armed bandit problems for nonconvex cost functions under certain smoothness and sublevel set assumptions. We first derive an upper bound on the expected cumulative regret of a simple bin splitting…
Elimination algorithms for bandit identification, which prune the plausible correct answers sequentially until only one remains, are computationally convenient since they reduce the problem size over time. However, existing elimination…
In $\mathcal{X}$-armed bandit problem an agent sequentially interacts with environment which yields a reward based on the vector input the agent provides. The agent's goal is to maximise the sum of these rewards across some number of time…
This paper investigates the problem of non-stationary linear bandits, where the unknown regression parameter is evolving over time. Existing studies develop various algorithms and show that they enjoy an…