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In the recent years, a number of parameter-free algorithms have been developed for online linear optimization over Hilbert spaces and for learning with expert advice. These algorithms achieve optimal regret bounds that depend on the unknown…
We study Bayesian learning in episodic, finite-horizon zero-sum Markov games with unknown transition and reward models. We investigate a posterior algorithm in which each player maintains a Bayesian posterior over the game model,…
This paper proposes a new family of algorithms for the online optimisation of composite objectives. The algorithms can be interpreted as the combination of the exponentiated gradient and $p$-norm algorithm. Combined with algorithmic ideas…
We propose a Bayesian approach for recursively estimating the classifier weights in online learning of a classifier ensemble. In contrast with past methods, such as stochastic gradient descent or online boosting, our approach estimates the…
In an online decision problem, one makes decisions often with a pool of decision sequence called experts but without knowledge of the future. After each step, one pays a cost based on the decision and observed rate. One reasonal goal would…
This paper considers a variant of the online paging problem, where the online algorithm has access to multiple predictors, each producing a sequence of predictions for the page arrival times. The predictors may have occasional prediction…
Most bandit algorithm designs are purely theoretical. Therefore, they have strong regret guarantees, but also are often too conservative in practice. In this work, we pioneer the idea of algorithm design by minimizing the empirical Bayes…
We propose a new discrete-time online parameter estimation algorithm that combines two different aspects, one that adds momentum, and another that includes a time-varying learning rate. It is well known that recursive least squares based…
The generalization capacity of various machine learning models exhibits different phenomena in the under- and over-parameterized regimes. In this paper, we focus on regression models such as feature regression and kernel regression and…
We introduce online learning algorithms which are independent of feature scales, proving regret bounds dependent on the ratio of scales existent in the data rather than the absolute scale. This has several useful effects: there is no need…
We introduce online learning algorithms which are independent of feature scales, proving regret bounds dependent on the ratio of scales existent in the data rather than the absolute scale. This has several useful effects: there is no need…
How can non-communicating agents learn to share congested resources efficiently? This is a challenging task when the agents can access the same resource simultaneously (in contrast to multi-agent multi-armed bandit problems) and the…
This paper studies the one-shot behavior of no-regret algorithms for stochastic bandits. Although many algorithms are known to be asymptotically optimal with respect to the expected regret, over a single run, their pseudo-regret seems to…
In the setting of online learning, Implicit algorithms turn out to be highly successful from a practical standpoint. However, the tightest regret analyses only show marginal improvements over Online Mirror Descent. In this work, we shed…
Thompson Sampling, one of the oldest heuristics for solving multi-armed bandits, has recently been shown to demonstrate state-of-the-art performance. The empirical success has led to great interests in theoretical understanding of this…
Existing online learning algorithms for adversarial Markov Decision Processes achieve ${O}(\sqrt{T})$ regret after $T$ rounds of interactions even if the loss functions are chosen arbitrarily by an adversary, with the caveat that the…
We develop a novel and generic algorithm for the adversarial multi-armed bandit problem (or more generally the combinatorial semi-bandit problem). When instantiated differently, our algorithm achieves various new data-dependent regret…
We are interested in probabilistic prediction in online settings in which data does not follow a probability distribution. Our work seeks to achieve two goals: (1) producing valid probabilities that accurately reflect model confidence; and…
We introduce the $\texttt{$k$-experts}$ problem - a generalization of the classic Prediction with Expert's Advice framework. Unlike the classic version, where the learner selects exactly one expert from a pool of $N$ experts at each round,…
We study the classic online learning problem of predicting with expert advice, and propose a truly parameter-free and adaptive algorithm that achieves several objectives simultaneously without using any prior information. The main component…