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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…
Active learning methods have shown great promise in reducing the number of samples necessary for learning. As automated learning systems are adopted into real-time, real-world decision-making pipelines, it is increasingly important that…
Time-constrained decision processes have been ubiquitous in many fundamental applications in physics, biology and computer science. Recently, restart strategies have gained significant attention for boosting the efficiency of…
We develop a general theory to optimize the frequentist regret for sequential learning problems, where efficient bandit and reinforcement learning algorithms can be derived from unified Bayesian principles. We propose a novel optimization…
We consider restless multi-armed bandit (RMAB) with a finite horizon and multiple pulls per period. Leveraging the Lagrangian relaxation, we approximate the problem with a collection of single arm problems. We then propose an index-based…
In digital health and EdTech, recommendation systems face a significant challenge: users often choose impulsively, in ways that conflict with the platform's long-term payoffs. This misalignment makes it difficult to effectively learn to…
The Whittle index, which characterizes optimal policies for controlling certain single restless bandit projects (a Markov decision process with two actions: active and passive) is the basis for a widely used heuristic index policy for the…
The information ratio offers an approach to assessing the efficacy with which an agent balances between exploration and exploitation. Originally, this was defined to be the ratio between squared expected regret and the mutual information…
We consider the problem of contextual bandits and imitation learning, where the learner lacks direct knowledge of the executed action's reward. Instead, the learner can actively query an expert at each round to compare two actions and…
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.,…
Gittins indices provide an optimal solution to the classical multi-armed bandit problem. An obstacle to their use has been the common perception that their computation is very difficult. This paper demonstrates an accessible general…
We study a novel multi-armed bandit problem that models the challenge faced by a company wishing to explore new strategies to maximize revenue whilst simultaneously maintaining their revenue above a fixed baseline, uniformly over time.…
We introduce the model selection problem in pure exploration linear bandits, where the learner needs to adapt to the instance-dependent complexity measure of the smallest hypothesis class containing the true model. We design algorithms in…
We study a general Markov game with metric switching costs: in each round, the player adaptively chooses one of several Markov chains to advance with the objective of minimizing the expected cost for at least $k$ chains to reach their…
We consider bandit problems involving a large (possibly infinite) collection of arms, in which the expected reward of each arm is a linear function of an $r$-dimensional random vector $\mathbf{Z} \in \mathbb{R}^r$, where $r \geq 2$. The…
In this paper we consider the problem of learning the optimal policy for uncontrolled restless bandit problems. In an uncontrolled restless bandit problem, there is a finite set of arms, each of which when pulled yields a positive reward.…
The restless multi-armed bandit (RMAB) framework is a popular model with applications across a wide variety of fields. However, its solution is hindered by the exponentially growing state space (with respect to the number of arms) and the…
Most learning to rank research has assumed that the utility of different documents is independent, which results in learned ranking functions that return redundant results. The few approaches that avoid this have rather unsatisfyingly…
We study the $K$-armed contextual dueling bandit problem, a sequential decision making setting in which the learner uses contextual information to make two decisions, but only observes \emph{preference-based feedback} suggesting that one…
This paper presents a new \emph{fast-pivoting} algorithm that computes the $n$ Gittins index values of an $n$-state bandit -- in the discounted and undiscounted cases -- by performing $(2/3) n^3 + O(n^2)$ arithmetic operations, thus…