Related papers: Parallelizing Exploration-Exploitation Tradeoffs w…

We study exploration in stochastic multi-armed bandits when we have access to a divisible resource that can be allocated in varying amounts to arm pulls. We focus in particular on the allocation of distributed computing resources, where we…

We present a formal model of human decision-making in explore-exploit tasks using the context of multi-armed bandit problems, where the decision-maker must choose among multiple options with uncertain rewards. We address the standard…

Bayesian optimization is an effective methodology for the global optimization of functions with expensive evaluations. It relies on querying a distribution over functions defined by a relatively cheap surrogate model. An accurate model for…

Many real-world optimization problems involve an expensive ground-truth oracle (e.g., human evaluation, physical experiments) and a cheap, low-fidelity prediction oracle (e.g., machine learning models, simulations). Meanwhile, abundant…

Gaussian processes (GP) are a well studied Bayesian approach for the optimization of black-box functions. Despite their effectiveness in simple problems, GP-based algorithms hardly scale to high-dimensional functions, as their per-iteration…

In many scientific and engineering applications, we are tasked with the maximisation of an expensive to evaluate black box function $f$. Traditional settings for this problem assume just the availability of this single function. However, in…

Parallelization of non-admissible search algorithms such as GBFS poses a challenge because straightforward parallelization can result in search behavior which significantly deviates from sequential search. Previous work proposed PUHF, a…

Many real-world functions are defined over both categorical and category-specific continuous variables and thus cannot be optimized by traditional Bayesian optimization (BO) methods. To optimize such functions, we propose a new method that…

In this paper, we consider a very general model for exploration-exploitation tradeoff which allows arbitrary concave rewards and convex constraints on the decisions across time, in addition to the customary limitation on the time horizon.…

How can we make use of information parallelism in online decision making problems while efficiently balancing the exploration-exploitation trade-off? In this paper, we introduce a batch Thompson Sampling framework for two canonical online…

Multi-armed bandits (MAB) model sequential decision making problems, in which a learner sequentially chooses arms with unknown reward distributions in order to maximize its cumulative reward. Most of the prior work on MAB assumes that the…

Bayesian optimization (BO) has well-documented merits for optimizing black-box functions with an expensive evaluation cost. Such functions emerge in applications as diverse as hyperparameter tuning, drug discovery, and robotics. BO hinges…

We motivate and analyse a new Tree Search algorithm, GPTS, based on recent theoretical advances in the use of Gaussian Processes for Bandit problems. We consider tree paths as arms and we assume the target/reward function is drawn from a GP…

Bayesian optimization (BO) is one of the most effective methods for closed-loop experimental design and black-box optimization. However, a key limitation of BO is that it is an inherently sequential algorithm (one experiment is proposed per…

The bias-variance trade-off is a well-known problem in machine learning that only gets more pronounced the less available data there is. In active learning, where labeled data is scarce or difficult to obtain, neglecting this trade-off can…

Bayesian optimization has recently emerged as a popular method for the sample-efficient optimization of expensive black-box functions. However, the application to high-dimensional problems with several thousand observations remains…

We propose a novel combinatorial stochastic-greedy bandit (SGB) algorithm for combinatorial multi-armed bandit problems when no extra information other than the joint reward of the selected set of $n$ arms at each time step $t\in [T]$ is…

We study a variant of the classical multi-armed bandit problem (MABP) which we call as Multi-Armed Bandits with dependent arms. More specifically, multiple arms are grouped together to form a cluster, and the reward distributions of arms…

We consider a stochastic multi-armed bandit setting where reward must be actively queried for it to be observed. We provide tight lower and upper problem-dependent guarantees on both the regret and the number of queries. Interestingly, we…

In this paper, we consider the Gaussian process (GP) bandit optimization problem in a non-stationary environment. To capture external changes, the black-box function is allowed to be time-varying within a reproducing kernel Hilbert space…