Related papers: Thompson sampling with the online bootstrap
We study the process-level dynamics of Thompson sampling and related sampling-based bandit algorithms in the ``small gap'' regime, where the gaps between the arm means are of order $\sqrt{\gamma}$ or smaller and the time horizon is of order…
Recently multi-armed bandit problem arises in many real-life scenarios where arms must be sampled in batches, due to limited time the agent can wait for the feedback. Such applications include biological experimentation and online…
Influence maximization, adaptive routing, and dynamic spectrum allocation all require choosing the right action from a large set of alternatives. Thanks to the advances in combinatorial optimization, these and many similar problems can be…
The evaluation of hyperparameters, neural architectures, or data augmentation policies becomes a critical model selection problem in advanced deep learning with a large hyperparameter search space. In this paper, we propose an efficient and…
This paper presents a new dynamic approach to experiment design in settings where, due to interference or other concerns, experimental units are coarse. `Region-split' experiments on online platforms are one example of such a setting. The…
We consider online sequential decision problems where an agent must balance exploration and exploitation. We derive a set of Bayesian `optimistic' policies which, in the stochastic multi-armed bandit case, includes the Thompson sampling…
The question of the optimality of Thompson Sampling for solving the stochastic multi-armed bandit problem had been open since 1933. In this paper we answer it positively for the case of Bernoulli rewards by providing the first finite-time…
A sampling-based method is introduced to approximate the Gittins index for a general family of alternative bandit processes. The approximation consists of a truncation of the optimization horizon and support for the immediate rewards, an…
Originally motivated by default risk management applications, this paper investigates a novel problem, referred to as the profitable bandit problem here. At each step, an agent chooses a subset of the K possible actions. For each action…
Multi-armed Bandit (MAB) algorithms identify the best arm among multiple arms via exploration-exploitation trade-off without prior knowledge of arm statistics. Their usefulness in wireless radio, IoT, and robotics demand deployment on edge…
Existing methods of combinatorial pure exploration mainly focus on the UCB approach. To make the algorithm efficient, they usually use the sum of upper confidence bounds within arm set $S$ to represent the upper confidence bound of $S$,…
We study a type of Multi-Armed Bandit (MAB) problems in which arms with a Gaussian reward feedback are clustered. Such an arm setting finds applications in many real-world problems, for example, mmWave communications and portfolio…
The dueling bandits problem is an online learning framework for learning from pairwise preference feedback, and is particularly well-suited for modeling settings that elicit subjective or implicit human feedback. In this paper, we study the…
Modern stochastic optimization methods often rely on uniform sampling which is agnostic to the underlying characteristics of the data. This might degrade the convergence by yielding estimates that suffer from a high variance. A possible…
Thompson Sampling is a principled method for balancing exploration and exploitation, but its real-world adoption faces computational challenges in large-scale or non-conjugate settings. While ensemble-based approaches offer partial…
We analyze the regret of combinatorial Thompson sampling (CTS) for the combinatorial multi-armed bandit with probabilistically triggered arms under the semi-bandit feedback setting. We assume that the learner has access to an exact…
Chemical space is so large that brute force searches for new interesting molecules are infeasible. High-throughput virtual screening via computer cluster simulations can speed up the discovery process by collecting very large amounts of…
We consider the non-stationary multi-armed bandit (MAB) framework and propose a Kolmogorov-Smirnov (KS) test based Thompson Sampling (TS) algorithm named TS-KS, that actively detects change points and resets the TS parameters once a change…
We investigate and provide new insights on the sampling rule called Top-Two Thompson Sampling (TTTS). In particular, we justify its use for fixed-confidence best-arm identification. We further propose a variant of TTTS called Top-Two…
We here adopt Bayesian nonparametric mixture models to extend multi-armed bandits in general, and Thompson sampling in particular, to scenarios where there is reward model uncertainty. In the stochastic multi-armed bandit, the reward for…