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We study the explore-exploit tradeoff in distributed cooperative decision-making using the context of the multiarmed bandit (MAB) problem. For the distributed cooperative MAB problem, we design the cooperative UCB algorithm that comprises…
Multi-armed bandit problems are considered as a paradigm of the trade-off between exploring the environment to find profitable actions and exploiting what is already known. In the stationary case, the distributions of the rewards do not…
Many applications require optimizing an unknown, noisy function that is expensive to evaluate. We formalize this task as a multi-armed bandit problem, where the payoff function is either sampled from a Gaussian process (GP) or has low RKHS…
We present a provably optimal differentially private algorithm for the stochastic multi-arm bandit problem, as opposed to the private analogue of the UCB-algorithm [Mishra and Thakurta, 2015; Tossou and Dimitrakakis, 2016] which doesn't…
This paper addresses the Bayesian optimization problem (also referred to as the Bayesian setting of the Gaussian process bandit), where the learner seeks to minimize the regret under a function drawn from a known Gaussian process (GP).…
Bayesian optimization is a sample-efficient approach to global optimization that relies on theoretically motivated value heuristics (acquisition functions) to guide its search process. Fully maximizing acquisition functions produces the…
Bayesian optimization (BO) algorithm is very popular for solving low-dimensional expensive optimization problems. Extending Bayesian optimization to high dimension is a meaningful but challenging task. One of the major challenges is that it…
Fixed-budget best-arm identification (BAI) is a bandit problem where the agent maximizes the probability of identifying the optimal arm within a fixed budget of observations. In this work, we study this problem in the Bayesian setting. We…
The multi-armed bandit (MAB) problem models a decision-maker that optimizes its actions based on current and acquired new knowledge to maximize its reward. This type of online decision is prominent in many procedures of Brain-Computer…
Efficient selection among multiple generative models is increasingly important in modern generative AI, where sampling from suboptimal models is costly. This problem can be formulated as a multi-armed bandit task. Under diversity-aware…
We consider the stochastic bandit problem with a continuous set of arms, with the expected reward function over the arms assumed to be fixed but unknown. We provide two new Gaussian process-based algorithms for continuous bandit…
Multi-armed bandit (MAB) is a class of online learning problems where a learning agent aims to maximize its expected cumulative reward while repeatedly selecting to pull arms with unknown reward distributions. We consider a scenario where…
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…
We present a new type of acquisition functions for online decision making in multi-armed and contextual bandit problems with extreme payoffs. Specifically, we model the payoff function as a Gaussian process and formulate a novel type of…
This article addresses the problem of derivative-free (single- or multi-objective) optimization subject to multiple inequality constraints. Both the objective and constraint functions are assumed to be smooth, non-linear and expensive to…
We consider chance constrained optimization where it is sought to optimize a function while complying with constraints, both of which are affected by uncertainties. The high computational cost of realistic simulations strongly limits the…
Multi-armed bandit algorithms provide solutions for sequential decision-making where learning takes place by interacting with the environment. In this work, we model a distributed optimization problem as a multi-agent kernelized multi-armed…
Approximate Bayesian computation is an established and popular method for likelihood-free inference with applications in many disciplines. The effectiveness of the method depends critically on the availability of well performing summary…
Bayesian optimization through Gaussian process regression is an effective method of optimizing an unknown function for which every measurement is expensive. It approximates the objective function and then recommends a new measurement point…
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…