Related papers: Greedy methods, randomization approaches and multi…
Optimal experimental design (OED) seeks experiments expected to yield the most useful data for some purpose. In practical circumstances where experiments are time-consuming or resource-intensive, OED can yield enormous savings. We pursue…
We investigate the performance of a deterministic GREEDY algorithm for the problem of maximizing functions under a partition matroid constraint. We consider non-monotone submodular functions and monotone subadditive functions. Even though…
We consider a constrained, pure exploration, stochastic multi-armed bandit formulation under a fixed budget. Each arm is associated with an unknown, possibly multi-dimensional distribution and is described by multiple attributes that are a…
In recent years it was proved that simple modifications of the classical Frank-Wolfe algorithm (aka conditional gradient algorithm) for smooth convex minimization over convex and compact polytopes, converge with linear rate, assuming the…
The classical problem of maximizing a submodular function under a matroid constraint is considered. Defining a new measure for the increments made by the greedy algorithm at each step, called the discriminant, improved approximation ratio…
Bayesian Reinforcement Learning (RL) is capable of not only incorporating domain knowledge, but also solving the exploration-exploitation dilemma in a natural way. As Bayesian RL is intractable except for special cases, previous work has…
We consider incentivized exploration: a version of multi-armed bandits where the choice of arms is controlled by self-interested agents, and the algorithm can only issue recommendations. The algorithm controls the flow of information, and…
The performance of acquisition functions for Bayesian optimisation to locate the global optimum of continuous functions is investigated in terms of the Pareto front between exploration and exploitation. We show that Expected Improvement…
Decision making under uncertain environments in the maximization of expected reward while minimizing its risk is one of the ubiquitous problems in many subjects. Here, we introduce a novel problem setting in stochastic bandit optimization…
We consider the problem of finding sparse solutions to a system of underdetermined nonlinear system of equations. The methods are based on a Gauss-Newton approach with line search where the search direction is found by solving a linearized…
For compressed sensing over arbitrarily connected networks, we consider the problem of estimating underlying sparse signals in a distributed manner. We introduce a new signal model that helps to describe inter-signal correlation among…
Makespan minimization on identical machines is a fundamental problem in online scheduling. The goal is to assign a sequence of jobs to $m$ identical parallel machines so as to minimize the maximum completion time of any job. Already in the…
Recently, there has been a renewed interest in the machine learning community for variants of a sparse greedy approximation procedure for concave optimization known as {the Frank-Wolfe (FW) method}. In particular, this procedure has been…
Classical multi-armed bandit problems use the expected value of an arm as a metric to evaluate its goodness. However, the expected value is a risk-neutral metric. In many applications like finance, one is interested in balancing the…
We describe a parallel approximation algorithm for maximizing monotone submodular functions subject to hereditary constraints on distributed memory multiprocessors. Our work is motivated by the need to solve submodular optimization problems…
We study the problem of estimating a random process from the observations collected by a network of sensors that operate under resource constraints. When the dynamics of the process and sensor observations are described by a state-space…
Sign truncated matching pursuit (STrMP) algorithm is presented in this paper. STrMP is a new greedy algorithm for the recovery of sparse signals from the sign measurement, which combines the principle of consistent reconstruction with…
In a fixed-confidence pure exploration problem in stochastic multi-armed bandits, an algorithm iteratively samples arms and should stop as early as possible and return the correct answer to a query about the arms distributions. We are…
We study the problem of best-arm identification with fixed confidence in stochastic linear bandits. The objective is to identify the best arm with a given level of certainty while minimizing the sampling budget. We devise a simple algorithm…
The Conditional Gradient (or Frank-Wolfe) method is one of the most well-known methods for solving constrained optimization problems appearing in various machine learning tasks. The simplicity of iteration and applicability to many…