Related papers: The Bayesian Linear Information Filtering Problem
A natural optimization model that formulates many online resource allocation and revenue management problems is the online linear program (LP) in which the constraint matrix is revealed column by column along with the corresponding…
Recursive Bayesian inference, in which posterior beliefs are updated in light of accumulating data, is a tool for implementing Bayesian models in applications with streaming and/or very large data sets. As the posterior of one iteration…
In many robotic applications, it is crucial to maintain a belief about the state of a system, which serves as input for planning and decision making and provides feedback during task execution. Bayesian Filtering algorithms address this…
Sequential decision problems are often approximately solvable by simulating possible future action sequences. {\em Metalevel} decision procedures have been developed for selecting {\em which} action sequences to simulate, based on…
This paper addresses the problem of planning under uncertainty in large Markov Decision Processes (MDPs). Factored MDPs represent a complex state space using state variables and the transition model using a dynamic Bayesian network. This…
This paper identifies and addresses dynamic selection problems in online learning algorithms with endogenous data. In a contextual multi-armed bandit model, a novel bias (self-fulfilling bias) arises because the endogeneity of the data…
This paper proposes a novel framework for delay-tolerant particle filtering that is computationally efficient and has limited memory requirements. Within this framework the informativeness of a delayed (out-of-sequence) measurement (OOSM)…
We address the challenge of quantifying Bayesian uncertainty and incorporating it in offline use cases of finite-state Markov Decision Processes (MDPs) with unknown dynamics. Our approach provides a principled method to disentangle…
We study the impact of learning on the optimal policy and the time-to-decision in an infinite-horizon Bayesian sequential decision model with two irreversible alternatives, exit and expansion. In our model, a firm undertakes a small-scale…
We consider an online model for recommendation systems, with each user being recommended an item at each time-step and providing 'like' or 'dislike' feedback. A latent variable model specifies the user preferences: both users and items are…
We consider a version of the continuum armed bandit where an action induces a filtered realisation of a non-homogeneous Poisson process. Point data in the filtered sample are then revealed to the decision-maker, whose reward is the total…
Recommender systems are a ubiquitous feature of online platforms. Increasingly, they are explicitly tasked with increasing users' long-term satisfaction. In this context, we study a content exploration task, which we formalize as a…
Computer models, aiming at simulating a complex real system, are often calibrated in the light of data to improve performance. Standard calibration methods assume that the optimal values of calibration parameters are invariant to the model…
Sequential decision problems are often approximately solvable by simulating possible future action sequences. Metalevel decision procedures have been developed for selecting which action sequences to simulate, based on estimating the…
This research considers the ranking and selection with input uncertainty. The objective is to maximize the posterior probability of correctly selecting the best alternative under a fixed simulation budget, where each alternative is measured…
Nowadays, people in the modern world communicate with their friends, relatives, and colleagues through the internet. Persons/nodes and communication/edges among them form a network. Social media networks are a type of network where people…
We consider the problem of learning structures and parameters of Continuous-time Bayesian Networks (CTBNs) from time-course data under minimal experimental resources. In practice, the cost of generating experimental data poses a bottleneck,…
A Bayesian network is a widely used probabilistic graphical model with applications in knowledge discovery and prediction. Learning a Bayesian network (BN) from data can be cast as an optimization problem using the well-known…
Bayesian approaches developed to solve the optimal design of sequential experiments are mathematically elegant but computationally challenging. Recently, techniques using amortization have been proposed to make these Bayesian approaches…
In most applications of model-based Markov decision processes, the parameters for the unknown underlying model are often estimated from the empirical data. Due to noise, the policy learnedfrom the estimated model is often far from the…