Related papers: Scalable Generalized Linear Bandits: Online Comput…

We consider the thresholding bandit problem, whose goal is to find arms of mean rewards above a given threshold $\theta$, with a fixed budget of $T$ trials. We introduce LSA, a new, simple and anytime algorithm that aims to minimize the…

We consider stochastic multi-armed bandit problems where the expected reward is a Lipschitz function of the arm, and where the set of arms is either discrete or continuous. For discrete Lipschitz bandits, we derive asymptotic problem…

We study adaptive regret bounds in terms of the variation of the losses (the so-called path-length bounds) for both multi-armed bandit and more generally linear bandit. We first show that the seemingly suboptimal path-length bound of (Wei…

We study the linear bandit problem under limited adaptivity, known as the batched linear bandit. While existing approaches can achieve near-optimal regret in theory, they are often computationally prohibitive or underperform in practice. We…

Motivated by the pressing need for efficient optimization in online recommender systems, we revisit the cascading bandit model proposed by Kveton et al. (2015). While Thompson sampling (TS) algorithms have been shown to be empirically…

On-line linear optimization on combinatorial action sets (d-dimensional actions) with bandit feedback, is known to have complexity in the order of the dimension of the problem. The exponential weighted strategy achieves the best known…

Hoffman's classical result gives a bound on the distance of a point from a convex and compact polytope in terms of the magnitude of violation of the constraints. Recently, several results showed that Hoffman's bound can be used to derive…

Stochastic linear bandits are a natural and simple generalisation of finite-armed bandits with numerous practical applications. Current approaches focus on generalising existing techniques for finite-armed bandits, notably the optimism…

We study the generalized linear contextual bandit problem within the constraints of limited adaptivity. In this paper, we present two algorithms, $\texttt{B-GLinCB}$ and $\texttt{RS-GLinCB}$, that address, respectively, two prevalent…

We propose stochastic rank-$1$ bandits, a class of online learning problems where at each step a learning agent chooses a pair of row and column arms, and receives the product of their values as a reward. The main challenge of the problem…

Fast changing states or volatile environments pose a significant challenge to online optimization, which needs to perform rapid adaptation under limited observation. In this paper, we give query and regret optimal bandit algorithms under…

This paper studies the Bayesian regret of a variant of the Thompson-Sampling algorithm for bandit problems. It builds upon the information-theoretic framework of [Russo and Van Roy, 2015] and, more specifically, on the rate-distortion…

We give a polynomial time reduction from vector scheduling problem (VS) to generalized load balancing problem (GLB). This reduction gives the first non-trivial online algorithm for VS where vectors come in an online fashion. The online…

This paper is in the field of stochastic Multi-Armed Bandits (MABs), i.e., those sequential selection techniques able to learn online using only the feedback given by the chosen option (a.k.a. arm). We study a particular case of the rested…

We propose a new bootstrap-based online algorithm for stochastic linear bandit problems. The key idea is to adopt residual bootstrap exploration, in which the agent estimates the next step reward by re-sampling the residuals of mean reward…

We establish strong laws of large numbers and central limit theorems for the regret of two of the most popular bandit algorithms: Thompson sampling and UCB. Here, our characterizations of the regret distribution complement the…

This study presents two new algorithms for solving linear stochastic bandit problems. The proposed methods use an approach from non-parametric statistics called bootstrapping to create confidence bounds. This is achieved without making any…

In this paper we propose a novel experimental design-based algorithm to minimize regret in online stochastic linear and combinatorial bandits. While existing literature tends to focus on optimism-based algorithms--which have been shown to…

This paper studies the distributed bandit convex optimization problem with time-varying inequality constraints, where the goal is to minimize network regret and cumulative constraint violation. To calculate network cumulative constraint…

We study the linear contextual bandit problem with finite action sets. When the problem dimension is $d$, the time horizon is $T$, and there are $n \leq 2^{d/2}$ candidate actions per time period, we (1) show that the minimax expected…