Related papers: Coordinate Descent with Bandit Sampling

This paper focuses on coordinate update methods, which are useful for solving problems involving large or high-dimensional datasets. They decompose a problem into simple subproblems, where each updates one, or a small block of, variables…

In this paper we develop and analyze Hydra: HYbriD cooRdinAte descent method for solving loss minimization problems with big data. We initially partition the coordinates (features) and assign each partition to a different node of a cluster.…

The Coordinate Ascent Variational Inference scheme is a popular algorithm used to compute the mean-field approximation of a probability distribution of interest. We analyze its random scan version, under log-concavity assumptions on the…

This paper studies the problem of adaptively sampling from K distributions (arms) in order to identify the largest gap between any two adjacent means. We call this the MaxGap-bandit problem. This problem arises naturally in approximate…

Motivated by the challenges of edge inference, we study a variant of the cascade bandit model in which each arm corresponds to an inference model with an associated accuracy and error probability. We analyse four decision-making…

In this paper, we consider a best action identification problem in the stochastic linear bandit setup with a fixed confident constraint. In the considered best action identification problem, instead of minimizing the accumulative regret as…

Algorithm selection is typically based on models of algorithm performance, learned during a separate offline training sequence, which can be prohibitively expensive. In recent work, we adopted an online approach, in which a performance…

Much of the recent literature on bandit learning focuses on algorithms that aim to converge on an optimal action. One shortcoming is that this orientation does not account for time sensitivity, which can play a crucial role when learning an…

This paper considers the problem of maximizing an expectation function over a finite set, or finite-arm bandit problem. We first propose a naive stochastic bandit algorithm for obtaining a probably approximately correct (PAC) solution to…

The shrinking rank method is a variation of slice sampling that is efficient at sampling from multivariate distributions with highly correlated parameters. It requires that the gradient of the log-density be computable. At each individual…

A wide range of optimization problems arising in machine learning can be solved by gradient descent algorithms, and a central question in this area is how to efficiently compress a large-scale dataset so as to reduce the computational…

We study nonparametric contextual bandits under batch constraints, where the expected reward for each action is modeled as a smooth function of covariates, and the policy updates are made at the end of each batch of observations. We…

We consider a multi-armed bandit setting with finitely many arms, in which each arm yields an $M$-dimensional vector reward upon selection. We assume that the reward of each dimension (a.k.a. {\em objective}) is generated independently of…

We focus on the problem of best-arm identification in a stochastic multi-arm bandit with temporally decreasing variances for the arms' rewards. We model arm rewards as Gaussian random variables with fixed means and variances that decrease…

In this paper we develop random block coordinate gradient descent methods for minimizing large scale linearly constrained separable convex problems over networks. Since we have coupled constraints in the problem, we devise an algorithm that…

We consider a bandit problem where at any time, the decision maker can add new arms to her consideration set. A new arm is queried at a cost from an "arm-reservoir" containing finitely many "arm-types," each characterized by a distinct mean…

The multi-armed bandit problem is a core framework for sequential decision-making under uncertainty, but classical algorithms often fail in environments with hidden, time-varying states that confound reward estimation and optimal action…

Effective solving of constraint problems often requires choosing good or specific search heuristics. However, choosing or designing a good search heuristic is non-trivial and is often a manual process. In this paper, rather than manually…

Randomized coordinate descent (RCD) methods are state-of-the-art algorithms for training linear predictors via minimizing regularized empirical risk. When the number of examples ($n$) is much larger than the number of features ($d$), a…

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…