Related papers: Risk-Averse Stochastic Convex Bandit
We consider a stochastic multi-armed bandit setting and study the problem of constrained regret minimization over a given time horizon. Each arm is associated with an unknown, possibly multi-dimensional distribution, and the merit of an arm…
We consider dynamic pricing with many products under an evolving but low-dimensional demand model. Assuming the temporal variation in cross-elasticities exhibits low-rank structure based on fixed (latent) features of the products, we show…
We study a stochastic budget-allocation problem over $K$ tasks. At each round $t$, the learner chooses an allocation $X_t \in \Delta_K$. Task $k$ succeeds with probability $F_k(X_{t,k})$, where $F_1,\dots,F_K$ are nondecreasing…
Multi-armed bandit problems are the predominant theoretical model of exploration-exploitation tradeoffs in learning, and they have countless applications ranging from medical trials, to communication networks, to Web search and advertising.…
Autoregressive processes naturally arise in a large variety of real-world scenarios, including stock markets, sales forecasting, weather prediction, advertising, and pricing. When facing a sequential decision-making problem in such a…
Logistic Bandits have recently undergone careful scrutiny by virtue of their combined theoretical and practical relevance. This research effort delivered statistically efficient algorithms, improving the regret of previous strategies by…
We investigate the challenging problem of adversarial multi-armed bandits operating under time-varying constraints, a scenario motivated by numerous real-world applications. To address this complex setting, we propose a novel primal-dual…
This paper proposes a linear bandit algorithm that is adaptive to environments at two different levels of hierarchy. At the higher level, the proposed algorithm adapts to a variety of types of environments. More precisely, it achieves…
We propose a novel approach for analyzing dynamic regret of first-order constrained online convex optimization algorithms for strongly convex and Lipschitz-smooth objectives. Crucially, we provide a general analysis that is applicable to a…
Multi-dimensional online decision making plays a crucial role in many real applications such as online recommendation and digital marketing. In these problems, a decision at each time is a combination of choices from different types of…
This paper mainly addresses the distributed online optimization problem where the local objective functions are assumed to be convex or non-convex. First, the distributed algorithms are proposed for the convex and non-convex situations,…
We study online learning problems in which a decision maker has to take a sequence of decisions subject to $m$ long-term constraints. The goal of the decision maker is to maximize their total reward, while at the same time achieving small…
We study stochastic linear optimization problem with bandit feedback. The set of arms take values in an $N$-dimensional space and belong to a bounded polyhedron described by finitely many linear inequalities. We provide a lower bound for…
We consider a safe optimization problem with bandit feedback in which an agent sequentially chooses actions and observes responses from the environment, with the goal of maximizing an arbitrary function of the response while respecting…
In this paper we consider the contextual multi-armed bandit problem for linear payoffs under a risk-averse criterion. At each round, contexts are revealed for each arm, and the decision maker chooses one arm to pull and receives the…
In this paper we consider the problem of online stochastic optimization of a locally smooth function under bandit feedback. We introduce the high-confidence tree (HCT) algorithm, a novel any-time $\mathcal{X}$-armed bandit algorithm, and…
We consider the classic online learning and stochastic multi-armed bandit (MAB) problems, when at each step, the online policy can probe and find out which of a small number ($k$) of choices has better reward (or loss) before making its…
In this paper we study the non-stationary stochastic optimization question with bandit feedback and dynamic regret measures. The seminal work of Besbes et al. (2015) shows that, when aggregated function changes is known a priori, a simple…
We present simple and efficient algorithms for the batched stochastic multi-armed bandit and batched stochastic linear bandit problems. We prove bounds for their expected regrets that improve over the best-known regret bounds for any number…
In many online decision processes, the optimizing agent is called to choose between large numbers of alternatives with many inherent similarities; in turn, these similarities imply closely correlated losses that may confound standard…