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Efficient learning in multi-armed bandit mechanisms such as pay-per-click (PPC) auctions typically involves three challenges: 1) inducing truthful bidding behavior (incentives), 2) using personalization in the users (context), and 3)…
This work theoretically studies a ubiquitous reinforcement learning policy for controlling the canonical model of continuous-time stochastic linear-quadratic systems. We show that randomized certainty equivalent policy addresses the…
Deep Reinforcement Learning has been shown to be very successful in complex games, e.g. Atari or Go. These games have clearly defined rules, and hence allow simulation. In many practical applications, however, interactions with the…
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…
Traditional classification algorithms assume that training and test data come from similar distributions. This assumption is violated in adversarial settings, where malicious actors modify instances to evade detection. A number of custom…
We investigate the problem of unconstrained combinatorial multi-armed bandits with full-bandit feedback and stochastic rewards for submodular maximization. Previous works investigate the same problem assuming a submodular and monotone…
Efficiently trading off exploration and exploitation is one of the key challenges in online Reinforcement Learning (RL). Most works achieve this by carefully estimating the model uncertainty and following the so-called optimistic model.…
We establish a link between a class of discrete choice models and the theory of online learning and multi-armed bandits. Our contributions are: (i) sublinear regret bounds for a broad algorithmic family, encompassing Exp3 as a special case;…
In this paper, we consider the problem of sleeping bandits with stochastic action sets and adversarial rewards. In this setting, in contrast to most work in bandits, the actions may not be available at all times. For instance, some products…
There are two variants of the classical multi-armed bandit (MAB) problem that have received considerable attention from machine learning researchers in recent years: contextual bandits and simple regret minimization. Contextual bandits are…
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…
In many RL applications, once training ends, it is vital to detect any deterioration in the agent performance as soon as possible. Furthermore, it often has to be done without modifying the policy and under minimal assumptions regarding the…
We study an important variant of the stochastic multi-armed bandit (MAB) problem, which takes penalization into consideration. Instead of directly maximizing cumulative expected reward, we need to balance between the total reward and…
We study the multi-armed bandit (MAB) problem with composite and anonymous feedback. In this model, the reward of pulling an arm spreads over a period of time (we call this period as reward interval) and the player receives partial rewards…
We study high-dimensional multi-armed contextual bandits with batched feedback where the $T$ steps of online interactions are divided into $L$ batches. In specific, each batch collects data according to a policy that depends on previous…
We study online reinforcement learning in linear Markov decision processes with adversarial losses and bandit feedback, without prior knowledge on transitions or access to simulators. We introduce two algorithms that achieve improved regret…
Most bandit policies are designed to either minimize regret in any problem instance, making very few assumptions about the underlying environment, or in a Bayesian sense, assuming a prior distribution over environment parameters. The former…
The safe linear bandit problem is a version of the classical stochastic linear bandit problem where the learner's actions must satisfy an uncertain constraint at all rounds. Due its applicability to many real-world settings, this problem…
This paper introduces the framework of multi-armed sampling, which serves as the sampling counterpart to the optimization problem of multi-armed bandits. Our primary motivation is to rigorously examine the exploration-exploitation trade-off…
The Colonel Blotto game is a renowned resource allocation problem with a long-standing literature in game theory (almost 100 years). However, its scope of application is still restricted by the lack of studies on the incomplete-information…