Related papers: Regret and Belief Complexity Trade-off in Gaussian…

Bayesian optimization methods have been successfully applied to black box optimization problems that are expensive to evaluate. In this paper, we adapt the so-called super effcient global optimization algorithm to solve more accurately…

We study Thompson Sampling-based algorithms for stochastic bandits with bounded rewards. As the existing problem-dependent regret bound for Thompson Sampling with Gaussian priors [Agrawal and Goyal, 2017] is vacuous when $T \le 288 e^{64}$,…

We investigate the regret-minimisation problem in a multi-armed bandit setting with arbitrary corruptions. Similar to the classical setup, the agent receives rewards generated independently from the distribution of the arm chosen at each…

This work focuses on Bayesian optimization (BO) under reward model uncertainty. We propose the first BO algorithm that achieves no-regret guarantee in a general reward setting, requiring only Lipschitz continuity of the objective function…

Mean rewards of actions are often correlated. The form of these correlations may be complex and unknown a priori, such as the preferences of a user for recommended products and their categories. To maximize statistical efficiency, it is…

We study contextual bandits in the presence of a stage-wise constraint when the constraint must be satisfied both with high probability and in expectation. We start with the linear case where both the reward function and the stage-wise…

Bayesian optimization (BO) is a widely used iterative algorithm for optimizing black-box functions. Each iteration requires maximizing an acquisition function, such as the upper confidence bound (UCB) or a sample path from the Gaussian…

Bayesian optimization is a powerful tool for optimizing an expensive-to-evaluate black-box function. In particular, the effectiveness of expected improvement (EI) has been demonstrated in a wide range of applications. However, theoretical…

We develop a meta-learning framework for simple regret minimization in bandits. In this framework, a learning agent interacts with a sequence of bandit tasks, which are sampled i.i.d.\ from an unknown prior distribution, and learns its…

Bayesian bandit algorithms with approximate Bayesian inference have been widely used in real-world applications. Despite the superior practical performance, their theoretical justification is less investigated in the literature, especially…

In many sequential decision problems, an agent performs a repeated task. He then suffers regret and obtains information that he may use in the following rounds. However, sometimes the agent may also obtain information and avoid suffering…

The widespread proliferation of data-driven decision-making has ushered in a recent interest in the design of privacy-preserving algorithms. In this paper, we consider the ubiquitous problem of gaussian process (GP) bandit optimization from…

This paper is motivated by recent research in the $d$-dimensional stochastic linear bandit literature, which has revealed an unsettling discrepancy: algorithms like Thompson sampling and Greedy demonstrate promising empirical performance,…

Reinforcement learning studies how to balance exploration and exploitation in real-world systems, optimizing interactions with the world while simultaneously learning how the world operates. One general class of algorithms for such learning…

We study the problem of worst case regret in piecewise stationary multi armed bandits. While the minimax theory for stationary bandits is well established, understanding analogous limits in time-varying settings is challenging. Existing…

We consider model selection in stochastic bandit and reinforcement learning problems. Given a set of base learning algorithms, an effective model selection strategy adapts to the best learning algorithm in an online fashion. We show that by…

We study the $\textit{single-index bandit}$ problem, where rewards depend on an unknown one-dimensional projection of high-dimensional contexts through an unknown reward function. This model extends linear and generalized linear bandits to…

We study the problem of designing replication-proof bandit mechanisms when agents strategically register or replicate their own arms to maximize their payoff. Specifically, we consider Bayesian agents who only know the distribution from…

This work addresses the problem of regret minimization in non-stochastic multi-armed bandit problems, focusing on performance guarantees that hold with high probability. Such results are rather scarce in the literature since proving them…

The stochastic multi-armed bandit problem is well understood when the reward distributions are sub-Gaussian. In this paper we examine the bandit problem under the weaker assumption that the distributions have moments of order 1+\epsilon,…