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Most existing approximate Thompson Sampling (TS) algorithms for multi-armed bandits use Stochastic Gradient Langevin Dynamics (SGLD) or its variants in each round to sample from the posterior, relaxing the need for conjugacy assumptions…
We study how representation learning can improve the learning efficiency of contextual bandit problems. We study the setting where we play T contextual linear bandits with dimension d simultaneously, and these T bandit tasks collectively…
In stochastic contextual bandits, an agent sequentially makes actions from a time-dependent action set based on past experience to minimize the cumulative regret. Like many other machine learning algorithms, the performance of bandits…
Thompson Sampling (TS) is one of the most effective algorithms for solving contextual multi-armed bandit problems. In this paper, we propose a new algorithm, called Neural Thompson Sampling, which adapts deep neural networks for both…
Thompson Sampling is one of the oldest heuristics for multi-armed bandit problems. It is a randomized algorithm based on Bayesian ideas, and has recently generated significant interest after several studies demonstrated it to have better…
With the fast development of big data, learning the optimal decision rule by recursively updating it and making online decisions has been easier than before. We study the online statistical inference of model parameters in a contextual…
We consider the stochastic linear contextual bandit problem with high-dimensional features. We analyze the Thompson sampling algorithm using special classes of sparsity-inducing priors (e.g., spike-and-slab) to model the unknown parameter…
The design and performance analysis of bandit algorithms in the presence of stage-wise safety or reliability constraints has recently garnered significant interest. In this work, we consider the linear stochastic bandit problem under…
Recent advances in contextual bandit optimization and reinforcement learning have garnered interest in applying these methods to real-world sequential decision making problems. Real-world applications frequently have constraints with…
Stochastic gradient descent (SGD) is a cornerstone algorithm for high-dimensional optimization, renowned for its empirical successes. Recent theoretical advances have provided a deep understanding of how SGD enables feature learning in…
We present a new algorithm for the contextual bandit learning problem, where the learner repeatedly takes one of $K$ actions in response to the observed context, and observes the reward only for that chosen action. Our method assumes access…
In stochastic contextual bandit (SCB) problems, an agent selects an action based on certain observed context to maximize the cumulative reward over iterations. Recently there have been a few studies using a deep neural network (DNN) to…
Contextual bandits provide an effective way to model the dynamic data problem in ML by leveraging online (incremental) learning to continuously adjust the predictions based on changing environment. We explore details on contextual bandits,…
Online learning algorithms require to often recompute least squares regression estimates of parameters. We study improving the computational complexity of such algorithms by using stochastic gradient descent (SGD) type schemes in place of…
Contextual bandit algorithms are useful in personalized online decision-making. However, many applications such as personalized medicine and online advertising require the utilization of individual-specific information for effective…
Stochastic gradient descent (SGD) is a standard optimization method to minimize a training error with respect to network parameters in modern neural network learning. However, it typically suffers from proliferation of saddle points in the…
Contextual bandits are widely used in Internet services from news recommendation to advertising, and to Web search. Generalized linear models (logistical regression in particular) have demonstrated stronger performance than linear models in…
We address the problem of regret minimization in logistic contextual bandits, where a learner decides among sequential actions or arms given their respective contexts to maximize binary rewards. Using a fast inference procedure with…
Non-stationary multi-armed bandit (NS-MAB) problems have recently received significant attention. NS-MAB are typically modelled in two scenarios: abruptly changing, where reward distributions remain constant for a certain period and change…
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…