Related papers: Exploiting the Surrogate Gap in Online Multiclass …

This paper presents new \emph{variance-aware} confidence sets for linear bandits and linear mixture Markov Decision Processes (MDPs). With the new confidence sets, we obtain the follow regret bounds: For linear bandits, we obtain an…

We consider the problem of contextual bandits where actions are subsets of a ground set and mean rewards are modeled by an unknown monotone submodular function that belongs to a class $\mathcal{F}$. We allow time-varying matroid constraints…

In online convex optimization it is well known that certain subclasses of objective functions are much easier than arbitrary convex functions. We are interested in designing adaptive methods that can automatically get fast rates in as many…

In this paper, we consider an online optimization problem over $T$ rounds where at each step $t\in[T]$, the algorithm chooses an action $x_t$ from the fixed convex and compact domain set $\mathcal{K}$. A utility function $f_t(\cdot)$ is…

Multi-armed Bandit motivates methods with provable upper bounds on regret and also the counterpart lower bounds have been extensively studied in this context. Recently, Multi-agent Multi-armed Bandit has gained significant traction in…

In this paper we propose a general methodology to derive regret bounds for randomized multi-armed bandit algorithms. It consists in checking a set of sufficient conditions on the sampling probability of each arm and on the family of…

We present surrogate regret bounds for arbitrary surrogate losses in the context of binary classification with label-dependent costs. Such bounds relate a classifier's risk, assessed with respect to a surrogate loss, to its cost-sensitive…

We address online linear optimization problems when the possible actions of the decision maker are represented by binary vectors. The regret of the decision maker is the difference between her realized loss and the best loss she would have…

We study a new class of online learning problems where each of the online algorithm's actions is assigned an adversarial value, and the loss of the algorithm at each step is a known and deterministic function of the values assigned to its…

We propose stochastic rank-$1$ bandits, a class of online learning problems where at each step a learning agent chooses a pair of row and column arms, and receives the product of their values as a reward. The main challenge of the problem…

We study linear contextual bandits in the misspecified setting, where the expected reward function can be approximated by a linear function class up to a bounded misspecification level $\zeta>0$. We propose an algorithm based on a novel…

We show how to take any two parameter-free online learning algorithms with different regret guarantees and obtain a single algorithm whose regret is the minimum of the two base algorithms. Our method is embarrassingly simple: just add the…

We show that the Subgradient algorithm is universal for online learning on the simplex in the sense that it simultaneously achieves $O(\sqrt N)$ regret for adversarial costs and $O(1)$ pseudo-regret for i.i.d costs. To the best of our…

We develop parameter-free algorithms for unconstrained online learning with regret guarantees that scale with the gradient variation $V_T(u) = \sum_{t=2}^T \|\nabla f_t(u)-\nabla f_{t-1}(u)\|^2$. For $L$-smooth convex loss, we provide…

We prove the familiar Lazy Online Gradient Descent algorithm is universal on polytope domains. That means it gets $O(1)$ pseudo-regret against i.i.d opponents, while simultaneously achieving the well-known $O(\sqrt N)$ worst-case regret…

We study optimal regret bounds for control in linear dynamical systems under adversarially changing strongly convex cost functions, given the knowledge of transition dynamics. This includes several well studied and fundamental frameworks…

Computationally efficient contextual bandits are often based on estimating a predictive model of rewards given contexts and arms using past data. However, when the reward model is not well-specified, the bandit algorithm may incur…

We study the setting of optimizing with bandit feedback with additional prior knowledge provided to the learner in the form of an initial hint of the optimal action. We present a novel algorithm for stochastic linear bandits that uses this…

We design differentially private algorithms for the problem of online linear optimization in the full information and bandit settings with optimal $\tilde{O}(\sqrt{T})$ regret bounds. In the full-information setting, our results demonstrate…

Most learning algorithms with formal regret guarantees assume that all mistakes are recoverable and essentially rely on trying all possible behaviors. This approach is problematic when some mistakes are "catastrophic", i.e., irreparable. We…