Related papers: Simulation Based Algorithms for Markov Decision Pr…
We study the nonstationary stochastic Multi-Armed Bandit (MAB) problem in which the distribution of rewards associated with each arm are assumed to be time-varying and the total variation in the expected rewards is subject to a variation…
Several researchers have recently investigated the connection between reinforcement learning and classification. We are motivated by proposals of approximate policy iteration schemes without value functions which focus on policy…
Motivated by applications in energy management, this paper presents the Multi-Armed Risk-Aware Bandit (MARAB) algorithm. With the goal of limiting the exploration of risky arms, MARAB takes as arm quality its conditional value at risk. When…
We present a two-armed bandit model of decision making under uncertainty where the expected return to investing in the "risky arm" increases when choosing that arm and decreases when choosing the "safe" arm. These dynamics are natural in…
UCT, a state-of-the art algorithm for Monte Carlo tree search (MCTS) in games and Markov decision processes, is based on UCB1, a sampling policy for the Multi-armed Bandit problem (MAB) that minimizes the cumulative regret. However, search…
The success of many healthcare programs depends on participants' adherence. We consider the problem of scheduling interventions in low resource settings (e.g., placing timely support calls from health workers) to increase adherence and/or…
Motivated by applications such as online labor markets we consider a variant of the stochastic multi-armed bandit problem where we have a collection of arms representing strategic agents with different performance characteristics. The…
Scheduling in multi-channel wireless communication system presents formidable challenges in effectively allocating resources. To address these challenges, we investigate a multi-resource restless matching bandit (MR-RMB) model for…
Restless Multi-Armed Bandits (RMABs) are a powerful framework for sequential decision-making, widely applied in resource allocation and intervention optimization challenges in public health. However, traditional RMABs assume independence…
For traffic routing platforms, the choice of which route to recommend to a user depends on the congestion on these routes -- indeed, an individual's utility depends on the number of people using the recommended route at that instance.…
UCT, a state-of-the art algorithm for Monte Carlo tree sampling (MCTS), is based on UCB, a sampling policy for the Multi-armed Bandit Problem (MAB) that minimizes the accumulated regret. However, MCTS differs from MAB in that only the final…
We develop asymptotically optimal policies for the multi armed bandit (MAB), problem, under a cost constraint. This model is applicable in situations where each sample (or activation) from a population (bandit) incurs a known bandit…
The stochastic multi-armed bandit (MAB) problem is a common model for sequential decision problems. In the standard setup, a decision maker has to choose at every instant between several competing arms, each of them provides a scalar random…
We consider a class of restless multi-armed bandit (RMAB) problems with unknown arm dynamics. At each time, a player chooses an arm out of N arms to play, referred to as an active arm, and receives a random reward from a finite set of…
The multi-armed bandit (MAB) problem is a classical learning task that exemplifies the exploration-exploitation tradeoff. However, standard formulations do not take into account {\em risk}. In online decision making systems, risk is a…
The purpose of this paper is to provide further understanding into the structure of the sequential allocation ("stochastic multi-armed bandit", or MAB) problem by establishing probability one finite horizon bounds and convergence rates for…
Restless multi-armed bandits (RMAB) has been widely used to model constrained sequential decision making problems, where the state of each restless arm evolves according to a Markov chain and each state transition generates a scalar reward.…
We study the online restless bandit problem, where the state of each arm evolves according to a Markov chain, and the reward of pulling an arm depends on both the pulled arm and the current state of the corresponding Markov chain. In this…
Contextual multi-armed bandit (MAB) algorithms have been shown promising for maximizing cumulative rewards in sequential decision tasks such as news article recommendation systems, web page ad placement algorithms, and mobile health.…
We present a Monte-Carlo simulation algorithm for real-time policy improvement of an adaptive controller. In the Monte-Carlo simulation, the long-term expected reward of each possible action is statistically measured, using the initial…