Related papers: TSEC: a framework for online experimentation under…

We study the stochastic Budgeted Multi-Armed Bandit (MAB) problem, where a player chooses from $K$ arms with unknown expected rewards and costs. The goal is to maximize the total reward under a budget constraint. A player thus seeks to…

We propose a novel combinatorial stochastic-greedy bandit (SGB) algorithm for combinatorial multi-armed bandit problems when no extra information other than the joint reward of the selected set of $n$ arms at each time step $t\in [T]$ is…

We consider the Max $K$-Armed Bandit problem, where a learning agent is faced with several stochastic arms, each a source of i.i.d. rewards of unknown distribution. At each time step the agent chooses an arm, and observes the reward of the…

Non-stationary multi-armed bandits (NS-MABs) model sequential decision-making problems in which the expected rewards of a set of actions, a.k.a.~arms, evolve over time. In this paper, we fill a gap in the literature by providing a novel…

We address online combinatorial optimization when the player has a prior over the adversary's sequence of losses. In this framework, Russo and Van Roy proposed an information-theoretic analysis of Thompson Sampling based on the information…

We focus on the problem of best-arm identification in a stochastic multi-arm bandit with temporally decreasing variances for the arms' rewards. We model arm rewards as Gaussian random variables with fixed means and variances that decrease…

Thompson Sampling (TS) is widely used to address the exploration/exploitation tradeoff in contextual bandits, yet recent theory shows that it does not explore aggressively enough in high-dimensional problems. Feel-Good Thompson Sampling…

This paper presents a new dynamic approach to experiment design in settings where, due to interference or other concerns, experimental units are coarse. `Region-split' experiments on online platforms are one example of such a setting. The…

The challenge of identifying the best feasible arm within a fixed budget has attracted considerable interest in recent years. However, a notable gap remains in the literature: the exact exponential rate at which the error probability…

In this paper, we propose a Thompson Sampling algorithm for \emph{unimodal} bandits, where the expected reward is unimodal over the partially ordered arms. To exploit the unimodal structure better, at each step, instead of exploration from…

In settings where the application of reinforcement learning (RL) requires running real-world trials, including the optimization of adaptive health interventions, the number of episodes available for learning can be severely limited due to…

Thompson sampling has been shown to be an effective policy across a variety of online learning tasks. Many works have analyzed the finite time performance of Thompson sampling, and proved that it achieves a sub-linear regret under a broad…

Approximate Bayesian computation is an established and popular method for likelihood-free inference with applications in many disciplines. The effectiveness of the method depends critically on the availability of well performing summary…

Restless bandit problems assume time-varying reward distributions of the arms, which adds flexibility to the model but makes the analysis more challenging. We study learning algorithms over the unknown reward distributions and prove a…

Thompson sampling (TS) has been known for its outstanding empirical performance supported by theoretical guarantees across various reward models in the classical stochastic multi-armed bandit problems. Nonetheless, its optimality is often…

We propose a new framework for contextual multi-armed bandits based on tree ensembles. Our framework adapts two widely used bandit methods, Upper Confidence Bound and Thompson Sampling, for both standard and combinatorial settings. As part…

Platform trials evaluate multiple experimental treatments against a common control group (and/or against each other), which often reduces the trial duration and sample size. Bayesian platform designs offer several practical advantages,…

In linear contextual bandits, the objective is to select actions that maximize cumulative rewards, modeled as a linear function with unknown parameters. Although Thompson Sampling performs well empirically, it does not achieve optimal…

We study a grouped bandit setting where each arm comprises multiple independent sub-arms referred to as attributes. Each attribute of each arm has an independent stochastic reward. We impose the constraint that for an arm to be deemed…

In many real-world problems of real-time monitoring high-dimensional streaming data, one wants to detect an undesired event or change quickly once it occurs, but under the sampling control constraint in the sense that one might be able to…