Related papers: A unified framework for bandit multiple testing
We study the distribution of regret in stochastic multi-armed bandits and episodic reinforcement learning through a unified framework. We formalize a distributional regret bound as a probabilistic guarantee that holds uniformly over all…
In a typical stochastic multi-armed bandit problem, the objective is often to maximize the expected sum of rewards over some time horizon $T$. While the choice of a strategy that accomplishes that is optimal with no additional information,…
Simultaneously performing variable selection and inference in high-dimensional regression models is an open challenge in statistics and machine learning. The increasing availability of vast amounts of variables requires the adoption of…
Multivariate statistics are often available as well as necessary in hypothesis tests. We study how to use such statistics to control not only false discovery rate (FDR) but also positive FDR (pFDR) with good power. We show that FDR can be…
High-dimensional sparse generalized linear models (GLMs) have emerged in the setting that the number of samples and the dimension of variables are large, and even the dimension of variables grows faster than the number of samples. False…
When comparing the performance of multi-armed bandit algorithms, the potential impact of missing data is often overlooked. In practice, it also affects their implementation where the simplest approach to overcome this is to continue to…
Efficient selection among multiple generative models is increasingly important in modern generative AI, where sampling from suboptimal models is costly. This problem can be formulated as a multi-armed bandit task. Under diversity-aware…
We study a multi-objective pure exploration problem in a multi-armed bandit model. Each arm is associated to an unknown multi-variate distribution and the goal is to identify the distributions whose mean is not uniformly worse than that of…
Competition-based FDR control has been commonly used for over a decade in the computational mass spectrometry community (Elias and Gygi, 2007). Recently, the approach has gained significant popularity in other fields after Barber and Candes…
We consider the classical multi-armed bandit problem, but with strategic arms. In this context, each arm is characterized by a bounded support reward distribution and strategically aims to maximize its own utility by potentially retaining a…
In this paper, we address the problem of identifying the Pareto Set under feasibility constraints in a multivariate bandit setting. Specifically, given a $K$-armed bandit with unknown means $\mu_1, \dots, \mu_K \in \mathbb{R}^d$, the goal…
We study the fixed-confidence best arm identification (BAI) problem within the multi-armed bandit (MAB) framework under the Entropic Value-at-Risk (EVaR) criterion. Our analysis considers a nonparametric setting, allowing for general reward…
This paper presents a powerful methodology for flexible full-data nonparametric novelty detection that offers distribution-free false discovery rate (FDR) control guarantees. Building on the full conformal inference framework and the…
We consider the problem of near-optimal arm identification in the fixed confidence setting of the infinitely armed bandit problem when nothing is known about the arm reservoir distribution. We (1) introduce a PAC-like framework within which…
This paper considers the problem of combinatorial multi-armed bandits with semi-bandit feedback and a cardinality constraint on the super-arm size. Existing algorithms for solving this problem typically involve two key sub-routines: (1) a…
We address the problem of identifying the optimal policy with a fixed confidence level in a multi-armed bandit setup, when \emph{the arms are subject to linear constraints}. Unlike the standard best-arm identification problem which is well…
Multiple hypothesis testing is a fundamental problem in high dimensional inference, with wide applications in many scientific fields. In genome-wide association studies, tens of thousands of tests are performed simultaneously to find if any…
Recently multi-armed bandit problem arises in many real-life scenarios where arms must be sampled in batches, due to limited time the agent can wait for the feedback. Such applications include biological experimentation and online…
We consider the bandit problem of selecting $K$ out of $N$ arms at each time step. The reward can be a non-linear function of the rewards of the selected individual arms. The direct use of a multi-armed bandit algorithm requires choosing…
In this paper, we study a variant of best-arm identification involving elements of risk sensitivity and communication constraints. Specifically, the goal of the learner is to identify the arm with the highest quantile reward, while the…