Related papers: Risk averse non-stationary multi-armed bandits

Recent work has considered natural variations of the multi-armed bandit problem, where the reward distribution of each arm is a special function of the time passed since its last pulling. In this direction, a simple (yet widely applicable)…

Contextual bandits are canonical models for sequential decision-making under uncertainty in environments with time-varying components. In this setting, the expected reward of each bandit arm consists of the inner product of an unknown…

Canonical algorithms for multi-armed bandits typically assume a stationary reward environment where the size of the action space (number of arms) is small. More recently developed methods typically relax only one of these assumptions:…

Optimizing risk measures such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) of a general loss distribution is usually difficult, because 1) the loss function might lack structural properties such as convexity or…

Classic contextual bandit algorithms for linear models, such as LinUCB, assume that the reward distribution for an arm is modeled by a stationary linear regression. When the linear regression model is non-stationary over time, the regret of…

In this paper, we develop a theoretical framework for bounding the CVaR of a random variable $X$ using another related random variable $Y$, under assumptions on their cumulative and density functions. Our results yield practical tools for…

We introduce a novel framework of combinatorial multi-armed bandits (CMAB) with multivariant and probabilistically triggering arms (CMAB-MT), where the outcome of each arm is a $d$-dimensional multivariant random variable and the feedback…

We consider the restless multi-armed bandit (RMAB) problem with unknown dynamics in which a player chooses M out of N arms to play at each time. The reward state of each arm transits according to an unknown Markovian rule when it is played…

We extend Bayesian multi-armed bandit (MAB) algorithms beyond their original setting by making use of sequential Monte Carlo (SMC) methods. A MAB is a sequential decision making problem where the goal is to learn a policy that maximizes…

The combinatorial multi-armed bandit model is designed to maximize cumulative rewards in the presence of uncertainty by activating a subset of arms in each round. This paper is inspired by two critical applications in wireless networks,…

We consider a Multi-Armed Bandit problem in which the rewards are non-stationary and are dependent on past actions and potentially on past contexts. At the heart of our method, we employ a recurrent neural network, which models these…

In this survey we cover a few stochastic and adversarial contextual bandit algorithms. We analyze each algorithm's assumption and regret bound.

This paper studies restless multi-armed bandit (RMAB) problems with unknown arm transition dynamics but with known correlated arm features. The goal is to learn a model to predict transition dynamics given features, where the Whittle index…

Motivated by emerging applications such as live-streaming e-commerce, promotions and recommendations, we introduce and solve a general class of non-stationary multi-armed bandit problems that have the following two features: (i) the…

Multi-arm bandits are gaining popularity as they enable real-world sequential decision-making across application areas, including clinical trials, recommender systems, and online decision-making. Consequently, there is an increased desire…

Real-world applications of contextual bandits often exhibit non-stationarity due to seasonality, serendipity, and evolving social trends. While a number of non-stationary contextual bandit learning algorithms have been proposed in the…

Multi-player multi-armed bandit is an increasingly relevant decision-making problem, motivated by applications to cognitive radio systems. Most research for this problem focuses exclusively on the settings that players have \textit{full…

In the multiarmed bandit problem a gambler chooses an arm of a slot machine to pull considering a tradeoff between exploration and exploitation. We study the stochastic bandit problem where each arm has a reward distribution supported in a…

Multi armed bandit (MAB) algorithms have been increasingly used to complement or integrate with A/B tests and randomized clinical trials in e-commerce, healthcare, and policymaking. Recent developments incorporate possible delayed feedback.…

We study the multi-player stochastic multiarmed bandit (MAB) problem in an abruptly changing environment. We consider a collision model in which a player receives reward at an arm if it is the only player to select the arm. We design two…