Related papers: Adaptive strategy in Kelly's horse races model

In a multi-follower Bayesian Stackelberg game, a leader plays a mixed strategy over $L$ actions to which $n\ge 1$ followers, each having one of $K$ possible private types, best respond. The leader's optimal strategy depends on the…

Motivated by applications to data networks where fast convergence is essential, we analyze the problem of learning in generic N-person games that admit a Nash equilibrium in pure strategies. Specifically, we consider a scenario where…

Online learning algorithms that minimize regret provide strong guarantees in situations that involve repeatedly making decisions in an uncertain environment, e.g. a driver deciding what route to drive to work every day. While regret…

We develop and analyze a method for stochastic simulation optimization based on Gaussian process models within a trust-region framework. We focus on settings where the variance of the objective function is large, making accurate estimation…

Gambits are central to human decision-making. Our goal is to provide a theory of Gambits. A Gambit is a combination of psychological and technical factors designed to disrupt predictable play. Chess provides an environment to study gambits…

This paper describes a new parameter-free online learning algorithm for changing environments. In comparing against algorithms with the same time complexity as ours, we obtain a strongly adaptive regret bound that is a factor of at least…

Motivated by applications in service systems, we consider queueing systems where each customer must be handled by a server with the right skill set. We focus on optimizing the routing of customers to servers in order to maximize the total…

Optimal designs minimize the number of experimental runs (samples) needed to accurately estimate model parameters, resulting in algorithms that, for instance, efficiently minimize parameter estimate variance. Governed by knowledge of past…

We develop a new framework for designing online policies given access to an oracle providing statistical information about an offline benchmark. Having access to such prediction oracles enables simple and natural Bayesian selection…

Online learning and model reference adaptive control have many interesting intersections. One area where they differ however is in how the algorithms are analyzed and what objective or metric is used to discriminate "good" algorithms from…

In game-theoretic learning, several agents are simultaneously following their individual interests, so the environment is non-stationary from each player's perspective. In this context, the performance of a learning algorithm is often…

Hedge has been proposed as an adaptive scheme, which guides an agent's decision in resource selection and distribution problems that can be modeled as a multi-armed bandit full information game. Such problems are encountered in the areas of…

We investigate the adaptive robust control framework for portfolio optimization and loss-based hedging under drift and volatility uncertainty. Adaptive robust problems offer many advantages but require handling a double optimization problem…

We aim to design strategies for sequential decision making that adjust to the difficulty of the learning problem. We study this question both in the setting of prediction with expert advice, and for more general combinatorial decision…

Robotic systems must be able to quickly and robustly make decisions when operating in uncertain and dynamic environments. While Reinforcement Learning (RL) can be used to compute optimal policies with little prior knowledge about the…

In this paper, we propose a probabilistic game-theoretic model to study the properties of the worst-case regret of the greedy strategy under complete (Knightian) uncertainty. In a game between a decision-maker (DM) and an adversarial agent…

It is a common misconception that in order to make consistent profits as a trader, one needs to posses some extra information leading to an asset value estimation more accurate than that reflected by the current market price. While the idea…

We study the power of different types of adaptive (nonoblivious) adversaries in the setting of prediction with expert advice, under both full-information and bandit feedback. We measure the player's performance using a new notion of regret,…

The literature on game-theoretic equilibrium finding predominantly focuses on single games or their repeated play. Nevertheless, numerous real-world scenarios feature playing a game sampled from a distribution of similar, but not identical…

We show that learning algorithms satisfying a $\textit{low approximate regret}$ property experience fast convergence to approximate optimality in a large class of repeated games. Our property, which simply requires that each learner has…