Related papers: Safe Linear Bandits over Unknown Polytopes

In federated contextual linear bandits, high data dimensionality incurs prohibitive computation and communication costs: local agents perform $O(d^3)$-time determinant computation and upload $O(d^2)$ parameters, making existing algorithms…

This paper studies online convex optimization with unknown linear budget constraints, where only the gradient information of the objective and the bandit feedback of constraint functions are observed. We propose a safe and efficient…

We present improved algorithms with worst-case regret guarantees for the stochastic linear bandit problem. The widely used "optimism in the face of uncertainty" principle reduces a stochastic bandit problem to the construction of a…

Linear bandits have become a cornerstone of online learning and sequential decision-making, providing solid theoretical foundations for balancing exploration and exploitation. Within this domain, matrix sketching serves as a critical…

One of the primary challenges in large-scale distributed learning stems from stringent communication constraints. While several recent works address this challenge for static optimization problems, sequential decision-making under…

We study stochastic linear bandits where, in each round, the learner receives a set of actions (i.e., feature vectors), from which it chooses an element and obtains a stochastic reward. The expected reward is a fixed but unknown linear…

The stochastic multi-arm bandit problem has been extensively studied under standard assumptions on the arm's distribution (e.g bounded with known support, exponential family, etc). These assumptions are suitable for many real-world problems…

Sharpe Ratio (SR) is a critical parameter in characterizing financial time series as it jointly considers the reward and the volatility of any stock/portfolio through its variance. Deriving online algorithms for optimizing the SR is…

Conservative Contextual Bandits (CCBs) address safety in sequential decision making by requiring that an agent's policy, along with minimizing regret, also satisfies a safety constraint: the performance is not worse than a baseline policy…

We propose two linear bandits algorithms with per-step complexity sublinear in the number of arms $K$. The algorithms are designed for applications where the arm set is extremely large and slowly changing. Our key realization is that…

Dueling bandits is a prominent framework for decision-making involving preferential feedback, a valuable feature that fits various applications involving human interaction, such as ranking, information retrieval, and recommendation systems.…

The deployment of Multi-Armed Bandits (MAB) has become commonplace in many economic applications. However, regret guarantees for even state-of-the-art linear bandit algorithms (such as Optimism in the Face of Uncertainty Linear bandit…

Adapting to a priori unknown noise level is a very important but challenging problem in sequential decision-making as efficient exploration typically requires knowledge of the noise level, which is often loosely specified. We report…

This paper is motivated by recent research in the $d$-dimensional stochastic linear bandit literature, which has revealed an unsettling discrepancy: algorithms like Thompson sampling and Greedy demonstrate promising empirical performance,…

We study nonstationary generalized linear bandits (GLBs), where the expected reward is modeled through a nonlinear link function with an unknown time-varying parameter. This framework encompasses a broad class of reward models, including…

We study the linear contextual bandit problem with finite action sets. When the problem dimension is $d$, the time horizon is $T$, and there are $n \leq 2^{d/2}$ candidate actions per time period, we (1) show that the minimax expected…

We study the $K$-armed logistic bandit problem, where at each round, the agent observes $K$ feature vectors associated with $K$ actions. Existing approaches that achieve a rate-optimal $\tilde{\mathcal{O}}(\sqrt{dT})$ regret bound rely…

We study contextual bandits in the presence of a stage-wise constraint when the constraint must be satisfied both with high probability and in expectation. We start with the linear case where both the reward function and the stage-wise…

We consider a multi-armed bandit problem where payoffs are a linear function of an observed stochastic contextual variable. In the scenario where there exists a gap between optimal and suboptimal rewards, several algorithms have been…

We propose a simple model selection approach for algorithms in stochastic bandit and reinforcement learning problems. As opposed to prior work that (implicitly) assumes knowledge of the optimal regret, we only require that each base…