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We study offline dynamic pricing when historical data provide incomplete coverage of the price space such that some candidate prices, including the optimal one, may be entirely unobserved. This setting is common in practice and is…
Training machine learning and statistical models often involves optimizing a data-driven risk criterion. The risk is usually computed with respect to the empirical data distribution, but this may result in poor and unstable out-of-sample…
Iterative trajectory optimization techniques for non-linear dynamical systems are among the most powerful and sample-efficient methods of model-based reinforcement learning and approximate optimal control. By leveraging time-variant local…
This paper studies the problem of learning Bayesian networks from continuous observational data, generated according to a linear Gaussian structural equation model. We consider an $\ell_0$-penalized maximum likelihood estimator for this…
Randomized experiments are the gold standard for evaluating the effects of changes to real-world systems. Data in these tests may be difficult to collect and outcomes may have high variance, resulting in potentially large measurement error.…
Local optimization presents a promising approach to expensive, high-dimensional black-box optimization by sidestepping the need to globally explore the search space. For objective functions whose gradient cannot be evaluated directly,…
Model-based algorithms, which learn a dynamics model from logged experience and perform some sort of pessimistic planning under the learned model, have emerged as a promising paradigm for offline reinforcement learning (offline RL).…
Accurate models of clinical actions and their impacts on disease progression are critical for estimating personalized optimal dynamic treatment regimes (DTRs) in medical/health research, especially in managing chronic conditions.…
Controller tuning and parameter optimization are crucial in system design to improve closed-loop system performance. Bayesian optimization has been established as an efficient model-free controller tuning and adaptation method. However,…
Bayesian optimization is proposed for automatic learning of optimal controller parameters from experimental data. A probabilistic description (a Gaussian process) is used to model the unknown function from controller parameters to a…
Random allocation models used in clinical trials aid researchers in determining which of a particular treatment provides the best results by reducing bias between groups. Often however, this determination leaves researchers battling ethical…
We derive asymptotically optimal statistical decision rules for discrete choice problems when payoffs depend on a partially-identified parameter $\theta$ and the decision maker can use a point-identified parameter $\mu$ to deduce…
In this work, we introduce a stochastic maximum principle (SMP) approach for solving the reinforcement learning problem with the assumption that the unknowns in the environment can be parameterized based on physics knowledge. For the…
This paper introduces a probabilistic framework to estimate parameters of an acquisition function given observed human behavior that can be modeled as a collection of sample paths from a Bayesian optimization procedure. The methodology…
The optimal selection of experimental conditions is essential to maximizing the value of data for inference and prediction, particularly in situations where experiments are time-consuming and expensive to conduct. We propose a general…
Many machine learning models require a training procedure based on running stochastic gradient descent. A key element for the efficiency of those algorithms is the choice of the learning rate schedule. While finding good learning rates…
Dynamic treatment regimes are sequential decision rules that adapt treatment according to individual time-varying characteristics and outcomes to achieve optimal effects, with applications in precision medicine, personalized…
Bayesian models often involve a small set of hyperparameters determined by maximizing the marginal likelihood. Bayesian optimization is a popular iterative method where a Gaussian process posterior of the underlying function is sequentially…
Using Bayesian experimental design techniques, we have shown that for a single two-level quantum mechanical system under strong (projective) measurement, the dynamical parameters of a model Hamiltonian can be estimated with exponentially…
In this work, an innovative data-driven moving horizon state estimation is proposed for model dynamic-unknown systems based on Bayesian optimization. As long as the measurement data is received, a locally linear dynamics model can be…