Related papers: An Asymptotically Optimal Algorithm for the Convex…
We study the asymptotic performance of the Thompson sampling algorithm in the batched multi-armed bandit setting where the time horizon $T$ is divided into batches, and the agent is not able to observe the rewards of her actions until the…
In this paper, we consider nonconvex decentralised optimisation and learning over a network of distributed agents. We develop an ADMM algorithm based on the Randomised Block Coordinate Douglas-Rachford splitting method which enables agents…
We address the problem of online sequential decision making, i.e., balancing the trade-off between exploiting the current knowledge to maximize immediate performance and exploring the new information to gain long-term benefits using the…
Contextual bandits constitute a classical framework for decision-making under uncertainty. In this setting, the goal is to learn the arms of highest reward subject to contextual information, while the unknown reward parameters of each arm…
We address the problem of finding an optimal policy in a Markov decision process under a restricted policy class defined by the convex hull of a set of base policies. This problem is of great interest in applications in which a number of…
Past research on interactive decision making problems (bandits, reinforcement learning, etc.) mostly focuses on the minimax regret that measures the algorithm's performance on the hardest instance. However, an ideal algorithm should adapt…
This paper studies efficient distributed optimization methods for multi-agent networks. Specifically, we consider a convex optimization problem with a globally coupled linear equality constraint and local polyhedra constraints, and develop…
We study the multi-objective linear contextual bandit problem, where multiple possible conflicting objectives must be optimized simultaneously. We propose \texttt{MOL-TS}, the \textit{first} Thompson Sampling algorithm with Pareto regret…
We reformulate the problem of modularity maximization over the set of partitions of a network as a conic optimization problem over the completely positive cone, converting it from a combinatorial optimization problem to a convex continuous…
We study the problem of stochastic combinatorial pure exploration (CPE), where an agent sequentially pulls a set of single arms (a.k.a. a super arm) and tries to find the best super arm. Among a variety of problem settings of the CPE, we…
This paper presents a Successive Convexification ($ \texttt{SCvx} $) algorithm to solve a class of non-convex optimal control problems with certain types of state constraints. Sources of non-convexity may include nonlinear dynamics and…
In this paper, we analyze the convergence of a distributed Robbins-Monro algorithm for both constrained and unconstrained optimization in multi-agent systems. The algorithm searches for local minima of a (nonconvex) objective function which…
Pure exploration (aka active testing) is the fundamental task of sequentially gathering information to answer a query about a stochastic environment. Good algorithms make few mistakes and take few samples. Lower bounds (for multi-armed…
Convex nonsmooth optimization problems, whose solutions live in very high dimensional spaces, have become ubiquitous. To solve them, the class of first-order algorithms known as proximal splitting algorithms is particularly adequate: they…
Thompson sampling for multi-armed bandit problems is known to enjoy favorable performance in both theory and practice. However, it suffers from a significant limitation computationally, arising from the need for samples from posterior…
We investigate an active pure-exploration setting, that includes best-arm identification, in the context of linear stochastic bandits. While asymptotically optimal algorithms exist for standard multi-arm bandits, the existence of such…
We study the problem of finding the optimal dosage in early stage clinical trials through the multi-armed bandit lens. We advocate the use of the Thompson Sampling principle, a flexible algorithm that can accommodate different types of…
The discrete moment problem is a foundational problem in distribution-free robust optimization, where the goal is to find a worst-case distribution that satisfies a given set of moments. This paper studies the discrete moment problems with…
We discuss a multiple-play multi-armed bandit (MAB) problem in which several arms are selected at each round. Recently, Thompson sampling (TS), a randomized algorithm with a Bayesian spirit, has attracted much attention for its empirically…
In this article, a new solution for the convex hull problem has been presented. The convex hull is a widely known problem in computational geometry. As nature is a rich source of ideas in the field of algorithms, the solution has been…