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Markov chain Monte Carlo (MCMC) algorithms are widely used to sample from complicated distributions, especially to sample from the posterior distribution in Bayesian inference. However, MCMC is not directly applicable when facing the doubly…
We propose a generalization of the best arm identification problem in stochastic multi-armed bandits (MAB) to the setting where every pull of an arm is associated with delayed feedback. The delay in feedback increases the effective sample…
When multi-armed bandit (MAB) algorithms allocate pulls among competing arms, the resulting allocation can exhibit huge variation. This is particularly harmful in modern applications such as learning-enhanced platform operations and…
We study a variant of the stochastic multi-armed bandit (MAB) problem in which the rewards are corrupted. In this framework, motivated by privacy preservation in online recommender systems, the goal is to maximize the sum of the…
Algorithms for the Multi-Armed Bandit (MAB) problem play a central role in sequential decision-making and have been extensively explored both theoretically and numerically. While most classical approaches aim to identify the arm with the…
The marginal maximum a posteriori probability (MAP) estimation problem, which calculates the mode of the marginal posterior distribution of a subset of variables with the remaining variables marginalized, is an important inference problem…
Inverse reinforcement learning (IRL) aims to recover the reward function and the associated optimal policy that best fits observed sequences of states and actions implemented by an expert. Many algorithms for IRL have an inherently nested…
We study a novel multi-armed bandit problem that models the challenge faced by a company wishing to explore new strategies to maximize revenue whilst simultaneously maintaining their revenue above a fixed baseline, uniformly over time.…
Adversarial attacks against stochastic multi-armed bandit (MAB) algorithms have been extensively studied in the literature. In this work, we focus on reward poisoning attacks and find most existing attacks can be easily detected by our…
A key challenge for a reinforcement learning (RL) agent is to incorporate external/expert1 advice in its learning. The desired goals of an algorithm that can shape the learning of an RL agent with external advice include (a) maintaining…
We consider a general multi-armed bandit problem with correlated (and simple contextual and restless) elements, as a relaxed control problem. By introducing an entropy regularisation, we obtain a smooth asymptotic approximation to the value…
We consider a finite-horizon multi-armed bandit (MAB) problem in a Bayesian setting, for which we propose an information relaxation sampling framework. With this framework, we define an intuitive family of control policies that include…
We consider a multi-armed bandit framework where the rewards obtained by pulling different arms are correlated. We develop a unified approach to leverage these reward correlations and present fundamental generalizations of classic bandit…
The contextual multi-armed bandit (MAB) problem is crucial in sequential decision-making. A line of research, known as online clustering of bandits, extends contextual MAB by grouping similar users into clusters, utilizing shared features…
When a reinforcement learning (RL) method has to decide between several optional policies by solely looking at the received reward, it has to implicitly optimize a Multi-Armed-Bandit (MAB) problem. This arises the question: are current RL…
Restless multi-armed bandits (RMAB) extend multi-armed bandits so pulling an arm impacts future states. Despite the success of RMABs, a key limiting assumption is the separability of rewards into a sum across arms. We address this…
Most existing methods that cope with noisy labels usually assume that the class distributions are well balanced, which has insufficient capacity to deal with the practical scenarios where training samples have imbalanced distributions. To…
This paper introduces a novel and distributed method for detecting inter-map loop closure outliers in simultaneous localization and mapping (SLAM). The proposed algorithm does not rely on a good initialization and can handle more than two…
We study the problem of best-arm identification with fixed confidence in stochastic linear bandits. The objective is to identify the best arm with a given level of certainty while minimizing the sampling budget. We devise a simple algorithm…
In this paper, we introduce a multi-armed bandit problem termed max-min grouped bandits, in which the arms are arranged in possibly-overlapping groups, and the goal is to find the group whose worst arm has the highest mean reward. This…