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For a risk-averse finite-horizon Markov Decision Problem, we introduce a special class of Markov coherent risk measures, called mini-batch measures. We also define the class of multipattern risk-averse problems that generalizes the class of…
Reward-biased maximum likelihood estimation (RBMLE) is a classic principle in the adaptive control literature for tackling explore-exploit trade-offs. This paper studies the stochastic contextual bandit problem with general bounded reward…
We consider the problem of learning the optimal threshold policy for control problems. Threshold policies make control decisions by evaluating whether an element of the system state exceeds a certain threshold, whose value is determined by…
We study the asymptotic optimal control of multi-class restless bandits. A restless bandit is a controllable stochastic process whose state evolution depends on whether or not the bandit is made active. Since finding the optimal control is…
This work studies a generalized class of restless multi-armed bandits with hidden states and allow cumulative feedback, as opposed to the conventional instantaneous feedback. We call them lazy restless bandits (LRB) as the events of…
We consider restless multi-armed bandit (RMAB) with a finite horizon and multiple pulls per period. Leveraging the Lagrangian relaxation, we approximate the problem with a collection of single arm problems. We then propose an index-based…
Reinforcement learning (RL) has increasingly been applied to solve real-world planning problems, with progress in handling large state spaces and time horizons. However, a key bottleneck in many domains is that RL methods cannot accommodate…
Regularized Markov Decision Processes serve as models of sequential decision making under uncertainty wherein the decision maker has limited information processing capacity and/or aversion to model ambiguity. With functional approximation,…
Soft Q-learning is a variation of Q-learning designed to solve entropy regularized Markov decision problems where an agent aims to maximize the entropy regularized value function. Despite its empirical success, there have been limited…
In this paper, we consider a queueing system with multiple channels (or servers) and multiple classes of users. We aim at allocating the available channels among the users in such a way to minimize the expected total average queue length of…
The RKHS bandit problem (also called kernelized multi-armed bandit problem) is an online optimization problem of non-linear functions with noisy feedback. Although the problem has been extensively studied, there are unsatisfactory results…
Scheduling in multi-channel wireless communication system presents formidable challenges in effectively allocating resources. To address these challenges, we investigate a multi-resource restless matching bandit (MR-RMB) model for…
Existing metrics for reinforcement learning (RL) such as regret, PAC bounds, or uniform-PAC (Dann et al., 2017), typically evaluate the cumulative performance, while allowing the agent to play an arbitrarily bad policy at any finite time t.…
Inspired by the Reward-Biased Maximum Likelihood Estimate method of adaptive control, we propose RBMLE -- a novel family of learning algorithms for stochastic multi-armed bandits (SMABs). For a broad range of SMABs including both the…
Recently, there has been a surge of interest in analyzing the non-asymptotic behavior of model-free reinforcement learning algorithms. However, the performance of such algorithms in non-ideal environments, such as in the presence of…
The restless bandit problem is one of the most well-studied generalizations of the celebrated stochastic multi-armed bandit problem in decision theory. In its ultimate generality, the restless bandit problem is known to be PSPACE-Hard to…
We study the problem of learning the optimal policy in a discounted, infinite-horizon reinforcement learning (RL) setting in the presence of adversarially corrupted rewards. To address this problem, we develop a novel robust variant of the…
We consider a quantum switch with a finite number of quantum memory registers that aims to serve multipartite entanglement requests among $N$ users. We propose scheduling policies that aim to optimize the average number of requests served…
This paper studies representation learning for multi-task linear bandits and multi-task episodic RL with linear value function approximation. We first consider the setting where we play $M$ linear bandits with dimension $d$ concurrently,…
Q-learning has long been one of the most popular reinforcement learning algorithms, and theoretical analysis of Q-learning has been an active research topic for decades. Although researches on asymptotic convergence analysis of Q-learning…