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Bayesian optimization is a sequential method for minimizing objective functions that are expensive to evaluate and about which few assumptions can be made. By using all gathered data to train a Gaussian process model for the function and…
We study the problem of online learning in contextual bandit problems where the loss function is assumed to belong to a known parametric function class. We propose a new analytic framework for this setting that bridges the Bayesian theory…
Bayesian optimization (BO) is a widely used iterative algorithm for optimizing black-box functions. Each iteration requires maximizing an acquisition function, such as the upper confidence bound (UCB) or a sample path from the Gaussian…
Bayesian Optimization (BO) is a data-driven strategy for minimizing/maximizing black-box functions based on probabilistic surrogate models. In the presence of safety constraints, the performance of BO crucially relies on tight probabilistic…
Bayesian bandit algorithms with approximate Bayesian inference have been widely used in real-world applications. Despite the superior practical performance, their theoretical justification is less investigated in the literature, especially…
We consider the problem of online convex optimization against an arbitrary adversary with bandit feedback, known as bandit convex optimization. We give the first $\tilde{O}(\sqrt{T})$-regret algorithm for this setting based on a novel…
This thesis studies the exploration and exploitation trade-off in online learning of properties of quantum states using multi-armed bandits. Given streaming access to an unknown quantum state, in each round we select an observable from a…
Bayesian optimization (BO) is a widely used iterative black-box optimization method that utilizes Gaussian process (GP) surrogate models. In practice, BO is typically terminated after a fixed evaluation budget is exhausted, which can incur…
We study online learning with bandit feedback (i.e. learner has access to only zeroth-order oracle) where cost/reward functions $\f_t$ admit a "pseudo-1d" structure, i.e. $\f_t(\w) = \loss_t(\pred_t(\w))$ where the output of $\pred_t$ is…
We study zeroth-order optimisation under context distributional uncertainty, a setting commonly tackled using Bayesian optimisation (BO). A prevailing strategy to make BO more robust to the complex and noisy nature of data is to employ an…
The purpose of this paper is twofold. On one side, we present a general framework for Bayesian optimization and we compare it with some related fields in active learning and Bayesian numerical analysis. On the other hand, Bayesian…
Online bilevel optimization (OBO) is a powerful framework for machine learning problems where both outer and inner objectives evolve over time, requiring dynamic updates. Current OBO approaches rely on deterministic \textit{window-smoothed}…
Control system optimization has long been a fundamental challenge in robotics. While recent advancements have led to the development of control algorithms that leverage learning-based approaches, such as SafeOpt, to optimize single feedback…
A recent body of work addresses safety constraints in explore-and-exploit systems. Such constraints arise where, for example, exploration is carried out by individuals whose welfare should be balanced with overall welfare. In this paper, we…
We study a generalization of the problem of online learning in adversarial linear contextual bandits by incorporating loss functions that belong to a reproducing kernel Hilbert space, which allows for a more flexible modeling of complex…
Can one parallelize complex exploration exploitation tradeoffs? As an example, consider the problem of optimal high-throughput experimental design, where we wish to sequentially design batches of experiments in order to simultaneously learn…
We study algorithms using randomized value functions for exploration in reinforcement learning. This type of algorithms enjoys appealing empirical performance. We show that when we use 1) a single random seed in each episode, and 2) a…
We study the regret minimization problem in the novel setting of generalized kernelized bandits (GKBs), where we optimize an unknown function $f^*$ belonging to a reproducing kernel Hilbert space (RKHS) having access to samples generated by…
In performative prediction, the deployment of a predictive model triggers a shift in the data distribution. As these shifts are typically unknown ahead of time, the learner needs to deploy a model to get feedback about the distribution it…
Recent work on Bayesian optimization has shown its effectiveness in global optimization of difficult black-box objective functions. Many real-world optimization problems of interest also have constraints which are unknown a priori. In this…