Related papers: Epsilon-Greedy Thompson Sampling to Bayesian Optim…

Bayesian optimization (BO) is a prominent approach to optimizing expensive-to-evaluate black-box functions. The massive computational capability of edge devices such as mobile phones, coupled with privacy concerns, has led to a surging…

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…

Preferential Bayesian optimization (PBO) is a framework for optimizing a decision-maker's latent preferences over available design choices. While preferences often involve multiple conflicting objectives, existing work in PBO assumes that…

Batch Bayesian optimisation (BO) is a successful technique for the optimisation of expensive black-box functions. Asynchronous BO can reduce wallclock time by starting a new evaluation as soon as another finishes, thus maximising resource…

Thompson sampling (TS) has attracted a lot of interest in the bandit area. It was introduced in the 1930s but has not been theoretically proven until recent years. All of its analysis in the combinatorial multi-armed bandit (CMAB) setting…

We present a modular approach to reinforcement learning that uses a Bayesian representation of the uncertainty over models. The approach, BOSS (Best of Sampled Set), drives exploration by sampling multiple models from the posterior and…

We present Acquisition Thompson Sampling (ATS), a novel technique for batch Bayesian Optimization (BO) based on the idea of sampling multiple acquisition functions from a stochastic process. We define this process through the dependency of…

In settings where the application of reinforcement learning (RL) requires running real-world trials, including the optimization of adaptive health interventions, the number of episodes available for learning can be severely limited due to…

The practical use of Bayesian Optimization (BO) in engineering applications imposes special requirements: high sampling efficiency on the one hand and finding a robust solution on the other hand. We address the case of adversarial…

Designing efficient exploration is central to Reinforcement Learning due to the fundamental problem posed by the exploration-exploitation dilemma. Bayesian exploration strategies like Thompson Sampling resolve this trade-off in a principled…

Bayesian optimization (BO) is an effective approach to optimize expensive black-box functions, that seeks to trade-off between exploitation (selecting parameters where the maximum is likely) and exploration (selecting parameters where we…

Bayesian optimization (BO) is an effective technique for black-box optimization. However, its applicability is typically limited to moderate-budget problems due to the cubic complexity of fitting the Gaussian process (GP) surrogate model.…

Bayesian optimization (BO) is an attractive machine learning framework for performing sample-efficient global optimization of black-box functions. The optimization process is guided by an acquisition function that selects points to acquire…

$\varepsilon$-greedy is a policy used to balance exploration and exploitation in many reinforcement learning setting. In cases where the agent uses some on-policy algorithm to learn optimal behaviour, it makes sense for the agent to explore…

In model-based solution approaches to the problem of learning in an unknown environment, exploring to learn the model parameters takes a toll on the regret. The optimal performance with respect to regret or PAC bounds is achievable, if the…

This paper presents a new approach for batch Bayesian Optimization (BO) called Thompson Sampling-Regret to Sigma Ratio directed sampling (TS-RSR), where we sample a new batch of actions by minimizing a Thompson Sampling approximation of a…

Thompson sampling is a popular algorithm for solving multi-armed bandit problems, and has been applied in a wide range of applications, from website design to portfolio optimization. In such applications, however, the number of choices (or…

Existing methods of combinatorial pure exploration mainly focus on the UCB approach. To make the algorithm efficient, they usually use the sum of upper confidence bounds within arm set $S$ to represent the upper confidence bound of $S$,…

It is commonly believed that Bayesian optimization (BO) algorithms are highly efficient for optimizing numerically costly functions. However, BO is not often compared to widely different alternatives, and is mostly tested on narrow sets of…

Bayesian optimization (BO) is a popular methodology to tune the hyperparameters of expensive black-box functions. Traditionally, BO focuses on a single task at a time and is not designed to leverage information from related functions, such…