Related papers: Online Policy Learning and Inference by Matrix Com…

Data in modern economic and financial applications often arrive as a stream, requiring models and inference to be updated in real time -- yet most semiparametric methods remain batch-based and computationally impractical in large-scale…

With the rise of the digital economy and an explosion of available information about consumers, effective personalization of goods and services has become a core business focus for companies to improve revenues and maintain a competitive…

Online learning algorithms are designed to learn even when their input is generated by an adversary. The widely-accepted formal definition of an online algorithm's ability to learn is the game-theoretic notion of regret. We argue that the…

Combinatorial multi-armed bandits provide a fundamental online decision-making environment where a decision-maker interacts with an environment across $T$ time steps, each time selecting an action and learning the cost of that action. The…

We consider online learning problems under a partial observability model capturing situations where the information conveyed to the learner is between full information and bandit feedback. In the simplest variant, we assume that in addition…

We study online algorithms with predictions using distributional advice, a type of prediction that arises when leveraging expert knowledge or historical data. To demonstrate the usefulness and versatility of this framework, we focus on the…

In some applications of reinforcement learning, a dataset of pre-collected experience is already available but it is also possible to acquire some additional online data to help improve the quality of the policy. However, it may be…

This paper identifies and addresses dynamic selection problems in online learning algorithms with endogenous data. In a contextual multi-armed bandit model, a novel bias (self-fulfilling bias) arises because the endogeneity of the data…

Collaborative bandit learning, i.e., bandit algorithms that utilize collaborative filtering techniques to improve sample efficiency in online interactive recommendation, has attracted much research attention as it enjoys the best of both…

We consider the contextual bandit problem where at each time, the agent only has access to a noisy version of the context and the error variance (or an estimator of this variance). This setting is motivated by a wide range of applications…

Online decision making plays a crucial role in numerous real-world applications. In many scenarios, the decision is made based on performing a sequence of tests on the incoming data points. However, performing all tests can be expensive and…

Personalization is pervasive in the online space as it leads to higher efficiency and revenue by allowing the most relevant content to be served to each user. However, recent studies suggest that personalization methods can propagate…

In many applied fields incomplete covariate vectors are commonly encountered. It is well known that this can be problematic when making inference on model parameters, but its impact on prediction performance is less understood. We develop a…

The deployment of Multi-Armed Bandits (MAB) has become commonplace in many economic applications. However, regret guarantees for even state-of-the-art linear bandit algorithms (such as Optimism in the Face of Uncertainty Linear bandit…

Intelligent real-world systems critically depend on expressive information about their system state and changing operation conditions, e.g., due to variation in temperature, location, wear, or aging. To provide this information, online…

We address the problem of Bayesian reinforcement learning using efficient model-based online planning. We propose an optimism-free Bayes-adaptive algorithm to induce deeper and sparser exploration with a theoretical bound on its performance…

Most data for evaluating and training recommender systems is subject to selection biases, either through self-selection by the users or through the actions of the recommendation system itself. In this paper, we provide a principled approach…

We propose the first parameter-free decentralized online learning algorithms with network regret guarantees, which achieve sublinear regret without requiring hyperparameter tuning. This family of algorithms connects multi-agent coin-betting…

Data mining and machine learning techniques such as classification and regression trees (CART) represent a promising alternative to conventional logistic regression for propensity score estimation. Whereas incomplete data preclude the…

Contextual sequential decision-making problems play a crucial role in machine learning, encompassing a wide range of downstream applications such as bandits, sequential hypothesis testing and online risk control. These applications often…