Related papers: $\epsilon$-Policy Gradient for Online Pricing

We present two Policy Gradient-based algorithms with general parametrization in the context of infinite-horizon average reward Markov Decision Process (MDP). The first one employs Implicit Gradient Transport for variance reduction, ensuring…

This paper proposes a learning algorithm to find a scheduling policy that achieves an optimal delay-power trade-off in communication systems. Reinforcement learning (RL) is used to minimize the expected latency for a given energy constraint…

We consider revenue maximization in online auction/pricing problems. A seller sells an identical item in each period to a new buyer, or a new set of buyers. For the online posted pricing problem, we show regret bounds that scale with the…

The Exploration-Exploitation tradeoff arises in Reinforcement Learning when one cannot tell if a policy is optimal. Then, there is a constant need to explore new actions instead of exploiting past experience. In practice, it is common to…

This paper presents a novel form of policy gradient for model-free reinforcement learning (RL) with improved exploration properties. Current policy-based methods use entropy regularization to encourage undirected exploration of the reward…

Reinforcement learning (RL) with sparse and deceptive rewards is challenging because non-zero rewards are rarely obtained. Hence, the gradient calculated by the agent can be stochastic and without valid information. Recent studies that…

In this paper, we consider the problem of learning online to manage Demand Response (DR) resources. A typical DR mechanism requires the DR manager to assign a baseline to the participating consumer, where the baseline is an estimate of the…

We consider the problem of Cost-Aware Learning, where sampling different component functions of a finite-sum objective incurs different costs. The objective is to reach a target error while minimizing the total cost. First, we propose the…

We address online learning in complex auction settings, such as sponsored search auctions, where the value of the bidder is unknown to her, evolving in an arbitrary manner and observed only if the bidder wins an allocation. We leverage the…

Any gradient descent optimization requires to choose a learning rate. With deeper and deeper models, tuning that learning rate can easily become tedious and does not necessarily lead to an ideal convergence. We propose a variation of the…

We propose policy gradient algorithms for solving a risk-sensitive reinforcement learning (RL) problem in on-policy as well as off-policy settings. We consider episodic Markov decision processes, and model the risk using the broad class of…

We consider a dynamic system with multiple types of customers and servers. Each type of waiting customer or server joins a separate queue, forming a bipartite graph with customer-side queues and server-side queues. The platform can match…

We study online learning when partial feedback information is provided following every action of the learning process, and the learner incurs switching costs for changing his actions. In this setting, the feedback information system can be…

Model order reduction usually consists of two stages: the offline stage and the online stage. The offline stage is the expensive part that sometimes takes hours till the final reduced-order model is derived, especially when the original…

We consider a multi-armed bandit problem where payoffs are a linear function of an observed stochastic contextual variable. In the scenario where there exists a gap between optimal and suboptimal rewards, several algorithms have been…

Motivated by the strategic participation of electricity producers in electricity day-ahead market, we study the problem of online learning in repeated multi-unit uniform price auctions focusing on the adversarial opposing bid setting. The…

Preference elicitation is an active learning approach to tackle the cold-start problem of recommender systems. Roughly speaking, new users are asked to rate some carefully selected items in order to compute appropriate recommendations for…

Online decision making aims to learn the optimal decision rule by making personalized decisions and updating the decision rule recursively. It has become easier than before with the help of big data, but new challenges also come along.…

We consider the well-studied dueling bandit problem, where a learner aims to identify near-optimal actions using pairwise comparisons, under the constraint of differential privacy. We consider a general class of utility-based preference…

In Reinforcement Learning, the optimal action at a given state is dependent on policy decisions at subsequent states. As a consequence, the learning targets evolve with time and the policy optimization process must be efficient at…