Related papers: Restless Linear Bandits
We provide a simple method to combine stochastic bandit algorithms. Our approach is based on a "meta-UCB" procedure that treats each of $N$ individual bandit algorithms as arms in a higher-level $N$-armed bandit problem that we solve with a…
We consider the maximization of $x^\top \theta$ over $(x,\theta) \in \mathcal{X} \times \Theta$, with $\mathcal{X} \subset \mathbb{R}^d$ convex and $\Theta \subset \mathbb{R}^d$ an ellipsoid. This problem is fundamental in linear bandits,…
In this paper we consider the problem of learning the optimal policy for uncontrolled restless bandit problems. In an uncontrolled restless bandit problem, there is a finite set of arms, each of which when pulled yields a positive reward.…
The generalized linear bandit framework has attracted a lot of attention in recent years by extending the well-understood linear setting and allowing to model richer reward structures. It notably covers the logistic model, widely used when…
We study the generalized linear bandit (GLB) problem, a contextual multi-armed bandit framework that extends the classical linear model by incorporating a non-linear link function, thereby modeling a broad class of reward distributions such…
Contextual bandit algorithms are sensitive to the estimation method of the outcome model as well as the exploration method used, particularly in the presence of rich heterogeneity or complex outcome models, which can lead to difficult…
In this paper, we study the problem of stochastic linear bandits with finite action sets. Most of existing work assume the payoffs are bounded or sub-Gaussian, which may be violated in some scenarios such as financial markets. To settle…
This study presents two new algorithms for solving linear stochastic bandit problems. The proposed methods use an approach from non-parametric statistics called bootstrapping to create confidence bounds. This is achieved without making any…
The stochastic linear bandit problem proceeds in rounds where at each round the algorithm selects a vector from a decision set after which it receives a noisy linear loss parameterized by an unknown vector. The goal in such a problem is to…
In the classical multi-armed bandit problem, instance-dependent algorithms attain improved performance on "easy" problems with a gap between the best and second-best arm. Are similar guarantees possible for contextual bandits? While…
In this study, we delve into the Thresholding Linear Bandit (TLB) problem, a nuanced domain within stochastic Multi-Armed Bandit (MAB) problems, focusing on maximizing decision accuracy against a linearly defined threshold under resource…
This paper addresses an important class of restless multi-armed bandit (RMAB) problems that finds broad application in operations research, stochastic optimization, and reinforcement learning. There are $N$ independent Markov processes that…
We study the linear contextual bandit problem with finite action sets. When the problem dimension is $d$, the time horizon is $T$, and there are $n \leq 2^{d/2}$ candidate actions per time period, we (1) show that the minimax expected…
We study the linear bandit problem that accounts for partially observable features. Without proper handling, unobserved features can lead to linear regret in the decision horizon $T$, as their influence on rewards is unknown. To tackle this…
The safe linear bandit problem is a version of the classical stochastic linear bandit problem where the learner's actions must satisfy an uncertain constraint at all rounds. Due its applicability to many real-world settings, this problem…
The analysis of online least squares estimation is at the heart of many stochastic sequential decision making problems. We employ tools from the self-normalized processes to provide a simple and self-contained proof of a tail bound of a…
We study contextual bandits with budget and time constraints, referred to as constrained contextual bandits.The time and budget constraints significantly complicate the exploration and exploitation tradeoff because they introduce complex…
The trade-off between the cost of acquiring and processing data, and uncertainty due to a lack of data is fundamental in machine learning. A basic instance of this trade-off is the problem of deciding when to make noisy and costly…
In this paper, we introduce the notion of replicable policies in the context of stochastic bandits, one of the canonical problems in interactive learning. A policy in the bandit environment is called replicable if it pulls, with high…
We study a resource allocation problem with varying requests, and with resources of limited capacity shared by multiple requests. It is modeled as a set of heterogeneous Restless Multi-Armed Bandit Problems (RMABPs) connected by constraints…