Related papers: Improving Thompson Sampling via Information Relaxa…
Although many algorithms for the multi-armed bandit problem are well-understood theoretically, empirical confirmation of their effectiveness is generally scarce. This paper presents a thorough empirical study of the most popular multi-armed…
In fixed budget bandit identification, an algorithm sequentially observes samples from several distributions up to a given final time. It then answers a query about the set of distributions. A good algorithm will have a small probability of…
We consider the stochastic linear contextual bandit problem with high-dimensional features. We analyze the Thompson sampling algorithm using special classes of sparsity-inducing priors (e.g., spike-and-slab) to model the unknown parameter…
We consider a constrained, pure exploration, stochastic multi-armed bandit formulation under a fixed budget. Each arm is associated with an unknown, possibly multi-dimensional distribution and is described by multiple attributes that are a…
The challenge of identifying the best feasible arm within a fixed budget has attracted considerable interest in recent years. However, a notable gap remains in the literature: the exact exponential rate at which the error probability…
In the stochastic multi-armed bandit problem, a randomized probability matching policy called Thompson sampling (TS) has shown excellent performance in various reward models. In addition to the empirical performance, TS has been shown to…
We consider Thompson sampling for linear bandit problems with finitely many independent arms, where rewards are sampled from normal distributions that are linearly dependent on unknown parameter vectors and with unknown variance.…
Approximate Bayesian computation is an established and popular method for likelihood-free inference with applications in many disciplines. The effectiveness of the method depends critically on the availability of well performing summary…
Consider a bandit algorithm that recommends actions to self-interested users in a recommendation system. The users are free to choose other actions and need to be incentivized to follow the algorithm's recommendations. While the users…
This paper unifies the design and the analysis of risk-averse Thompson sampling algorithms for the multi-armed bandit problem for a class of risk functionals $\rho$ that are continuous and dominant. We prove generalised concentration bounds…
Stochastic rising rested bandit (SRRB) is a setting where the arms' expected rewards increase as they are pulled. It models scenarios in which the performances of the different options grow as an effect of an underlying learning process…
We study a specific \textit{combinatorial pure exploration stochastic bandit problem} where the learner aims at finding the set of arms whose means are above a given threshold, up to a given precision, and \textit{for a fixed time horizon}.…
We study the problem of best-arm identification with fixed confidence in stochastic linear bandits. The objective is to identify the best arm with a given level of certainty while minimizing the sampling budget. We devise a simple algorithm…
In this paper we study a multi-arm bandit problem in which the quality of each arm is measured by the Conditional Value at Risk (CVaR) at some level alpha of the reward distribution. While existing works in this setting mainly focus on…
We study the stochastic Budgeted Multi-Armed Bandit (MAB) problem, where a player chooses from $K$ arms with unknown expected rewards and costs. The goal is to maximize the total reward under a budget constraint. A player thus seeks to…
Thompson Sampling has been widely used for contextual bandit problems due to the flexibility of its modeling power. However, a general theory for this class of methods in the frequentist setting is still lacking. In this paper, we present a…
The stochastic multi-armed bandit model is a simple abstraction that has proven useful in many different contexts in statistics and machine learning. Whereas the achievable limit in terms of regret minimization is now well known, our aim is…
Thompson sampling (TS) has been known for its outstanding empirical performance supported by theoretical guarantees across various reward models in the classical stochastic multi-armed bandit problems. Nonetheless, its optimality is often…
In many biomedical, science, and engineering problems, one must sequentially decide which action to take next so as to maximize rewards. One general class of algorithms for optimizing interactions with the world, while simultaneously…
We propose ${\tt AdaTS}$, a Thompson sampling algorithm that adapts sequentially to bandit tasks that it interacts with. The key idea in ${\tt AdaTS}$ is to adapt to an unknown task prior distribution by maintaining a distribution over its…