Related papers: Distributed Thompson sampling under constrained co…
In this paper, we analyze the convergence of a distributed Robbins-Monro algorithm for both constrained and unconstrained optimization in multi-agent systems. The algorithm searches for local minima of a (nonconvex) objective function which…
In this paper, we investigate the performance of Thompson Sampling (TS) for online learning with censored feedback, focusing primarily on the classic repeated newsvendor model--a foundational framework in inventory management--and…
This paper investigates the distributed fixed point seeking problem of sum-separable stochastic operators over the multi-agent network. Based on inexact Krasnosel'ski\u{\i}--Mann iterations, the communication-efficient distributed algorithm…
Bayesian Optimization using Gaussian Processes is a popular approach to deal with the optimization of expensive black-box functions. However, because of the a priori on the stationarity of the covariance matrix of classic Gaussian…
Bayesian optimization (BO) is an effective method of finding the global optima of black-box functions. Recently BO has been applied to neural architecture search and shows better performance than pure evolutionary strategies. All these…
We consider Bayesian optimization of the output of a network of functions, where each function takes as input the output of its parent nodes, and where the network takes significant time to evaluate. Such problems arise, for example, in…
Bayesian optimization (BO) is a powerful approach to sample-efficient optimization of black-box functions. However, in settings with very few function evaluations, a successful application of BO may require transferring information from…
We study a collaborative multi-agent stochastic linear bandit setting, where $N$ agents that form a network communicate locally to minimize their overall regret. In this setting, each agent has its own linear bandit problem (its own reward…
In this paper, we study the application of the Thompson sampling (TS) methodology to the stochastic combinatorial multi-armed bandit (CMAB) framework. We first analyze the standard TS algorithm for the general CMAB model when the outcome…
This paper presents a special type of distributed optimization problems, where the summation of agents' local cost functions (i.e., global cost function) is convex, but each individual can be non-convex. Unlike most distributed optimization…
Bayesian optimization devolves the global optimization of a costly objective function to the global optimization of a sequence of acquisition functions. This inner-loop optimization can be catastrophically difficult if it involves posterior…
We propose a novel sparse spectrum approximation of Gaussian process (GP) tailored for Bayesian optimization. Whilst the current sparse spectrum methods provide desired approximations for regression problems, it is observed that this…
Bayesian optimisation is a popular method for efficient optimisation of expensive black-box functions. Traditionally, BO assumes that the search space is known. However, in many problems, this assumption does not hold. To this end, we…
Bayesian optimization (BO) suffers from long computing times when processing highly-dimensional or large data sets. These long computing times are a result of the Gaussian process surrogate model having a polynomial time complexity with the…
This paper studies a distributed stochastic optimization problem over random networks with imperfect communications subject to a global constraint, which is the intersection of local constraint sets assigned to agents. The global cost…
This paper proposes a multi-scale method to design a continuous-time distributed algorithm for constrained convex optimization problems by using multi-agents with Markov switched network dynamics and noisy inter-agent communications. Unlike…
A variety of problems in distributed control involve a networked system of autonomous agents cooperating to carry out some complex task in a decentralized fashion, e.g., orienting a flock of drones, or aggregating data from a network of…
We study the problem of non-constrained, discrete-time, online distributed optimization in a multi-agent system where some of the agents do not follow the prescribed update rule either due to failures or malicious intentions. None of the…
This paper considers a distributed optimization problem over a multi-agent network, in which the objective function is a sum of individual cost functions at the agents. We focus on the case when communication between the agents is described…
We consider chance constrained optimization where it is sought to optimize a function while complying with constraints, both of which are affected by uncertainties. The high computational cost of realistic simulations strongly limits the…