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We introduce in this paper a new algorithm for Multi-Armed Bandit (MAB) problems. A machine learning paradigm popular within Cognitive Network related topics (e.g., Spectrum Sensing and Allocation). We focus on the case where the rewards…
Pure exploration in multi-armed bandits has emerged as an important framework for modeling decision-making and search under uncertainty. In modern applications, however, one is often faced with a tremendously large number of options. Even…
Restless multi-armed bandits (RMAB) have been widely used to model sequential decision making problems with constraints. The decision maker (DM) aims to maximize the expected total reward over an infinite horizon under an "instantaneous…
We consider a novel multi-armed bandit framework where the rewards obtained by pulling the arms are functions of a common latent random variable. The correlation between arms due to the common random source can be used to design a…
In the stochastic contextual bandit setting, regret-minimizing algorithms have been extensively researched, but their instance-minimizing best-arm identification counterparts remain seldom studied. In this work, we focus on the stochastic…
We propose a novel combinatorial stochastic-greedy bandit (SGB) algorithm for combinatorial multi-armed bandit problems when no extra information other than the joint reward of the selected set of $n$ arms at each time step $t\in [T]$ is…
In this paper, we study the stochastic combinatorial multi-armed bandit (CMAB) framework that allows a general nonlinear reward function, whose expected value may not depend only on the means of the input random variables but possibly on…
The multi-armed bandit (MAB) problem is a ubiquitous decision-making problem that exemplifies the exploration-exploitation tradeoff. Standard formulations exclude risk in decision making. Risk notably complicates the basic reward-maximising…
Online experimentation with interference is a common challenge in modern applications such as e-commerce and adaptive clinical trials in medicine. For example, in online marketplaces, the revenue of a good depends on discounts applied to…
Psychological research shows that enjoyment of many goods is subject to satiation, with short-term satisfaction declining after repeated exposures to the same item. Nevertheless, proposed algorithms for powering recommender systems seldom…
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…
When humans collaborate with each other, they often make decisions by observing others and considering the consequences that their actions may have on the entire team, instead of greedily doing what is best for just themselves. We would…
Experimentation is crucial for managers to rigorously quantify the value of a change and determine if it leads to a statistically significant improvement over the status quo. As companies increasingly mandate that all changes undergo…
Selecting the best large language model (LLM) for a fixed benchmark is often expensive, since exhaustive evaluation requires running every model on every example. Multi-armed bandit (MAB) algorithms can reduce the number of LLM calls by…
We study reward maximisation in a wide class of structured stochastic multi-armed bandit problems, where the mean rewards of arms satisfy some given structural constraints, e.g. linear, unimodal, sparse, etc. Our aim is to develop methods…
We consider the best arm identification problem in the stochastic multi-armed bandit framework where each arm has a tiny probability of realizing large rewards while with overwhelming probability the reward is zero. A key application of…
We consider the problem of identifying the best arm in a multi-armed bandit model. Despite a wealth of literature in the traditional fixed budget and fixed confidence regimes of the best arm identification problem, it still remains a…
A contextual bandit problem is studied in a highly non-stationary environment, which is ubiquitous in various recommender systems due to the time-varying interests of users. Two models with disjoint and hybrid payoffs are considered to…
The multi-armed bandit problems have been studied mainly under the measure of expected total reward accrued over a horizon of length $T$. In this paper, we address the issue of risk in multi-armed bandit problems and develop parallel…
Many real-world functions are defined over both categorical and category-specific continuous variables and thus cannot be optimized by traditional Bayesian optimization (BO) methods. To optimize such functions, we propose a new method that…