Related papers: On Pareto Optimality for Parametric Choice Bandits

We consider a stochastic lost-sales inventory control system with a lead time $L$ over a planning horizon $T$. Supply is uncertain, and is a function of the order quantity (due to random yield/capacity, etc). We aim to minimize the…

Online learning algorithms, widely used to power search and content optimization on the web, must balance exploration and exploitation, potentially sacrificing the experience of current users in order to gain information that will lead to…

We study stochastic linear optimization problem with bandit feedback. The set of arms take values in an $N$-dimensional space and belong to a bounded polyhedron described by finitely many linear inequalities. We provide a lower bound for…

We study the problem of $K$-armed dueling bandit for both stochastic and adversarial environments, where the goal of the learner is to aggregate information through relative preferences of pair of decisions points queried in an online…

We propose an algorithmic framework, Offline Estimation to Decisions (OE2D), that reduces contextual bandit learning with general reward function approximation to offline regression. The framework allows near-optimal regret for contextual…

This paper considers stochastic linear bandits with general nonlinear constraints. The objective is to maximize the expected cumulative reward over horizon $T$ subject to a set of constraints in each round $\tau\leq T$. We propose a…

We consider the dynamic assortment optimization problem under the multinomial logit model (MNL) with unknown utility parameters. The main question investigated in this paper is model mis-specification under the $\varepsilon$-contamination…

We derive an alternative proof for the regret of Thompson sampling (\ts) in the stochastic linear bandit setting. While we obtain a regret bound of order $\widetilde{O}(d^{3/2}\sqrt{T})$ as in previous results, the proof sheds new light on…

This paper addresses the critical challenge of stochastic latent heterogeneity in online decision-making, where individuals' responses to actions vary not only with observable contexts but also with unobserved, randomly realized subgroups.…

Algorithmic decision-making in societal contexts, such as retail pricing, loan administration, recommendations on online platforms, etc., can be framed as stochastic optimization under bandit feedback, which typically requires…

Contextual bandits, which leverage the baseline features of sequentially arriving individuals to optimize cumulative rewards while balancing exploration and exploitation, are critical for online decision-making. Existing approaches…

We consider the classic online learning and stochastic multi-armed bandit (MAB) problems, when at each step, the online policy can probe and find out which of a small number ($k$) of choices has better reward (or loss) before making its…

In many online decision processes, the optimizing agent is called to choose between large numbers of alternatives with many inherent similarities; in turn, these similarities imply closely correlated losses that may confound standard…

This letter studies the problem of online multi-step-ahead prediction for unknown linear stochastic systems. Using conditional distribution theory, we derive an optimal parameterization of the prediction policy as a linear function of…

We consider combinatorial online learning with subset choices when only relative feedback information from subsets is available, instead of bandit or semi-bandit feedback which is absolute. Specifically, we study two regret minimisation…

We revisit the standard perturbation-based approach of Abernethy et al. (2008) in the context of unconstrained Bandit Linear Optimization (uBLO). We show the surprising result that in the unconstrained setting, this approach effectively…

We investigate online pricing in two-sided markets where a platform repeatedly posts prices based on binary accept/reject feedback to maximize gains-from-trade (GFT) or profit. We characterize the regret achievable across three mechanism…

We study the problem of online learning in contextual bandit problems where the loss function is assumed to belong to a known parametric function class. We propose a new analytic framework for this setting that bridges the Bayesian theory…

We study the stochastic linear bandits with parameter noise model, in which the reward of action $a$ is $a^\top \theta$ where $\theta$ is sampled i.i.d. We show a regret upper bound of $\widetilde{O} (\sqrt{d T \log (K/\delta)…

We consider dynamic multi-product pricing and assortment problems under an unknown demand over T periods, where in each period, the seller decides on the price for each product or the assortment of products to offer to a customer who…