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We propose a sequential optimizing betting strategy in the multi-dimensional bounded forecasting game in the framework of game-theoretic probability of Shafer and Vovk (2001). By studying the asymptotic behavior of its capital process, we…
Simulators often provide the best description of real-world phenomena. However, they also lead to challenging inverse problems because the density they implicitly define is often intractable. We present a new suite of simulation-based…
We investigate the problem of gambling with uncertainty in outcome probabilities. Stochastic optimization models are proposed for optimal investing on events with mutually exclusive outcomes when probabilities are estimated using…
Game theory serves as a powerful tool for distributed optimization in multi-agent systems in different applications. In this paper we consider multi-agent systems that can be modeled by means of potential games whose potential function…
Sequential monitoring of randomized trials traditionally relies on parametric assumptions or asymptotic approximations. We discuss a family of nonparametric sequential tests - collectively called e-RT - for binary, event-only, and…
In this letter, we study dynamic game optimal control with imperfect state observations and introduce an iterative method to find a local Nash equilibrium. The algorithm consists of an iterative procedure combining a backward recursion…
This work investigates the sequential hypothesis testing problem with online sensor selection and sensor usage constraints. That is, in a sensor network, the fusion center sequentially acquires samples by selecting one "most informative"…
Hypothesis tests under order restrictions arise in a wide range of scientific applications. By exploiting inequality constraints, such tests can achieve substantial gains in power and interpretability. However, these gains come at a cost:…
We study the problem of online non-stochastic control (ONC), which is the control of a linear system under adversarial disturbances and adversarial cost functions, with the aim of minimizing the total cost incurred. A recent line of…
Decision making under uncertainty is at the heart of any autonomous system acting with imperfect information. The cost of solving the decision making problem is exponential in the action and observation spaces, thus rendering it unfeasible…
Finding a better feasible solution in a shorter time is an integral part of solving Mixed Integer Programs. We present a post-hoc method based on Neural Diving to build heuristics more flexibly. We hypothesize that variables with higher…
In online learning an algorithm plays against an environment with losses possibly picked by an adversary at each round. The generality of this framework includes problems that are not adversarial, for example offline optimization, or saddle…
Continuous POMDPs with general belief-dependent rewards are notoriously difficult to solve online. In this paper, we present a complete provable theory of adaptive multilevel simplification for the setting of a given externally constructed…
In game-theoretic learning, several agents are simultaneously following their individual interests, so the environment is non-stationary from each player's perspective. In this context, the performance of a learning algorithm is often…
Betting games provide a natural setting to capture how information yields strategic advantage. The Kelly criterion for betting, long a cornerstone of portfolio theory and information theory, admits an interpretation in the limit of…
In this paper, we propose a general method for testing composite hypotheses. Our idea is to use confidence limits to define stopping and decision rules. The requirements of operating characteristic function can be satisfied by adjusting the…
In the problem of composite hypothesis testing, identifying the potential uniformly most powerful (UMP) unbiased test is of great interest. Beyond typical hypothesis settings with exponential family, it is usually challenging to prove the…
We develop a short-step interior point method to optimize a linear function over a convex body assuming that one only knows a membership oracle for this body. The approach is based on Abernethy and Hazan's sketch of a universal interior…
In confirmatory clinical trials, it has been proposed to use a simple iterative graphical approach to construct and perform intersection hypotheses tests with a weighted Bonferroni-type procedure to control type I errors in the strong…
Existing studies on provably efficient algorithms for Markov games (MGs) almost exclusively build on the "optimism in the face of uncertainty" (OFU) principle. This work focuses on a different approach of posterior sampling, which is…