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In this paper, we study the episodic reinforcement learning (RL) problem modeled by finite-horizon Markov Decision Processes (MDPs) with constraint on the number of batches. The multi-batch reinforcement learning framework, where the agent…
We address the problem of estimating heterogeneous treatment effects in panel data, adopting the popular Difference-in-Differences (DiD) framework under the conditional parallel trends assumption. We propose a novel doubly robust…
Performative prediction is a recently proposed framework where predictions guide decision-making and hence influence future data distributions. Such performative phenomena are ubiquitous in various areas, such as transportation, finance,…
The treatment assignment mechanism in a randomized clinical trial can be optimized for statistical efficiency within a specified class of randomization mechanisms. Optimal designs of this type have been characterized in terms of the…
We consider the problem of the Zinkevich (2003)-style dynamic regret minimization in online learning with exp-concave losses. We show that whenever improper learning is allowed, a Strongly Adaptive online learner achieves the dynamic regret…
We study the problem of uncertainty quantification via prediction sets, in an online setting where the data distribution may vary arbitrarily over time. Recent work develops online conformal prediction techniques that leverage regret…
Robot reinforcement learning from demonstrations (RLfD) assumes that expert data is abundant; this is usually unrealistic in the real world given data scarcity as well as high collection cost. Furthermore, imitation learning algorithms…
We study the optimal batch-regret tradeoff for batch linear contextual bandits. For any batch number $M$, number of actions $K$, time horizon $T$, and dimension $d$, we provide an algorithm and prove its regret guarantee, which, due to…
Adapting to a priori unknown noise level is a very important but challenging problem in sequential decision-making as efficient exploration typically requires knowledge of the noise level, which is often loosely specified. We report…
In the bandits with knapsacks framework (BwK) the learner has $m$ resource-consumption (packing) constraints. We focus on the generalization of BwK in which the learner has a set of general long-term constraints. The goal of the learner is…
We consider the adversarial multi-armed bandit problem under delayed feedback. We analyze variants of the Exp3 algorithm that tune their step-size using only information (about the losses and delays) available at the time of the decisions,…
Ranking algorithms are fundamental to various online platforms across e-commerce sites to content streaming services. Our research addresses the challenge of adaptively ranking items from a candidate pool for heterogeneous users, a key…
This article proposes doubly robust estimators for the average treatment effect on the treated (ATT) in difference-in-differences (DID) research designs. In contrast to alternative DID estimators, the proposed estimators are consistent if…
Existing algorithms for online conformal prediction -- guaranteeing marginal coverage in adversarial settings -- are variants of online gradient descent (OGD), but their analyses of worst-case coverage do not follow from the regret…
We study the $K$-armed logistic bandit problem, where at each round, the agent observes $K$ feature vectors associated with $K$ actions. Existing approaches that achieve a rate-optimal $\tilde{\mathcal{O}}(\sqrt{dT})$ regret bound rely…
Developing targeted therapies based on patients' baseline characteristics and genomic profiles such as biomarkers has gained growing interests in recent years. Depending on patients' clinical characteristics, the expression of specific…
We study the stochastic multi-armed bandit problem and design new policies that enjoy both worst-case optimality for expected regret and light-tailed risk for regret distribution. Specifically, our policy design (i) enjoys the worst-case…
We design differentially private algorithms for the problem of prediction with expert advice under dynamic regret, also known as tracking the best expert. Our work addresses three natural types of adversaries, stochastic with shifting…
Inspired by online learning, data-dependent regret has recently been proposed as a criterion for controller design. In the regret-optimal control paradigm, causal controllers are designed to minimize regret against a hypothetical optimal…
Policy design in non-stationary Markov Decision Processes (MDPs) is inherently challenging due to the complexities introduced by time-varying system transition and reward, which make it difficult for learners to determine the optimal…