Related papers: TS-Insight: Visualizing Thompson Sampling for Veri…

This paper unifies the design and the analysis of risk-averse Thompson sampling algorithms for the multi-armed bandit problem for a class of risk functionals $\rho$ that are continuous and dominant. We prove generalised concentration bounds…

We study the problem of regret minimization in a multi-armed bandit setup where the agent is allowed to play multiple arms at each round by spreading the resources usually allocated to only one arm. At each iteration the agent selects a…

Restless bandit problems assume time-varying reward distributions of the arms, which adds flexibility to the model but makes the analysis more challenging. We study learning algorithms over the unknown reward distributions and prove a…

In mobile health (mHealth) smart devices deliver behavioral treatments repeatedly over time to a user with the goal of helping the user adopt and maintain healthy behaviors. Reinforcement learning appears ideal for learning how to optimally…

In recent years, instructional practices in Operations Research (OR), Management Science (MS), and Analytics have increasingly shifted toward digital environments, where large and diverse groups of learners make it difficult to provide…

The evaluation of hyperparameters, neural architectures, or data augmentation policies becomes a critical model selection problem in advanced deep learning with a large hyperparameter search space. In this paper, we propose an efficient and…

Thompson sampling (TS) is a simple, effective stochastic policy in Bayesian decision making. It samples the posterior belief about the reward profile and optimizes the sample to obtain a candidate decision. In continuous optimization, the…

In online algorithm selection (OAS), instances of an algorithmic problem class are presented to an agent one after another, and the agent has to quickly select a presumably best algorithm from a fixed set of candidate algorithms. For…

Preference feedback, in the form of pairwise comparisons rather than scalar scores, has seen increasing use in applications such as human-, laboratory-, and expert-in-the-loop design, as well as scientific discovery. We propose a Thompson…

We consider the multiarm bandit problems in the timevarying dynamic system for rich structural features. For the nonlinear dynamic model, we propose the approximate inference for the posterior distributions based on Laplace Approximation.…

Motivated by the pressing need for efficient optimization in online recommender systems, we revisit the cascading bandit model proposed by Kveton et al. (2015). While Thompson sampling (TS) algorithms have been shown to be empirically…

We study the asymptotic performance of the Thompson sampling algorithm in the batched multi-armed bandit setting where the time horizon $T$ is divided into batches, and the agent is not able to observe the rewards of her actions until the…

Thompson Sampling is a principled method for balancing exploration and exploitation, but its real-world adoption faces computational challenges in large-scale or non-conjugate settings. While ensemble-based approaches offer partial…

The multi-armed bandit (MAB) problem is a ubiquitous decision-making problem that exemplifies exploration-exploitation tradeoff. Standard formulations exclude risk in decision making. Risknotably complicates the basic reward-maximising…

We consider the contextual bandit problem, where a player sequentially makes decisions based on past observations to maximize the cumulative reward. Although many algorithms have been proposed for contextual bandit, most of them rely on…

We consider a multi-armed bandit setting in which each arm has a public and a private reward distribution. An observer expects an agent to follow Thompson Sampling according to the public rewards, however, the deceptive agent aims to…

We consider the stochastic linear contextual bandit problem with high-dimensional features. We analyze the Thompson sampling algorithm using special classes of sparsity-inducing priors (e.g., spike-and-slab) to model the unknown parameter…

The Multi-armed bandit offer the advantage to learn and exploit the already learnt knowledge at the same time. This capability allows this approach to be applied in different domains, going from clinical trials where the goal is…

Gaussian process (GP) bandits provide a powerful framework for performing blackbox optimization of unknown functions. The characteristics of the unknown function depend heavily on the assumed GP prior. Most work in the literature assume…

In this paper we study a multi-arm bandit problem in which the quality of each arm is measured by the Conditional Value at Risk (CVaR) at some level alpha of the reward distribution. While existing works in this setting mainly focus on…