Related papers: Empirical Bayesian Multi-Bandit Learning

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…

Random embedding has been applied with empirical success to large-scale black-box optimization problems with low effective dimensions. This paper proposes the EmbeddedHunter algorithm, which incorporates the technique in a hierarchical…

We consider the correlated multiarmed bandit (MAB) problem in which the rewards associated with each arm are modeled by a multivariate Gaussian random variable, and we investigate the influence of the assumptions in the Bayesian prior on…

We study the Bandit Clustering (BC) problem under the fixed confidence setting, where the objective is to group a collection of data sequences (arms) into clusters through sequential sampling from adaptively selected arms at each time step…

The deployment of Multi-Armed Bandits (MAB) has become commonplace in many economic applications. However, regret guarantees for even state-of-the-art linear bandit algorithms (such as Optimism in the Face of Uncertainty Linear bandit…

We study Contextual Multi-Armed Bandits (CMABs) for non-episodic sequential decision making problems where the context includes both textual and numerical information (e.g., recommendation systems, dynamic portfolio adjustments, offer…

In this work we revisit two classic high-dimensional online learning problems, namely linear regression and contextual bandits, from the perspective of adversarial robustness. Existing works in algorithmic robust statistics make strong…

As machine learning becomes more prominent there is a growing demand to perform several inference tasks in parallel. Running a dedicated model for each task is computationally expensive and therefore there is a great interest in multi-task…

In many real-world applications, multiple agents seek to learn how to perform highly related yet slightly different tasks in an online bandit learning protocol. We formulate this problem as the $\epsilon$-multi-player multi-armed bandit…

Personalization is a crucial aspect of many online experiences. In particular, content ranking is often a key component in delivering sophisticated personalization results. Commonly, supervised learning-to-rank methods are applied, which…

Contextual dueling bandits, where a learner compares two options based on context and receives feedback indicating which was preferred, extends classic dueling bandits by incorporating contextual information for decision-making and…

In stochastic contextual bandits, an agent sequentially makes actions from a time-dependent action set based on past experience to minimize the cumulative regret. Like many other machine learning algorithms, the performance of bandits…

The multi-armed bandit (MAB) problem is a classical learning task that exemplifies the exploration-exploitation tradeoff. However, standard formulations do not take into account {\em risk}. In online decision making systems, risk is a…

We propose a novel framework for integrating Hawkes processes with multi-armed bandit algorithms to solve spatio-temporal event forecasting and detection problems when data may be undersampled or spatially biased. In particular, we…

A general framework of personalized federated multi-armed bandits (PF-MAB) is proposed, which is a new bandit paradigm analogous to the federated learning (FL) framework in supervised learning and enjoys the features of FL with…

Despite the recent success of representation learning in sequential decision making, the study of the pure exploration scenario (i.e., identify the best option and minimize the sample complexity) is still limited. In this paper, we study…

In this paper we present a new algorithm for online (sequential) inference in Bayesian neural networks, and show its suitability for tackling contextual bandit problems. The key idea is to combine the extended Kalman filter (which locally…

In this paper, we explore the benefit of cooperation in adversarial bandit settings. As a motivating example, we consider the problem of wireless network selection. Mobile devices are often required to choose the right network to associate…

We consider a Bayesian budgeted multi-armed bandit problem, in which each arm consumes a different amount of resources when selected and there is a budget constraint on the total amount of resources that can be used. Budgeted Thompson…

Thompson sampling has proven effective across a wide range of stationary bandit environments. However, as we demonstrate in this paper, it can perform poorly when applied to non-stationary environments. We attribute such failures to the…