Related papers: Local Asymptotic Normality for Multi-Armed Bandits

This paper introduces the first asymptotically optimal strategy for a multi armed bandit (MAB) model under side constraints. The side constraints model situations in which bandit activations are limited by the availability of certain…

We study the infinite-horizon restless bandit problem with the average reward criterion, in both discrete-time and continuous-time settings. A fundamental goal is to efficiently compute policies that achieve a diminishing optimality gap as…

We study the fixed-confidence best arm identification (BAI) problem within the multi-armed bandit (MAB) framework under the Entropic Value-at-Risk (EVaR) criterion. Our analysis considers a nonparametric setting, allowing for general reward…

A recent work by Schlisselberg et al. (2024) studies a delay-as-payoff model for stochastic multi-armed bandits, where the payoff (either loss or reward) is delayed for a period that is proportional to the payoff itself. While this captures…

We give a new algorithm for best arm identification in linearly parameterised bandits in the fixed confidence setting. The algorithm generalises the well-known LUCB algorithm of Kalyanakrishnan et al. (2012) by playing an arm which…

Traditional multi-armed bandit (MAB) formulations usually make certain assumptions about the underlying arms' distributions, such as bounds on the support or their tail behaviour. Moreover, such parametric information is usually 'baked'…

We consider bandit problems involving a large (possibly infinite) collection of arms, in which the expected reward of each arm is a linear function of an $r$-dimensional random vector $\mathbf{Z} \in \mathbb{R}^r$, where $r \geq 2$. The…

We consider the problem of model selection for two popular stochastic linear bandit settings, and propose algorithms that adapts to the unknown problem complexity. In the first setting, we consider the $K$ armed mixture bandits, where the…

We introduce the safe linear stochastic bandit framework---a generalization of linear stochastic bandits---where, in each stage, the learner is required to select an arm with an expected reward that is no less than a predetermined (safe)…

We address the problem of best arm identification (BAI) with a fixed budget for two-armed Gaussian bandits. In BAI, given multiple arms, we aim to find the best arm, an arm with the highest expected reward, through an adaptive experiment.…

We consider the problem of best arm identification in a variant of multi-armed bandits called linked bandits. In a single interaction with linked bandits, multiple arms are played sequentially until one of them receives a positive reward.…

We consider a general multi-armed bandit problem with correlated (and simple contextual and restless) elements, as a relaxed control problem. By introducing an entropy regularisation, we obtain a smooth asymptotic approximation to the value…

For the model of constrained multi-armed bandit, we show that by construction there exists an index-based deterministic asymptotically optimal algorithm. The optimality is achieved by the convergence of the probability of choosing an…

Multi-armed bandit (MAB) processes constitute a foundational subclass of reinforcement learning problems and represent a central topic in statistical decision theory, but are limited to simultaneous adaptive allocation and sequential test,…

The bias of the sample means of the arms in multi-armed bandits is an important issue in adaptive data analysis that has recently received considerable attention in the literature. Existing results relate in precise ways the sign and…

We consider Thompson sampling for linear bandit problems with finitely many independent arms, where rewards are sampled from normal distributions that are linearly dependent on unknown parameter vectors and with unknown variance.…

We consider a bandit problem which involves sequential sampling from two populations (arms). Each arm produces a noisy reward realization which depends on an observable random covariate. The goal is to maximize cumulative expected reward.…

We study a grouped bandit setting where each arm comprises multiple independent sub-arms referred to as attributes. Each attribute of each arm has an independent stochastic reward. We impose the constraint that for an arm to be deemed…

In this paper, we study sequential testing problems with \emph{overlapping} hypotheses. We first focus on the simple problem of assessing if the mean $\mu$ of a Gaussian distribution is smaller or larger than a fixed $\epsilon>0$; if…

Multi armed bandit (MAB) algorithms have been increasingly used to complement or integrate with A/B tests and randomized clinical trials in e-commerce, healthcare, and policymaking. Recent developments incorporate possible delayed feedback.…